(Probability Theory and Stochastic Modelling 103) Zenghu Li - Measure-Valued Branching Markov Processes-Springer-Verlag GMBH (2023)

Probability Theory and Stochastic Modelling 103
Zenghu Li
Measure-Valued
Branching
Markov
Processes
Second Edition
Probability Theory and Stochastic Modelling
Volume 103
Editors-in-Chief
Peter W. Glynn, Stanford University, Stanford, CA, USA
Andreas E. Kyprianou, University of Bath, Bath, UK
Yves Le Jan, Université Paris-Saclay, Orsay, France
Kavita Ramanan, Brown University, Providence, RI, USA
Advisory Editors
Søren Asmussen, Aarhus University, Aarhus, Denmark
Martin Hairer, Imperial College, London, UK
Peter Jagers, Chalmers University of Technology, Gothenburg, Sweden
Ioannis Karatzas, Columbia University, New York, NY, USA
Frank P. Kelly, University of Cambridge, Cambridge, UK
Bernt Øksendal, University of Oslo, Oslo, Norway
George Papanicolaou, Stanford University, Stanford, CA, USA
Etienne Pardoux, Aix Marseille Université, Marseille, France
Edwin Perkins, University of British Columbia, Vancouver, Canada
Halil Mete Soner, Princeton University, Princeton, NJ, USA
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Zenghu Li
Measure-Valued Branching
Markov Processes
Second Edition
Zenghu Li
School of Mathematical Sciences
Beijing Normal University
Beijing, China
ISSN 2199-3130 ISSN 2199-3149 (electronic)

Probability Theory and Stochastic Modelling
ISBN 978-3-662-66909-9 ISBN 978-3-662-66910-5 (eBook)
https://doi.org/10.1007/978-3-662-66910-5
Mathematics Subject Classification (2020): 60-02, 60J80, 60G57, 60J70, 60J85, 60J35, 60J40
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Preface to the Second Edition
A considerable number of extensions and improvements have been made in this

second edition. The most obvious change is that the section on one-dimensional
stochastic equations has been extended to a chapter. There is another new chapter
dealing with stochastic flows by means of stochastic equations and non-local branch-
ing superprocesses. Stochastic equations have provided powerful tools in the study
of continuous-state branching processes without or with immigration. The two new
chapters reflect some developments of the subject in the past decade. The chapter on
state-dependent immigration has been rewritten completely to treat general canonical
entrance rules that are not necessarily entrance laws.
Within the chapters already present in the first edition, new sections have been
inserted to deal with estimates of variations of the transition probabilities, upper
and lower bounds for cumulant semigroups, stationary distributions and ergodicities
of immigration superprocesses. New results and examples have also been added in
many other places. A number of typos and inaccuracies have been corrected.
The new material has been selected according to the same principles as the
first edition of the book, that is, to give a compact and rigorous treatment of the
basic theory of measure-valued branching processes and immigration processes. The
important developments in continuous-state branching processes with competition
have not been included as one can find nice treatments of them in the monograph by
Pardoux (2016). There are some other interesting new results that are not discussed
in the main text because the research still needs time to mature. The reader can find
details on such results in the notes and comments sections.
For many years, I have benefited from discussions with colleagues and students
at Beijing Normal University. I am particularly grateful to Professor Mufa Chen for
his advice on the coupling and distance methods, which have been incorporated into
this edition. The material in this book has also been used in courses I gave in other
places, including Peking University, the University of Verona and the University of
Extremadura. I take this opportunity to acknowledge the friends in those institutions
for their comments and suggestions. I thank Professors Zhenqing Chen, Renming
Song and Jiangang Ying for helpful discussions on the general theory of Markov
processes. I am grateful to Professor Matyas Barczy for his suggestions on the treat-
v
vi Preface to the Second Edition
ments of distributional properties of continuous-state branching processes. I would

like to thank Professors Vladimir Vatutin and Xiaowen Zhou for their comments on
the literature.
I am indebted to the Laboratory of Mathematics and Complex Systems (Ministry
of Education) for providing me the research facilities. My special thanks go to the
series editors of Springer, Richard Kruel and Marina Reizakis, for their patience and
suggestions. This edition has been prepared with the support of the National Key
R&D Program and the Natural Science Foundation of China. Finally, I thank my
family for their continuing support.
Beijing, China Zenghu Li

October 6, 2022
Preface to the First Edition
The books by Athreya and Ney (1972), Harris (1963) and Jagers (1975) contain a lot
about finite-dimensional branching processes and their applications. Measure-valued
branching processes with abstract underlying spaces were constructed in Watanabe
(1968), who showed those processes arose as high-density limits of branching parti-
cle systems. The connection of measure-valued branching processes with stochastic
evolution equations was investigated in Dawson (1975). A special class of measure-
valued branching processes are known as Dawson–Watanabe superprocesses, which
have been undergoing rapid development thanks to the contributions of a great num-
ber of researchers. The developments have been stimulated from different subjects
including classical branching processes, interacting particle systems, stochastic par-
tial differential equations and nonlinear partial differential equations. The study of
superprocesses leads to a better understanding of results in those subjects as well.
We refer the reader to Dawson (1992, 1993), Dynkin (1994, 2002), Etheridge (2000),
Le Gall (1999) and Perkins (1995, 2002) for detailed treatments of different aspects
of the developments in the past decades. Branching processes give the mathematical
modeling for populations evolving randomly in isolated environments. A useful and
realistic modification of the branching model is the addition of immigration from
outside sources. From the viewpoint of applications, branching models allowing
immigration are clearly of great importance and physical appeal; see, e.g., Athreya
and Ney (1972). This modification is also familiar in the setting of measure-valued
processes; see, e.g., Dawson (1993), Dawson and Ivanoff (1978) and Dynkin (1991a).
The main purpose of this book is to give a compact and rigorous treatment of
the basic theory of measure-valued branching processes and immigration processes.
In the first part of the book, we give an analytic construction of Dawson–Watanabe
superprocesses with general branching mechanisms. The spatial motions of those
processes can be general Borel right processes in Lusin topological spaces. We
show that the superprocesses arise as high-density limits of branching particle sys-
tems, giving the intuitive interpretations of the former. Under natural assumptions,
it is shown that the superprocesses have Borel right realizations. From the gen-
eral model, we use transformations to derive the existence and regularity of several
different forms of the superprocesses including those in spaces of tempered mea-
vii
viii Preface to the First Edition
sures, multitype models, age-structured models and time-inhomogeneous models.

This unified treatment of the different models simplifies their constructions and
gives useful perspectives for their properties. When the underlying space shrinks
to a single point, the superprocess reduces to a one-dimensional continuous-state
branching process. We briefly discuss extinction probabilities and limit theorems
related to the latter. The theory of the one-dimensional processes requires much less
prerequisite knowledge and is helpful for the reader in developing their intuitions
for superprocesses. Under Feller type assumptions, several martingale problems for
superprocesses are formulated and their equivalence are established. The martingale
measures induced by those martingale problems are not necessarily orthogonal, but
they are still worthy. To make the book essentially self-contained, overlaps of the
first part with Dawson (1993) and Dynkin (1994) cannot be avoided completely, but
we have made them as little as possible.
In the second part of the book we investigate the immigration structures associated
with measure-valued branching processes. For that purpose, we first give some char-
acterizations of entrance laws for those processes. We define immigration processes
in an axiomatic way using skew convolution semigroups as in Li (1995/6). It is then
proved that the skew convolution semigroups associated with a given measure-valued
branching process are in one-to-one correspondence with its infinitely divisible prob-
ability entrance laws. The immigration superprocess has regularities similar to those
of the Dawson–Watanabe superprocess if the corresponding probability entrance law
is closable. Instead of establishing the results by repeating the techniques in the first
part, we concentrate on the genuinely new or different aspects of the immigration
processes and develop the theory on the bases of the processes without immigration.
In this way, we hope to give the book a more compact and unified form.
The concept of skew convolution semigroups can actually be introduced in an
abstract setting. Roughly speaking, such a semigroup gives the law of evolution of a
system with branching structure under the perturbation of random extra forces. The
immigration process is only a special case of this formulation. There is another special
case investigated by Bogachev and Röckner (1995) and Bogachev et al. (1996), who
formulated Ornstein–Uhlenbeck type processes on Hilbert spaces using generalized
Mehler semigroups. Skew convolution semigroups were also used in Dawson and Li
(2006) to study the affine Markov processes introduced in mathematical finance. In
the last part of the book, we briefly discuss characterizations of generalized Mehler
semigroups and properties of the corresponding Ornstein–Uhlenbeck type processes.
We also show that a typical class of those processes arise as fluctuation limits of
immigration superprocesses.
The main theory of Dawson–Watanabe superprocesses and immigration super-
processes is developed for general branching mechanisms that are not necessarily
decomposable into local and non-local parts. Most of the results were obtained be-
fore only for specific classes of branching mechanisms. The emphasis here is the
basic structures and regularities, rather than intensive properties of specific models.
The setting of Borel right processes we have chosen is very convenient for the de-
velopment of the theory. The title of the book stresses the applications of techniques
from the theory of general Markov processes. Our main references for those are
Preface to the First Edition ix
Ethier and Kurtz (1986) and Sharpe (1988). In the appendix we give a summary of
the basic concepts and results that are frequently used. We hope the summary will
help the reader in a quick start of the main parts of the book. In the last section of
each chapter, comments on the history and recent development are given. This book
can be used as a reference for the basics of Dawson–Watanabe superprocesses and
immigration superprocesses. It can also be used in a course for graduate students
specializing in probability and stochastic processes.
I would like to express my sincere thanks to Professor Zikun Wang for his advice
and encouragement given to me for many years. I am deeply grateful to Profes-
sor Mufa Chen for his enormous help in my work. My special thanks are given to
Professors Donald A. Dawson, Eugene B. Dynkin and Tokuzo Shiga, from whom
I learned the theory of measure-valued processes. I have also benefited from stim-
ulating discussions on this subject with many other experts, including Professors
Patrick J. Fitzsimmons, Klaus Fleischmann, Luis G. Gorostiza, Zhiming Ma, Hao
Wang, Shinzo Watanabe, Jie Xiong and Xiaowen Zhou. I thank Professors Marco
Fuhrman, Michael Röckner, Byron Schmuland, Wei Sun and Fengyu Wang for their
advice on generalized Mehler semigroups. I am very grateful to Professors Peter
Jagers, Thomas G. Kurtz, Jean-François Le Gall and Renming Song for valuable
comments on earlier versions of this book. I want to thank Professors Wenming
Hong, Yanxia Ren, Yongjin Wang, Kainan Xiang and Mei Zhang for helpful dis-
cussions. The material in this book has been used for graduate courses in Beijing
Normal University. I am indebted to my colleagues and students here, who provide
a very pleasant research environment. In particular, I thank Congzao Dong, Hui
He, Chunhua Ma, Rugang Ma, Li Wang and Xu Yang for reading the manuscript
carefully and pointing out numerous typos and errors. I would like to express sincere
gratitude to Dr. Marina Reizakis, the PIA series editor at Springer, for her advice and
help. I want to thank the Natural Science Foundation and the Ministry of Education
of China, who have supported my research in the past years. Finally I thank my wife
and my son for their continuing moral support.
Beijing, China Zenghu Li

May 18, 2010
Contents
Preface to the Second Edition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v
Preface to the First Edition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii
Conventions and Notations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv
1 Random Measures on Metric Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

1.1 Borel Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 Laplace Functionals . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9
1.3 Poisson Random Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
1.4 Infinitely Divisible Random Measures . . . . . . . . . . . . . . . . . . . . . . . . . 16
1.5 Lévy–Khintchine Type Representations . . . . . . . . . . . . . . . . . . . . . . . . 21
1.6 Notes and Comments . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 28
2 Measure-Valued Branching Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

2.1 Definitions and Basic Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
2.2 Integral Evolution Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36
2.3 Dawson–Watanabe Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
2.4 Examples of Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48
2.5 Some Moment Formulas . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
2.6 Variations of Transition Probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . 58
3 One-Dimensional Branching Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

3.1 Continuous-State Branching Processes . . . . . . . . . . . . . . . . . . . . . . . . . 65
3.2 Long-Time Evolution Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72
3.3 Immigration and Conditioned Processes . . . . . . . . . . . . . . . . . . . . . . . . 75
3.4 More Conditional Limit Theorems . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80
3.5 Scaling Limits of Discrete Processes . . . . . . . . . . . . . . . . . . . . . . . . . . 86
xi
xii Contents
4 Branching Particle Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

4.1 Particle Systems with Local Branching . . . . . . . . . . . . . . . . . . . . . . . . . 99
4.2 Scaling Limits of Local Branching Systems . . . . . . . . . . . . . . . . . . . . . 104
4.3 General Branching Particle Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . 109
4.4 Scaling Limits of General Branching Systems . . . . . . . . . . . . . . . . . . . 112
5 Basic Regularities of Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119

5.1 Right Continuous Realizations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119
5.2 The Strong Markov Property . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 121
5.3 Borel Right Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126
5.4 Weighted Occupation Times . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 130
5.5 A Counterexample . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136
5.6 Bounds for the Cumulant Semigroup . . . . . . . . . . . . . . . . . . . . . . . . . . 139
6 Constructions by Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143

6.1 Spaces of Tempered Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143
6.2 Multitype Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 149
6.3 Two-Type Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 152
6.4 A Change of the Probability Measure . . . . . . . . . . . . . . . . . . . . . . . . . . 153
6.5 Time-Inhomogeneous Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . 155
7 Martingale Problems of Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . 165

7.1 The Differential Evolution Equation . . . . . . . . . . . . . . . . . . . . . . . . . . . 165
7.2 Generators and Martingale Problems . . . . . . . . . . . . . . . . . . . . . . . . . . 173
7.3 Worthy Martingale Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 183
7.4 A Stochastic Convolution Formula . . . . . . . . . . . . . . . . . . . . . . . . . . . . 192
7.5 Transforms by Martingales . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 196
8 Entrance Laws and Kuznetsov Measures . . . . . . . . . . . . . . . . . . . . . . . . . . 205

8.1 Some Simple Properties . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 205
8.2 Minimal Probability Entrance Laws . . . . . . . . . . . . . . . . . . . . . . . . . . . 209
8.3 Infinitely Divisible Probability Entrance Laws . . . . . . . . . . . . . . . . . . 215
8.4 Kuznetsov Measures and Excursion Laws . . . . . . . . . . . . . . . . . . . . . . 221
8.5 Cluster Representations of the Process . . . . . . . . . . . . . . . . . . . . . . . . . 229
8.6 Super-Absorbing-Barrier Brownian Motions . . . . . . . . . . . . . . . . . . . . 234
9 Structures of Independent Immigration . . . . . . . . . . . . . . . . . . . . . . . . . . 241

9.1 Skew Convolution Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 241
9.2 Properties of Transition Probabilities . . . . . . . . . . . . . . . . . . . . . . . . . . 247
9.3 Regular Immigration Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . 251
9.4 Characterizations by Martingale Problems . . . . . . . . . . . . . . . . . . . . . . 256
Contents xiii
9.5 Constructions of the Trajectories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261

9.6 Stationary Distributions and Ergodicities . . . . . . . . . . . . . . . . . . . . . . . 269
10 One-Dimensional Stochastic Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 279

10.1 Existence and Uniqueness of Solutions . . . . . . . . . . . . . . . . . . . . . . . . . 279
10.2 The Lamperti Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 290
10.3 Distributional Properties of Jumps . . . . . . . . . . . . . . . . . . . . . . . . . . . . 293
10.4 Local and Global Maximal Jumps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 296
10.5 A Generalized CBI-process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 300
11 Path-Valued Processes and Stochastic Flows . . . . . . . . . . . . . . . . . . . . . . . 309

11.1 Path-Valued Growing Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 309
11.2 The Total Population Process . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 315
11.3 Construction by Stochastic Equations . . . . . . . . . . . . . . . . . . . . . . . . . . 321
11.4 A Stochastic Flow of Measures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 324
11.5 The Excursion Law . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 330
12 State-Dependent Immigration Structures . . . . . . . . . . . . . . . . . . . . . . . . . 337

12.1 Inhomogeneous Immigration Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . 337
12.2 Predictable Immigration Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 342
12.3 State-Dependent Immigration Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . 351
12.4 Changes of the Branching Mechanism . . . . . . . . . . . . . . . . . . . . . . . . . 359
13 Generalized Ornstein–Uhlenbeck Processes . . . . . . . . . . . . . . . . . . . . . . . 365

13.1 Generalized Mehler Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 365
13.2 Gaussian Type Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 369
13.3 Non-Gaussian Type Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 373
13.4 Extensions of Centered Semigroups . . . . . . . . . . . . . . . . . . . . . . . . . . . 376
13.5 Construction of the Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 383
14 Small-Branching Fluctuation Limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391

14.1 The Brownian Immigration Superprocess . . . . . . . . . . . . . . . . . . . . . . 391
14.2 Stochastic Processes in Nuclear Spaces . . . . . . . . . . . . . . . . . . . . . . . . 393
14.3 Fluctuation Limits in the Schwartz Space . . . . . . . . . . . . . . . . . . . . . . . 400
14.4 Fluctuation Limits in Sobolev Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . 407
xiv Contents
A Markov Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411

A.1 Measurable Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411
A.2 Stochastic Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 414
A.3 Right Markov Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 416
A.4 Ray–Knight Completion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 425
A.5 Entrance Space and Entrance Laws . . . . . . . . . . . . . . . . . . . . . . . . . . . . 429
A.6 Concatenations and Weak Generators . . . . . . . . . . . . . . . . . . . . . . . . . . 433
A.7 Time–Space Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 443
References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 449
Subject Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467
Symbol Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 473

Conventions and Notations
We say “positive” for “≥ 0” and “strictly positive” for “> 0”. The following notations
are frequently used:
N: set of positive integers;

R: real line, i.e., 1-dimensional Euclidean space;
C: complex plane;
R+ : positive half real line;
R𝑑 : 𝑑-dimensional Euclidean space;
|·|: Euclidean norm of R𝑑 ;
𝑎∧𝑏: minimum of 𝑎 and 𝑏;
𝑎∨𝑏: maximum of 𝑎 and 𝑏;
⌊𝑥⌋ : largest integer not exceeding 𝑥;
1𝐴 : indicator function of set 𝐴;
𝛿𝑥 : Dirac measure at point 𝑥;
supp(𝜇) : closed support of measure 𝜇;
a.s. : “almost sure” or “almost surely”;
𝐴 := 𝐵 : 𝐴 is defined by 𝐵.
For any 𝑎 ≤ 𝑏 ∈ R we understand that

∫ 𝑏 ∫ 𝑎 ∫ ∫ ∞ ∫
=− = and = .
𝑎 𝑏 (𝑎,𝑏] 𝑎 (𝑎,∞)
Other notations are explained as they first appear.
xv
Chapter 1
Random Measures on Metric Spaces
In this chapter, we discuss the basic properties of Laplace functionals of random

measures, which provide an important tool in the study of measure-valued processes.
In particular, we give some characterizations of the convergence of random measures
in terms of their Laplace functionals. Based on these results, a general representation
for the distributions of infinitely divisible random measures is established. We also
give some characterizations of continuous functions on the positive half line with
Lévy–Khintchine type representations.
1.1 Borel Measures
Given a class 𝒢 of functions on or subsets of some space 𝐸, let 𝜎(𝒢) denote the
𝜎-algebra on 𝐸 generated by 𝒢. If ℱ is a class of functions, we define the classes
bℱ = { 𝑓 ∈ ℱ : 𝑓 is bounded} and pℱ = { 𝑓 ∈ ℱ : 𝑓 is positive}. Let R denote the
real line and let R+ = [0, ∞) denote the positive half line.
For a topological space 𝐸, let ℬ(𝐸) denote the 𝜎-algebra on 𝐸 generated by the
class of open sets, which is referred to as the Borel 𝜎-algebra. A real function defined
on 𝐸 is called a Borel function if it is measurable with respect to ℬ(𝐸). We also
use ℬ(𝐸) to denote the set of Borel functions on 𝐸. Let 𝐵(𝐸) = bℬ(𝐸) denote the
Banach space of bounded Borel functions on 𝐸 endowed with the supremum/uniform
norm ∥ · ∥. For any 𝑎 ≥ 0, let 𝐵 𝑎 (𝐸) be the set of functions 𝑓 ∈ 𝐵(𝐸) satisfying
∥ 𝑓 ∥ ≤ 𝑎. Let 𝐶 (𝐸) denote the space of bounded continuous real functions on 𝐸.
We use the superscript “+” to denote the subsets of positive elements of the function
spaces, and the superscript “++” is used to denote those of positive elements bounded
away from zero, e.g., 𝐵(𝐸) + , 𝐶 (𝐸) ++ . If a metric 𝑑 is specified on 𝐸, we denote by
𝐶𝑢 (𝐸) := 𝐶𝑢 (𝐸, 𝑑) the subset of 𝐶 (𝐸) of 𝑑-uniformly continuous real functions. If
𝐸 is a locally compact space, then 𝐶0 (𝐸) denotes the space of functions in 𝐶 (𝐸)
vanishing at infinity. Therefore 𝐶0 (𝐸) = 𝐶 (𝐸) when 𝐸 is compact.
© Springer-Verlag GmbH Germany, part of Springer Nature 2022 1

Z. Li, Measure-Valued Branching Markov Processes, Probability Theory
and Stochastic Modelling 103, https://doi.org/10.1007/978-3-662-66910-5_1
2 1 Random Measures on Metric Spaces
A Borel measure, or simply a measure, on some topological space 𝐸 means

a measure on the space (𝐸, ℬ(𝐸)). We write 𝜇( 𝑓 ) or ⟨𝜇, 𝑓 ⟩ for the integral of
a function 𝑓 with respect to a measure 𝜇 if the integral exists. The unit measure
concentrated at a point 𝑥 ∈ 𝐸 is denoted by 𝛿 𝑥 . A measure 𝜇 on 𝐸 is said to be purely
Í
atomic if it has the decomposition 𝜇 = 𝑖 𝑎 𝑖 𝛿 𝑥𝑖 for countable families {𝑎 𝑖 } ⊂ [0, ∞)
and {𝑥𝑖 } ⊂ 𝐸. We say 𝜇 is a diffuse measure if it does not charge any singleton.
Theorem 1.1 Suppose that (𝐸, 𝑑) is a metric space and 𝐴 is a non-empty subset of
𝐸. For 𝑥 ∈ 𝐸 let 𝑑 (𝑥, 𝐴) = inf{𝑑 (𝑥, 𝑦) : 𝑦 ∈ 𝐴}. Then we have
|𝑑 (𝑥, 𝐴) − 𝑑 (𝑦, 𝐴)| ≤ 𝑑 (𝑥, 𝑦), 𝑥, 𝑦 ∈ 𝐸 . (1.1)
In particular, 𝑥 ↦→ 𝑑 (𝑥, 𝐴) is a uniformly continuous function on 𝐸.
Proof For any 𝑥, 𝑦 ∈ 𝐸 and 𝑧 ∈ 𝐴 we have
𝑑 (𝑥, 𝐴) − 𝑑 (𝑦, 𝑧) ≤ 𝑑 (𝑥, 𝑧) − 𝑑 (𝑦, 𝑧) ≤ 𝑑 (𝑥, 𝑦).
Then we take the supremum over 𝑧 ∈ 𝐴 in both sides to get
𝑑 (𝑥, 𝐴) − 𝑑 (𝑦, 𝐴) ≤ 𝑑 (𝑥, 𝑦).
By the symmetry of 𝑑 (·, ·) we have
𝑑 (𝑦, 𝐴) − 𝑑 (𝑥, 𝐴) ≤ 𝑑 (𝑥, 𝑦).
Combining the two preceding inequalities gives (1.1). □
Corollary 1.2 For any metric space (𝐸, 𝑑), we have 𝜎(𝐶𝑢 (𝐸) + ) = 𝜎(𝐶𝑢 (𝐸)) =
ℬ(𝐸).
Proof Since a continuous function is Borel, we have 𝜎(𝐶𝑢 (𝐸) + ) ⊂ 𝜎(𝐶𝑢 (𝐸)) ⊂
ℬ(𝐸). Given a proper open subset 𝐺 ⊂ 𝐸, let 𝑓𝑛 (𝑥) = (1 ∧ 𝑑 (𝑥, 𝐺 𝑐 )) 1/𝑛 for 𝑥 ∈ 𝐸
and 𝑛 ≥ 1. By Theorem 1.1 we have { 𝑓𝑛 } ⊂ 𝐶𝑢 (𝐸) + . It is easy to see 𝑓𝑛 → 1𝐺
as 𝑛 → ∞, implying 𝐺 ∈ 𝜎(𝐶𝑢 (𝐸) + ). But we have 𝐸 ∈ 𝜎(𝐶𝑢 (𝐸) + ) clearly, so
𝜎(𝐶𝑢 (𝐸) + ) contains all open subsets of 𝐸. This implies ℬ(𝐸) ⊂ 𝜎(𝐶𝑢 (𝐸) + ). Then
𝜎(𝐶𝑢 (𝐸) + ) = 𝜎(𝐶𝑢 (𝐸)) = ℬ(𝐸). □
For a topological space 𝐸, let 𝑀 (𝐸) denote the space of finite Borel measures on
𝐸 and let 𝑃(𝐸) be the subset of 𝑀 (𝐸) consisting of probability measures. We say a
sequence {𝜇 𝑛 } ⊂ 𝑀 (𝐸) converges weakly to 𝜇 ∈ 𝑀 (𝐸) and write lim𝑛→∞ 𝜇 𝑛 = 𝜇
or 𝜇 𝑛 → 𝜇 if lim𝑛→∞ 𝜇 𝑛 ( 𝑓 ) = 𝜇( 𝑓 ) for every 𝑓 ∈ 𝐶 (𝐸). The weak convergence is a
topological concept. For functions 𝑓1 , . . . , 𝑓 𝑘 ∈ 𝐶 (𝐸) and open sets 𝐺 1 , . . . , 𝐺 𝑘 ⊂ R
let
𝑈 ( 𝑓1 , . . . , 𝑓 𝑘 ; 𝐺 1 , . . . , 𝐺 𝑘 ) = {𝜈 ∈ 𝑀 (𝐸) : 𝜈( 𝑓𝑖 ) ∈ 𝐺 𝑖 , 1 ≤ 𝑖 ≤ 𝑘 }. (1.2)
1.1 Borel Measures 3
It is easy to show that the family 𝒰0 of sets 𝑈 ( 𝑓1 , . . . , 𝑓 𝑘 ; 𝐺 1 , . . . , 𝐺 𝑘 ) obtained

by varying 𝑘 ≥ 1 and {( 𝑓1 , 𝐺 1 ), . . . , ( 𝑓 𝑘 , 𝐺 𝑘 )} satisfies the axioms of a base for a
topology of 𝑀 (𝐸), which is called the topology of weak convergence. It is clear that
lim𝑛→∞ 𝜇 𝑛 = 𝜇 if and only if 𝜇 𝑛 converges to 𝜇 in this topology. In the sequel, we
assume 𝑀 (𝐸) is furnished with this topology of weak convergence.
Proposition 1.3 Let (𝐸, 𝑑) be a metric space and let 𝒢 be a set of functions on 𝐸
which is closed under bounded pointwise convergence. Then
(1) 𝐶𝑢 (𝐸) ⊂ 𝒢 implies 𝐵(𝐸) ⊂ 𝒢;
(2) 𝐶𝑢 (𝐸) ++ ⊂ 𝒢 implies 𝐵(𝐸) + ⊂ 𝒢.
Proof Since 𝐶𝑢 (𝐸) is a vector space which contains 1𝐸 and is closed under multi-
plication, the first assertion follows from Proposition A.2 and Corollary 1.2. Under
the condition of the second assertion, we have
𝐶𝑢 (𝐸) ⊂ { 𝑓 : e 𝑓 ∈ 𝐶𝑢 (𝐸) ++ } ⊂ { 𝑓 : e 𝑓 ∈ 𝒢}.
Then the first assertion implies 𝐵(𝐸) ⊂ { 𝑓 : e 𝑓 ∈ 𝒢}. In particular, for any
ℎ ∈ 𝐵(𝐸) ++ we have log ℎ ∈ 𝐵(𝐸) ⊂ { 𝑓 : e 𝑓 ∈ 𝒢} and hence ℎ = elog ℎ ∈ 𝒢. This
proves 𝐵(𝐸) ++ ⊂ 𝒢, implying the second assertion since 𝒢 is closed under bounded
pointwise convergence. □
Corollary 1.4 Let (𝐸, 𝑑) be a metric space and let 𝜇, 𝜈 ∈ 𝑀 (𝐸). If 𝜇( 𝑓 ) = 𝜈( 𝑓 ) for
every 𝑓 ∈ 𝐶𝑢 (𝐸), we have 𝜇 = 𝜈.
Proof Let 𝒢 be the family of functions 𝑓 ∈ 𝐵(𝐸) such that 𝜇( 𝑓 ) = 𝜈( 𝑓 ). Then

𝐶𝑢 (𝐸) ⊂ 𝒢. By the dominated convergence theorem it is easy to show that 𝒢 is
closed under bounded pointwise convergence. Consequently, we have 𝐵(𝐸) ⊂ 𝒢 by
Proposition 1.3. □
Corollary 1.5 Let (𝐸, 𝑑) be a metric space. Then for every 𝑓 ∈ 𝐵(𝐸) the mapping
𝜇 ↦→ 𝜇( 𝑓 ) from 𝑀 (𝐸) to R is Borel measurable.
Proof Let 𝒢 be the family of functions 𝑓 ∈ 𝐵(𝐸) such that 𝜇 ↦→ 𝜇( 𝑓 ) is Borel

measurable. Then 𝒢 is closed under bounded pointwise convergence. For any 𝑓 ∈
𝐶𝑢 (𝐸) the mapping 𝜇 ↦→ 𝜇( 𝑓 ) is continuous and hence Borel measurable. In other
words, we have 𝐶𝑢 (𝐸) ⊂ 𝒢. Then Proposition 1.3 implies 𝐵(𝐸) ⊂ 𝒢. □
Theorem 1.6 Suppose that (𝐸, 𝑑) is a metric space. For any 𝜇 ∈ 𝑀 (𝐸) and any
sequence {𝜇 𝑛 } ⊂ 𝑀 (𝐸) the following statements are equivalent:
(1) lim𝑛→∞ 𝜇 𝑛 = 𝜇;
(2) lim𝑛→∞ 𝜇 𝑛 ( 𝑓 ) = 𝜇( 𝑓 ) for every 𝑓 ∈ 𝐶𝑢 (𝐸);
(3) lim𝑛→∞ 𝜇 𝑛 (1) = 𝜇(1) and lim sup𝑛→∞ 𝜇 𝑛 (𝐶) ≤ 𝜇(𝐶) for every closed set
𝐶 ⊂ 𝐸;
(4) lim𝑛→∞ 𝜇 𝑛 (1) = 𝜇(1) and lim inf 𝑛→∞ 𝜇 𝑛 (𝐺) ≥ 𝜇(𝐺) for every open set 𝐺 ⊂ 𝐸;
(5) lim𝑛→∞ 𝜇 𝑛 (𝐵) = 𝜇(𝐵) for every 𝐵 ∈ ℬ(𝐸) with 𝜇(𝜕𝐵) = 0, where 𝜕𝐵 is the
boundary of 𝐵.
Proof The results are obvious if 𝜇(1) = 0. If 𝜇(1) > 0, then there is an index
𝑛0 ≥ 1 such that 𝜇 𝑛 (1) > 0 for all 𝑛 ≥ 𝑛0 . Let 𝜇ˆ = 𝜇(1) −1 𝜇 ∈ 𝑃(𝐸) and let
𝜇ˆ 𝑛 = 𝜇 𝑛 (1) −1 𝜇 𝑛 ∈ 𝑃(𝐸) for 𝑛 ≥ 𝑛0 . It is easy to see that lim𝑛→∞ 𝜇 𝑛 = 𝜇 if and only
if lim𝑛→∞ 𝜇 𝑛 (1) = 𝜇(1) and lim𝑛→∞ 𝜇ˆ 𝑛 = 𝜇. ˆ Then the theorem follows from the
results in the special case of probability measures; see, e.g., Ethier and Kurtz (1986,
p. 108) and Parthasarathy (1967, pp. 41–42). □
Theorem 1.7 Suppose that 𝐸 is a Borel subspace of a metrizable topological space

𝐹. Let 𝜇 ∈ 𝑀 (𝐸) and let {𝜇 𝑛 } ⊂ 𝑀 (𝐸) be a sequence. Let 𝜈 and 𝜈𝑛 denote
respectively the extensions of 𝜇 and 𝜇 𝑛 to 𝐹 such that 𝜈(𝐹 \ 𝐸) = 𝜈𝑛 (𝐹 \ 𝐸) = 0.
Then lim𝑛→∞ 𝜈𝑛 = 𝜈 in 𝑀 (𝐹) if and only if lim𝑛→∞ 𝜇 𝑛 = 𝜇 in 𝑀 (𝐸).
Proof Since the restriction of a bounded continuous function is also a bounded

continuous function, lim𝑛→∞ 𝜇 𝑛 = 𝜇 in 𝑀 (𝐸) implies lim𝑛→∞ 𝜈𝑛 = 𝜈 in 𝑀 (𝐹). For
the converse, suppose that lim𝑛→∞ 𝜈𝑛 = 𝜈 in 𝑀 (𝐹). Then we have
lim 𝜇 𝑛 (𝐸) = lim 𝜈𝑛 (𝐹) = 𝜈(𝐹) = 𝜇(𝐸).

𝑛→∞ 𝑛→∞
For any closed subset 𝐶 of 𝐸, there is a closed subset 𝐷 of 𝐹 such that 𝐶 = 𝐷 ∩ 𝐸.

It follows that
lim sup 𝜇 𝑛 (𝐶) = lim sup 𝜈𝑛 (𝐷) ≤ 𝜈(𝐷) = 𝜇(𝐶).

𝑛→∞ 𝑛→∞
Then lim𝑛→∞ 𝜇 𝑛 = 𝜇 in 𝑀 (𝐸) by Theorem 1.6. □
If 𝐸 is a separable metric space, its topology can be defined by a totally bounded

metric (𝑥, 𝑦) ↦→ 𝑑 (𝑥, 𝑦). Indeed, 𝐸 is homeomorphic to a subset of the countable
product space [0, 1] ∞ furnished with the product metric; see, e.g., Kelley (1955,
p. 125). Then the set of uniformly continuous functions 𝐶𝑢 (𝐸) endowed with the
supremum norm ∥ · ∥ is a separable Banach space; see, e.g., Parthasarathy (1967,
p. 43).
Theorem 1.8 If 𝐸 is a separable metric space, then 𝑀 (𝐸) is separable.
Proof Let 𝑄 be a countable dense subset of [0, ∞) and 𝐹 a countable dense subset
of 𝐸. We claim that the countable set
𝑛
n ∑︁ o
𝑀1 := 𝛼𝑖 𝛿 𝑥𝑖 : 𝑥1 , . . . , 𝑥 𝑛 ∈ 𝐹; 𝛼1 , . . . , 𝛼𝑛 ∈ 𝑄; 𝑛 ≥ 1
𝑖=1
is dense in 𝑀 (𝐸). To see this we first fix a totally bounded metric 𝑑 on 𝐸 compatible
with its topology. Then for each integer 𝑛 ≥ 1 the space 𝐸 has a finite covering
{𝐵𝑛,𝑖 : 𝑖 = 1, . . . , 𝑝 𝑛 } consisting of open balls of radius 1/𝑛. Take 𝑥 𝑛,𝑖 ∈ 𝐵𝑛,𝑖 ∩ 𝐹
for 𝑖 = 1, . . . , 𝑝 𝑛 . Let 𝐴𝑛,1 = 𝐵𝑛,1 and let 𝐴𝑛,𝑖 = 𝐵𝑛,𝑖 \ (𝐵𝑛,1 ∪ · · · ∪ 𝐵𝑛,𝑖−1 ) for
Í 𝑝𝑛 𝜇 ∈ 𝑀 (𝐸) we take 𝛼𝑛,𝑖 ∈ 𝑄 so that |𝛼𝑛,𝑖 − 𝜇( 𝐴𝑛,𝑖 )| ≤ 1/𝑛𝑝 𝑛
𝑖 = 2, . . . , 𝑝 𝑛 . Given
and define 𝜇 𝑛 = 𝑖=1 𝛼𝑛,𝑖 𝛿 𝑥𝑛,𝑖 ∈ 𝑀1 . Then for any 𝑓 ∈ 𝐶𝑢 (𝐸) we have
𝑝𝑛
∑︁
|𝜇 𝑛 ( 𝑓 ) − 𝜇( 𝑓 )| ≤ |𝛼𝑛,𝑖 𝑓 (𝑥 𝑛,𝑖 ) − 𝜇( 𝑓 1 𝐴𝑛,𝑖 )|
𝑖=1
𝑝𝑛
∑︁
≤ |𝛼𝑛,𝑖 − 𝜇( 𝐴𝑛,𝑖 )|| 𝑓 (𝑥 𝑛,𝑖 )|
𝑖=1
𝑝𝑛
∑︁
+ |𝜇( 𝐴𝑛,𝑖 ) 𝑓 (𝑥 𝑛,𝑖 ) − 𝜇( 𝑓 1 𝐴𝑛,𝑖 )|
𝑖=1
𝑝𝑛 𝑝𝑛
∑︁ 1 ∑︁
≤ ∥𝑓∥ + sup | 𝑓 (𝑥 𝑛,𝑖 ) − 𝑓 (𝑦)|𝜇( 𝐴𝑛,𝑖 )
𝑖=1
𝑛𝑝 𝑛 𝑖=1 𝑦 ∈ 𝐴𝑛,𝑖
∥𝑓∥
≤ + sup | 𝑓 (𝑥) − 𝑓 (𝑦)|𝜇(𝐸).
𝑛 𝑑 ( 𝑥,𝑦) ≤2/𝑛
By the uniform continuity of 𝑓 ∈ 𝐶𝑢 (𝐸), the right-hand side of the above inequality
tends to zero as 𝑛 → ∞. Then 𝑀1 is dense in 𝑀 (𝐸). □
Theorem 1.9 Let (𝐸, 𝑑) be a separable and totally bounded metric space and let
𝑆(𝐸, 𝑑) = { 𝑓0 , 𝑓1 , 𝑓2 , . . .} be a dense sequence in 𝐶𝑢 (𝐸) with 𝑓0 ≡ 1. Then 𝜇 𝑛 → 𝜇
in 𝑀 (𝐸) if and only if 𝜇 𝑛 ( 𝑓𝑖 ) → 𝜇( 𝑓𝑖 ) for every 𝑓𝑖 ∈ 𝑆(𝐸, 𝑑).
Proof It is clear that 𝜇 𝑛 → 𝜇 in 𝑀 (𝐸) implies 𝜇 𝑛 ( 𝑓𝑖 ) → 𝜇( 𝑓𝑖 ) for every 𝑓𝑖 ∈

𝑆(𝐸, 𝑑). Conversely, suppose that 𝜇 𝑛 ( 𝑓𝑖 ) → 𝜇( 𝑓𝑖 ) for every 𝑓𝑖 ∈ 𝑆(𝐸, 𝑑). For
𝑓 ∈ 𝐶𝑢 (𝐸) and 𝑓𝑖 ∈ 𝑆(𝐸, 𝑑) we have
|𝜇 𝑛 ( 𝑓 ) − 𝜇( 𝑓 )| ≤ 𝜇 𝑛 (| 𝑓 − 𝑓𝑖 |) + 𝜇(| 𝑓 − 𝑓𝑖 |) + |𝜇 𝑛 ( 𝑓𝑖 ) − 𝜇( 𝑓𝑖 )|
≤ ∥ 𝑓 − 𝑓𝑖 ∥ [𝜇 𝑛 (1) + 𝜇(1)] + |𝜇 𝑛 ( 𝑓𝑖 ) − 𝜇( 𝑓𝑖 )|.
Since there is a sequence { 𝑓 𝑘𝑖 } ⊂ 𝑆(𝐸, 𝑑) satisfying ∥ 𝑓 𝑘𝑖 − 𝑓 ∥ → 0, it is easy to

conclude |𝜇 𝑛 ( 𝑓 ) − 𝜇( 𝑓 )| → 0. Then 𝜇 𝑛 → 𝜇 by Theorem 1.6. □
Corollary 1.10 In the setup of Theorem 1.9, let 𝑆1 (𝐸, 𝑑) = {ℎ0 , ℎ1 , ℎ2 , . . .} be a

dense sequence in { 𝑓 ∈ 𝐶𝑢 (𝐸) + : ∥ 𝑓 ∥ ≤ 1} with ℎ0 ≡ 1. Then 𝜇 𝑛 → 𝜇 in 𝑀 (𝐸) if
and only if 𝜇 𝑛 (ℎ𝑖 ) → 𝜇(ℎ𝑖 ) for every ℎ𝑖 ∈ 𝑆1 (𝐸, 𝑑).
Proof If 𝜇 𝑛 → 𝜇 in 𝑀 (𝐸), we clearly have 𝜇 𝑛 (ℎ𝑖 ) → 𝜇(ℎ𝑖 ) for every ℎ𝑖 ∈ 𝑆1 (𝐸, 𝑑).
Conversely, suppose that 𝜇 𝑛 (ℎ𝑖 ) → 𝜇(ℎ𝑖 ) for every ℎ𝑖 ∈ 𝑆1 (𝐸, 𝑑). Then 𝜇 𝑛 ( 𝑓 ) →
𝜇( 𝑓 ) for every 𝑓 ∈ 𝒬, where 𝒬 = {𝑎ℎ𝑖 + 𝑏ℎ 𝑗 : ℎ𝑖 , ℎ 𝑗 ∈ 𝑆1 (𝐸, 𝑑) and 𝑎, 𝑏 are
rationals} is a countable dense subset of 𝐶𝑢 (𝐸). Then we have 𝜇 𝑛 → 𝜇 in 𝑀 (𝐸) by
Theorem 1.9. □
Given a separable metric space 𝐸, we fix a totally bounded metric 𝑑 compatible

with its topology and let 𝑆1 (𝐸, 𝑑) be as in Corollary 1.10. Then a metric 𝜌 on 𝑀 (𝐸)
is defined by
∞
∑︁ 1
𝜌(𝜇, 𝜈) = (1 ∧ |𝜇(ℎ𝑖 ) − 𝜈(ℎ𝑖 )|), 𝜇, 𝜈 ∈ 𝑀 (𝐸). (1.3)
𝑖=0
2𝑖
This metric is compatible with the weak convergence topology of 𝑀 (𝐸). In other
words, we have 𝜇 𝑛 → 𝜇 in 𝑀 (𝐸) if and only if 𝜌(𝜇 𝑛 , 𝜇) → 0. The countable family
𝒰1 of sets
𝑈 (ℎ0 , ℎ1 , . . . , ℎ 𝑘 ; (𝑎 0 , 𝑏 0 ), (𝑎 1 , 𝑏 1 ), . . . , (𝑎 𝑘 , 𝑏 𝑘 ))
obtained by varying the integer 𝑘 ≥ 1, the functions ℎ𝑖 ∈ 𝑆1 (𝐸, 𝑑) and the pairs of
rationals 𝑎 𝑖 < 𝑏 𝑖 is a countable base of the topology of 𝑀 (𝐸).
Theorem 1.11 For a separable metric space 𝐸 we have
ℬ(𝑀 (𝐸)) = 𝜎({𝜇 ↦→ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸) + }) = 𝜎({𝜇 ↦→ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸)}).
Proof It is easy to see that ℬ0 := 𝜎({𝜇 ↦→ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸) + }) contains the

countable family 𝒰1 . Since every open subset of 𝑀 (𝐸) is the union of some elements
of this family, all those open subsets belong to ℬ0 and hence ℬ(𝑀 (𝐸)) ⊂ ℬ0 ⊂
𝜎({𝜇 ↦→ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸)}). On the other hand, for any 𝑓 ∈ 𝐶 (𝐸) the mapping
𝜇 ↦→ 𝜇( 𝑓 ) is continuous on 𝑀 (𝐸). Then we have 𝜎({𝜇 ↦→ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸)}) ⊂
ℬ(𝑀 (𝐸)). □
Corollary 1.12 If 𝐸 is a separable metric space, then
ℬ(𝑀 (𝐸)) = 𝜎({𝜇 ↦→ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐵(𝐸)}) = 𝜎({𝜇 ↦→ 𝜇( 𝐴) : 𝐴 ∈ ℬ(𝐸)}).
Proof Let
↦ 𝜇( 𝑓 ) : 𝑓 ∈ 𝐵(𝐸)}) and
ℬ1 = 𝜎({𝜇 →
ℬ2 = 𝜎({𝜇 →↦ 𝜇( 𝐴) : 𝐴 ∈ ℬ(𝐸)}).
Then ℬ1 ⊃ ℬ2 obviously. By Theorem 1.11 it is easy to see ℬ(𝑀 (𝐸)) ⊂ ℬ1 .

Then Corollary 1.5 implies ℬ(𝑀 (𝐸)) = ℬ1 . For a simple function 𝑓 ∈ 𝐵(𝐸), the
mapping 𝜇 ↦→ 𝜇( 𝑓 ) is clearly measurable with respect to ℬ2 . By an approximation
argument one sees 𝜇 ↦→ 𝜇( 𝑓 ) is measurable with respect to ℬ2 for an arbitrary
𝑓 ∈ 𝐵(𝐸). Then ℬ2 ⊃ ℬ1 . □
Theorem 1.13 Suppose that (𝐹, ℱ) is a general measurable space and 𝐸 is a

separable metric space. For 𝐴 ∈ ℬ(𝐸) and 𝜇 ∈ 𝑀 (𝐸) write 𝑙 𝐴 (𝜇) = 𝜇( 𝐴). Then
𝜓 is a measurable map from (𝐹, ℱ) to (𝑀 (𝐸), ℬ(𝑀 (𝐸))) if and only if for every
𝐴 ∈ ℬ(𝐸) the composition 𝑙 𝐴 ◦ 𝜓 is a measurable real function on (𝐹, ℱ).
Proof Suppose that 𝜓 is a measurable map from (𝐹, ℱ) to (𝑀 (𝐸), ℬ(𝑀 (𝐸))). By
Corollary 1.12 the real function 𝑙 𝐴 on 𝑀 (𝐸) is Borel for every 𝐴 ∈ ℬ(𝐸). Then
the composition 𝑙 𝐴 ◦ 𝜓 is a measurable function on (𝐹, ℱ). Conversely, suppose for
every 𝐴 ∈ ℬ(𝐸) the composition 𝑙 𝐴 ◦ 𝜓 is a measurable function on (𝐹, ℱ). Then
for 𝐵 ∈ ℬ(R) we have 𝜓 −1 (𝑙 −1
𝐴 (𝐵)) ∈ ℱ, so
𝜓 −1 ({𝑙 −1
𝐴 (𝐵) : 𝐴 ∈ ℬ(𝐸), 𝐵 ∈ ℬ(R)}) ⊂ ℱ.
It follows that
ℱ ⊃ 𝜎(𝜓 −1 ({𝑙 −1
𝐴 (𝐵) : 𝐴 ∈ ℬ(𝐸), 𝐵 ∈ ℬ(R)}))
= 𝜓 −1 (𝜎({𝑙 −1
𝐴 (𝐵) : 𝐴 ∈ ℬ(𝐸), 𝐵 ∈ ℬ(R)}))
= 𝜓 (𝜎({𝑙 𝐴 : 𝐴 ∈ ℬ(𝐸)})) = 𝜓 −1 (ℬ(𝑀 (𝐸))).
−1
Then 𝜓 is a measurable map from (𝐹, ℱ) to (𝑀 (𝐸), ℬ(𝑀 (𝐸))). □

Theorem 1.14 If 𝐸 is a compact metric space, then 𝑀 (𝐸) is a locally com-
pact separable and metrizable space. Moreover, for any 𝑏 ≥ 0 the set 𝑀𝑏 :=
{𝜇 ∈ 𝑀 (𝐸) : 𝜇(𝐸) ≤ 𝑏} is compact.
Proof Since 𝐸 is a compact metric space, it is separable. Then 𝑀 (𝐸) is separable
by Theorem 1.8. Let 𝑑 be a metric on 𝐸 for its topology and let 𝑆1 (𝐸, 𝑑) be as in
Corollary 1.10. The topology of 𝑀 (𝐸) can be defined by the metric 𝜌 given by (1.3).
For any 𝜇 ∈ 𝑀 (𝐸) let 𝑇 (𝜇) = (𝜇(ℎ0 ), 𝜇(ℎ1 ), 𝜇(ℎ2 ), . . .). It is easy to see that 𝑇 is
a homeomorphism between 𝑀 (𝐸) and a subset of the countable product space R∞ +.
Observe that 𝑇 (𝑀𝑏 ) ⊂ [0, 𝑏] ∞ ⊂ R+∞ . We claim that 𝑇 (𝑀𝑏 ) is closed in [0, 𝑏] ∞ .
To see this, suppose that {𝜇 𝑛 } ⊂ 𝑀𝑏 and 𝑇 (𝜇 𝑛 ) → (𝛼0 , 𝛼1 , 𝛼2 , . . .) in [0, 𝑏] ∞ . We
need to show (𝛼0 , 𝛼1 , 𝛼2 , . . .) ∈ 𝑇 (𝑀𝑏 ). For 𝑓 ∈ 𝐶𝑢 (𝐸) + satisfying ∥ 𝑓 ∥ ≤ 1 let
{ℎ𝑖𝑘 } ⊂ 𝑆1 (𝐸, 𝑑) be a sequence such that ∥ℎ𝑖𝑘 − 𝑓 ∥ → 0 as 𝑘 → ∞. For 𝑛 ≥ 𝑚 ≥ 1
we have
|𝜇 𝑛 ( 𝑓 ) − 𝜇 𝑚 ( 𝑓 )| ≤ ∥ 𝑓 − ℎ𝑖𝑘 ∥ [𝜇 𝑛 (1) + 𝜇 𝑚 (1)] + |𝜇 𝑛 (ℎ𝑖𝑘 ) − 𝜇 𝑚 (ℎ𝑖𝑘 )|
and hence
lim sup |𝜇 𝑛 ( 𝑓 ) − 𝜇 𝑚 ( 𝑓 )| ≤ 2𝛼0 ∥ 𝑓 − ℎ𝑖𝑘 ∥.

𝑚,𝑛→∞
Then letting 𝑘 → ∞ gives
lim sup |𝜇 𝑛 ( 𝑓 ) − 𝜇 𝑚 ( 𝑓 )| = 0.
𝑚,𝑛→∞
By linearity, the above relation holds for all 𝑓 ∈ 𝐶𝑢 (𝐸), so the limit 𝜆( 𝑓 ) =
lim𝑛→∞ 𝜇 𝑛 ( 𝑓 ) exists for each 𝑓 ∈ 𝐶𝑢 (𝐸). Clearly, 𝑓 ↦→ 𝜆( 𝑓 ) is a positive linear
functional on 𝐶𝑢 (𝐸). By the Riesz representation theorem, there exists a 𝜇 ∈ 𝑀 (𝐸)
such that 𝜇( 𝑓 ) = 𝜆( 𝑓 ) for every 𝑓 ∈ 𝐶𝑢 (𝐸). In particular, 𝜇(ℎ𝑖 ) = 𝜆(ℎ𝑖 ) = 𝛼𝑖 for
all 𝑖 ≥ 0. It follows that 𝜇(1) = 𝛼0 = lim𝑛→∞ 𝜇 𝑛 (1) ≤ 𝑏 and hence 𝜇 ∈ 𝑀𝑏 . This
shows (𝛼0 , 𝛼1 , 𝛼2 , . . .) = 𝑇 (𝜇) ∈ 𝑇 (𝑀𝑏 ). Then 𝑇 (𝑀𝑏 ) is a closed subset of [0, 𝑏] ∞ .
Since [0, 𝑏] ∞ is compact, so is 𝑇 (𝑀𝑏 ). It follows that 𝑀𝑏 is compact and 𝑀 (𝐸)
locally compact. □
Corollary 1.15 Let 𝐸 be a compact metric space and let 𝑀¯ (𝐸) := 𝑀 (𝐸) ∪ {Δ} be
the one-point compactification of 𝑀 (𝐸). Then 𝜇 𝑛 → Δ if and only if 𝜇 𝑛 (𝐸) → ∞.
Proof It is easy to see that { 𝑀¯ (𝐸) \ 𝑀𝑏 : 𝑏 ≥ 0} is a local base at Δ. Then the
assertion is evident. □
A metrizable space 𝐸 is called a Lusin topological space if it is homeomorphic

to a Borel subset of a compact metric space. Such a space is clearly separable. A
measurable space (𝐹, ℱ) is called a Lusin measurable space if it is measurably
isomorphic to (𝐸, ℬ(𝐸)) with 𝐸 being a Lusin topological space.
Theorem 1.16 If 𝐸 is a Lusin topological space, then 𝑀 (𝐸) is a Lusin topological
space.
Proof Since 𝐸 is a Lusin topological space, we may embed it into some compact
metric space 𝐹 as a Borel subset. Theorem 1.7 implies that 𝑀 (𝐸) is homeomorphic
to 𝑀0 := {𝜇 ∈ 𝑀 (𝐹) : 𝜇(𝐹 \ 𝐸) = 0}. By Corollary 1.12 the mapping 𝜇 ↦→ 𝜇(𝐹 \ 𝐸)
is ℬ(𝑀 (𝐹))-measurable. Then 𝑀0 is a Borel subset of the locally compact separable
and metrizable space 𝑀 (𝐹), which is an open subset of its one-point compactification
𝑀¯ (𝐹) := 𝑀 (𝐹) ∪ {Δ}. Therefore 𝑀 (𝐸) is homeomorphic to a Borel subset of the
compact metrizable space 𝑀¯ (𝐹). □
A subset of a topological space is called a 𝐺 𝛿 set if it can be expressed as the
intersection of a countable number of open sets. It is well known that a space is
homeomorphic to a complete metric space if and only if it is a 𝐺 𝛿 set in some
complete metric space, and in this case it is a 𝐺 𝛿 set in every complete metric space
into which it is topologically embedded; see, e.g., Kelley (1955, pp. 207–208).
Theorem 1.17 Suppose that 𝐸 is a separable and complete metric space. Then 𝑀 (𝐸)
is homeomorphic to a separable and complete metric space.
Proof By Theorem 1.8, the metric space 𝑀 (𝐸) is a separable. Let 𝑑 be a totally
bounded metric on 𝐸 for its topology. Then its completion 𝐹 is compact and 𝐸 is a
𝐺 𝛿 subset of the compact metric space 𝐹. Choose a decreasing sequence of open
sets 𝐺 1 ⊃ 𝐺 2 ⊃ · · · in 𝐹 such that ∩∞ ¯
𝑘=1 𝐺 𝑘 = 𝐸. Let 𝑀0 , 𝑀 (𝐹) and 𝑀 (𝐹) be
defined as in the proof of Theorem 1.16. It is clear that
∞
Ù
𝑀0 = {𝜇 ∈ 𝑀 (𝐹) : 𝜇(𝐹 \ 𝐺 𝑘 ) = 0}
𝑘=1
Ù∞ Ù∞
= {𝜇 ∈ 𝑀 (𝐹) : 𝜇(𝐹 \ 𝐺 𝑘 ) < 1/𝑖}.
𝑘=1 𝑖=1
If 𝜇 𝑛 → 𝜇 in 𝑀 (𝐹) and 𝜇 𝑛 (𝐹 \ 𝐺 𝑘 ) ≥ 1/𝑖, by Theorem 1.6 we have
𝜇(𝐹 \ 𝐺 𝑘 ) ≥ lim sup 𝜇 𝑛 (𝐹 \ 𝐺 𝑘 ) ≥ 1/𝑖.

𝑛→∞
This shows {𝜇 ∈ 𝑀 (𝐹) : 𝜇(𝐹 \ 𝐺 𝑘 ) ≥ 1/𝑖} is closed in 𝑀¯ (𝐹), so 𝑀0 is a 𝐺 𝛿

set in 𝑀¯ (𝐹). Thus 𝑀 (𝐸) is homeomorphic to a separable and complete subset of a
compact metric space. □
Example 1.1 Let [0, 1] ∞ be the countable product of the unit interval furnished with
the product metric 𝑞. Suppose that (𝐸, 𝑑) is a separable metric space with the dense
sequence 𝐹 := {𝑥1 , 𝑥2 , . . .}. For any 𝑥 ∈ 𝐸 write
1.2 Laplace Functionals 9
𝑔(𝑥) = (1 ∧ 𝑑 (𝑥, 𝑥 1 ), 1 ∧ 𝑑 (𝑥, 𝑥 2 ), . . .).
Then 𝑔 is a homeomorphism between 𝐸 and 𝑔(𝐸) ⊂ [0, 1] ∞ . This homeomorphism

induces a totally bounded metric on 𝐸 compatible with its original topology. For
𝜀 > 0 let
𝑔(𝐹) 𝜀 = {𝑦 ∈ [0, 1] ∞ : 𝑞(𝑦, 𝑔(𝑥𝑖 )) < 𝜀 for some 𝑖 ≥ 1}.
Clearly, each 𝑔(𝐹) 𝜀 is an open set in the compact metric space [0, 1] ∞ . If (𝐸, 𝑑) is
complete in addition, then 𝑔(𝐸) = ∩∞ 𝑛=1 𝑔(𝐹)
1/𝑛 . Consequently, a complete separable
metric space is a Lusin topological space.
1.2 Laplace Functionals
In this section, we assume 𝐸 is a Lusin topological space. Recall that 𝑀 (𝐸) is the
space of finite measures on 𝐸 equipped with the topology of weak convergence.
Given a finite measure 𝑄 on 𝑀 (𝐸), we define the Laplace functional 𝐿 𝑄 of 𝑄 by
∫
𝐿𝑄 ( 𝑓 ) = e−𝜈 ( 𝑓 ) 𝑄(d𝜈), 𝑓 ∈ 𝐵(𝐸) + . (1.4)
𝑀 (𝐸)
Theorem 1.18 A finite measure on 𝑀 (𝐸) is uniquely determined by the restriction

of its Laplace functional to 𝐶 (𝐸) ++ .
Proof Suppose that 𝑄 1 and 𝑄 2 are finite measures on 𝑀 (𝐸) and 𝐿 𝑄1 ( 𝑓 ) = 𝐿 𝑄2 ( 𝑓 )

for all 𝑓 ∈ 𝐶 (𝐸) ++ . Then for any 𝑓 ∈ 𝐶 (𝐸) + we have
𝐿 𝑄1 ( 𝑓 ) = lim 𝐿 𝑄1 ( 𝑓 + 1/𝑛) = lim 𝐿 𝑄2 ( 𝑓 + 1/𝑛) = 𝐿 𝑄2 ( 𝑓 ).

𝑛→∞ 𝑛→∞
Let 𝒦 = {𝜈 ↦→ e−𝜈 ( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸) + } and let ℒ = {𝐹 ∈ 𝐵(𝑀 (𝐸)) : 𝑄 1 (𝐹) =

𝑄 2 (𝐹)}. Then 𝒦 is closed under multiplication and ℒ is a monotone vector space
containing 𝒦. By Theorem 1.11 it is easy to show 𝜎(𝒦) = ℬ(𝑀 (𝐸)). Then
Proposition A.1 implies ℒ ⊃ b𝜎(𝒦) = 𝐵(𝑀 (𝐸)). This proves the desired result.□
Theorem 1.19 Let 𝑄 1 , 𝑄 2 , . . . and 𝑄 be finite measures on 𝑀 (𝐸). If 𝑄 𝑛 → 𝑄

weakly, then 𝐿 𝑄𝑛 ( 𝑓 ) → 𝐿 𝑄 ( 𝑓 ) for 𝑓 ∈ 𝐶 (𝐸) + . Conversely, if 𝐿 𝑄𝑛 ( 𝑓 ) → 𝐿 𝑄 ( 𝑓 )
for all 𝑓 ∈ 𝐶 (𝐸) ++ ∪ {0}, then 𝑄 𝑛 → 𝑄 weakly.
Proof If 𝑄 𝑛 → 𝑄 weakly, we have lim𝑛→∞ 𝐿 𝑄𝑛 ( 𝑓 ) = 𝐿 𝑄 ( 𝑓 ) for 𝑓 ∈ 𝐶 (𝐸) +

clearly. Now assume lim𝑛→∞ 𝐿 𝑄𝑛 ( 𝑓 ) = 𝐿 𝑄 ( 𝑓 ) for all 𝑓 ∈ 𝐶 (𝐸) ++ ∪ {0}. Let 𝐹 be a
compact metric space such that 𝐸 is embedded into 𝐹 as a Borel subset. Then 𝑀 (𝐹)
is a locally compact separable and metrizable space. Let 𝑀¯ (𝐹) = 𝑀 (𝐹) ∪ {Δ} be its
one-point compactification, which is a compact metrizable space by Theorem 1.14.
We identify 𝑀 (𝐸) with the Borel subset of 𝑀 (𝐹) consisting of measures supported
by 𝐸 and regard 𝑄 1 , 𝑄 2 , . . . and 𝑄 as finite measures on 𝑀¯ (𝐹). Then
lim 𝑄 𝑛 ( 𝑀¯ (𝐹)) = lim 𝑄 𝑛 (𝑀 (𝐸)) = lim 𝐿 𝑄𝑛 (0) = 𝐿 𝑄 (0), (1.5)

𝑛→∞ 𝑛→∞ 𝑛→∞
and hence {𝑄 𝑛 } ⊂ 𝑀 ( 𝑀¯ (𝐹)) is a bounded sequence. By another application of

Theorem 1.14 we conclude that {𝑄 𝑛 } is relatively compact. Let {𝑄 𝑛𝑘 } ⊂ {𝑄 𝑛 } be a
subsequence that converges to some 𝑄¯ ∈ 𝑀 ( 𝑀¯ (𝐹)). By (1.5) we have
¯ 𝑀¯ (𝐹)) = lim 𝑄 𝑛𝑘 ( 𝑀¯ (𝐹)) = 𝐿 𝑄 (0).
𝑄( (1.6)
𝑘→∞
Moreover, for any 𝑓¯ ∈ 𝐶 (𝐹) ++ ,

∫ ∫
¯ ¯ ¯
e−𝜈 ( 𝑓 ) 𝑄(d𝜈) = lim e−𝜈 ( 𝑓 ) 𝑄 𝑛𝑘 (d𝜈) = 𝐿 𝑄 ( 𝑓 ), (1.7)
¯ (𝐹)
𝑀 𝑘→∞ ¯ (𝐹)
𝑀
¯
where 𝑓 = 𝑓¯| 𝐸 denotes the restriction of 𝑓¯ to 𝐸 and e−Δ( 𝑓 ) = 0 by convention. By
letting 𝑓 → 0 uniformly in (1.7) we find 𝑄(𝑀¯ (𝐹)) = 𝐿 𝑄 (0), so 𝑄¯ is supported by
𝑀 (𝐹). From (1.7) we have
∫ ∫
¯ ¯
e−𝜈 ( 𝑓 ) 𝑄(d𝜈) = 𝐿𝑄 ( 𝑓 ) = e−𝜈 ( 𝑓 ) 𝑄(d𝜈).
𝑀 (𝐹) 𝑀 (𝐸)
Then the uniqueness of Laplace functionals implies 𝑄¯ is supported by 𝑀 (𝐸) and its
restriction to 𝑀 (𝐸) coincides with 𝑄. By Theorem 1.7 we have lim𝑛→∞ 𝑄 𝑛𝑘 = 𝑄
weakly on 𝑀 (𝐸). In the same way, one shows that every convergent subsequence of
{𝑄 𝑛 } has the same limit 𝑄. Thus lim𝑛→∞ 𝑄 𝑛 = 𝑄 weakly on 𝑀 (𝐸). □
A Lusin topological space 𝐸 with the Borel 𝜎-algebra is isomorphic to a compact

metric space with the Borel 𝜎-algebra. Indeed, a complete separable metric space is at
most of the cardinality of the continuum and two Borel subsets of complete separable
metric spaces are isomorphic if and only if they have the same cardinality; see, e.g.,
Parthasarathy (1967, pp. 8–14). Consequently, (𝐸, ℬ(𝐸)) is in fact isomorphic to
a compact subset of the real line with its Borel 𝜎-algebra. Then we can and do
introduce a metric 𝑟 into 𝐸 so that (𝐸, 𝑟) becomes a compact metric space while the
Borel 𝜎-algebra induced by 𝑟 coincides with ℬ(𝐸). Let 𝑆2 (𝐸, 𝑟) be a dense sequence
in 𝐶 (𝐸, 𝑟) ++ including all strictly positive rationals and let 𝑆¯2 (𝐸, 𝑟) = 𝑆2 (𝐸, 𝑟) ∪{0}.
Proposition 1.20 Suppose that 𝐿 is a functional on 𝑆¯2 (𝐸, 𝑟) and there is a sequence
{ 𝑓𝑛 } ⊂ 𝑆2 (𝐸, 𝑟) such that lim𝑛→∞ 𝑓𝑛 = 0 in bounded pointwise convergence and
lim𝑛→∞ 𝐿 ( 𝑓𝑛 ) = 𝐿(0). If there is a sequence of finite measures {𝑄 𝑛 } on 𝑀 (𝐸) such
that
lim 𝐿 𝑄𝑛 ( 𝑓 ) = 𝐿( 𝑓 ), 𝑓 ∈ 𝑆¯2 (𝐸, 𝑟), (1.8)

𝑛→∞
then there is a finite measure 𝑄 on 𝑀 (𝐸) such that 𝐿 𝑄 ( 𝑓 ) = 𝐿 ( 𝑓 ) for every

𝑓 ∈ 𝑆¯2 (𝐸, 𝑟) and lim𝑛→∞ 𝑄 𝑛 = 𝑄 weakly on 𝑀 (𝐸, 𝑟).
1.2 Laplace Functionals 11
Proof This is a modification of the proof of Theorem 1.19. By Theorem 1.14,

the space 𝑀 (𝐸, 𝑟) is locally compact, separable and metrizable. Let 𝑀¯ (𝐸, 𝑟) =
𝑀 (𝐸, 𝑟) ∪ {Δ} be its one-point compactification. Then (1.8) implies that {𝑄 𝑛 } is
a bounded sequence of measures on 𝑀¯ (𝐸, 𝑟). By Theorem 1.14 the sequence is
relatively compact in 𝑀 ( 𝑀¯ (𝐸, 𝑟)). Choose any subsequence {𝑄 𝑛𝑘 } ⊂ {𝑄 𝑛 } that
converges to a finite measure 𝑄 ∈ 𝑀 ( 𝑀¯ (𝐸, 𝑟)). Then
𝑄( 𝑀¯ (𝐸, 𝑟)) = lim 𝑄 𝑛𝑘 ( 𝑀¯ (𝐸, 𝑟)) = lim 𝐿 𝑄𝑛𝑘 (0) = 𝐿 (0). (1.9)
𝑘→∞ 𝑘→∞
By (1.8) for any 𝑓 ∈ 𝑆2 (𝐸, 𝑟) we have

∫ ∫
e−𝜈 ( 𝑓 ) 𝑄(d𝜈) = lim e−𝜈 ( 𝑓 ) 𝑄 𝑛𝑘 (d𝜈) = 𝐿 ( 𝑓 ), (1.10)
¯ (𝐸,𝑟)
𝑀 𝑘→∞ ¯ (𝐸,𝑟)
𝑀
where e−Δ( 𝑓 ) = 0 by convention. It follows that

∫
𝑄(𝑀 (𝐸, 𝑟)) = lim e−𝜈 ( 𝑓𝑛 ) 𝑄(d𝜈) = lim 𝐿 ( 𝑓𝑛 ) = 𝐿 (0). (1.11)
𝑛→∞ ¯ (𝐸,𝑟)
𝑀 𝑛→∞
In view of (1.9) and (1.11) we have 𝑄({Δ}) = 0, so (1.10) implies 𝐿 𝑄 ( 𝑓 ) = 𝐿( 𝑓 )

for 𝑓 ∈ 𝑆2 (𝐸, 𝑟). By Theorem 1.7 we have lim 𝑘→∞ 𝑄 𝑛𝑘 = 𝑄 weakly on 𝑀 (𝐸, 𝑟).
In the same way, if {𝑄 𝑛′ 𝑘 } ⊂ {𝑄 𝑛 } is another subsequence converging to a finite
measure 𝑄 ′ on 𝑀¯ (𝐸, 𝑟), then 𝑄 ′ ({Δ}) = 0 and 𝐿 𝑄′ ( 𝑓 ) = 𝐿( 𝑓 ) for 𝑓 ∈ 𝑆2 (𝐸, 𝑟).
Consequently,
∫ ∫
e−𝜈 ( 𝑓 ) 𝑄(d𝜈) = e−𝜈 ( 𝑓 ) 𝑄 ′ (d𝜈)
𝑀 (𝐸) 𝑀 (𝐸)
first for 𝑓 ∈ 𝑆2 (𝐸, 𝑟) and then for all 𝑓 ∈ 𝐶 (𝐸, 𝑟) + by dominated convergence,
so 𝑄 = 𝑄 ′ by Theorem 1.18. Therefore we must have lim𝑛→∞ 𝑄 𝑛 = 𝑄 weakly on
𝑀 (𝐸, 𝑟). □
Theorem 1.21 Let {𝑄 𝑛 } be a sequence of finite measures on 𝑀 (𝐸) and let 𝐿 be
a functional on 𝐵(𝐸) + continuous with respect to bounded pointwise convergence.
If lim𝑛→∞ 𝐿 𝑄𝑛 ( 𝑓 ) = 𝐿 ( 𝑓 ) for all 𝑓 ∈ 𝐵(𝐸) + , then there is a finite measure 𝑄 on
𝑀 (𝐸) such that 𝐿 = 𝐿 𝑄 and lim𝑛→∞ 𝑄 𝑛 = 𝑄 by weak convergence.
Proof By Proposition 1.20, there is a finite measure 𝑄 on 𝑀 (𝐸) such that 𝐿 𝑄 ( 𝑓 ) =
𝐿 ( 𝑓 ) for all 𝑓 ∈ 𝑆¯2 (𝐸, 𝑟) and lim𝑛→∞ 𝑄 𝑛 = 𝑄 weakly on 𝑀 (𝐸, 𝑟). Let 𝒢 =
{ 𝑓 ∈ 𝐵(𝐸) + : 𝐿 𝑄 ( 𝑓 ) = 𝐿( 𝑓 )}. Then 𝑆¯2 (𝐸, 𝑟) ⊂ 𝒢. Since both 𝑓 ↦→ 𝐿 ( 𝑓 ) and
𝑓 ↦→ 𝐿 𝑄 ( 𝑓 ) are continuous in bounded pointwise convergence and 𝑆¯2 (𝐸, 𝑟) is dense
in 𝐶 (𝐸, 𝑟) + , we have 𝐶 (𝐸, 𝑟) + ⊂ 𝒢, so Proposition 1.3 implies 𝐵(𝐸) + ⊂ 𝒢. That is,
𝐿 𝑄 ( 𝑓 ) = 𝐿( 𝑓 ) for all 𝑓 ∈ 𝐵(𝐸) + . It then follows that lim𝑛→∞ 𝐿 𝑄𝑛 ( 𝑓 ) = 𝐿 𝑄 ( 𝑓 ) for
all 𝑓 ∈ 𝐵(𝐸) + . By Theorem 1.19, we have lim𝑛→∞ 𝑄 𝑛 = 𝑄 weakly on 𝑀 (𝐸). □
Corollary 1.22 Let {𝑄 𝑛 } be a sequence of finite measures on 𝑀 (𝐸). If 𝐿 𝑄𝑛 ( 𝑓 ) →
𝐿 ( 𝑓 ) uniformly in 𝑓 ∈ 𝐵 𝑎 (𝐸) + for each 𝑎 ≥ 0, then there is a finite measure 𝑄 on
𝑀 (𝐸) such that 𝐿 = 𝐿 𝑄 and lim𝑛→∞ 𝑄 𝑛 = 𝑄 by weak convergence.
Theorem 1.23 Suppose that (𝐹, ℱ) is a measurable space and to each 𝑧 ∈ 𝐹 there
corresponds a finite measure 𝑄 𝑧 (d𝜈) on 𝑀 (𝐸). If 𝑧 ↦→ 𝐿 𝑄𝑧 ( 𝑓 ) is ℱ-measurable
for every 𝑓 ∈ 𝐶 (𝐸) + , then 𝑄 𝑧 (d𝜈) is a kernel from (𝐹, ℱ) to (𝑀 (𝐸), ℬ(𝑀 (𝐸))).
Proof Let ℒ denote the set of functions 𝐺 ∈ 𝐵(𝑀 (𝐸)) such that 𝑧 ↦→ 𝑄 𝑧 (𝐺) is
ℱ-measurable. Then ℒ ⊃ 𝒦 := {𝜈 ↦→ e−𝜈 ( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸) + }. By Proposition A.1
and Theorem 1.11 we have ℒ ⊃ b𝜎(𝒦) = 𝐵(𝑀 (𝐸)). Then 𝑄 𝑧 (d𝜈) is a kernel from
(𝐹, ℱ) to (𝑀 (𝐸), ℬ(𝑀 (𝐸))). □
Let 𝑀 (𝐸) ◦ = 𝑀 (𝐸) \ {0}, where 0 is the null measure. We often use a variation
of the Laplace functional in dealing with 𝜎-finite measures on 𝑀 (𝐸) ◦ . A typical
case is considered in the following:
Theorem 1.24 Let 𝑄 1 and 𝑄 2 be two 𝜎-finite measures on 𝑀 (𝐸) ◦ . If for every
𝑓 ∈ 𝐶 (𝐸) + ,
∫ ∫
−𝜈 ( 𝑓 )
1 − e−𝜈 ( 𝑓 ) 𝑄 2 (d𝜈)

1−e 𝑄 1 (d𝜈) = (1.12)
𝑀 (𝐸) ◦ 𝑀 (𝐸) ◦
and the value is finite, then we have 𝑄 1 = 𝑄 2 .
Proof By setting 𝑄 1 ({0}) = 𝑄 2 ({0}) = 0 we extend 𝑄 1 and 𝑄 2 to 𝜎-finite measures

on 𝑀 (𝐸). Taking the difference of (1.12) for 𝑓 and 𝑓 + 1 we obtain
∫ ∫
e−𝜈 ( 𝑓 ) 1 − e−𝜈 (1) 𝑄 1 (d𝜈) = e−𝜈 ( 𝑓 ) 1 − e−𝜈 (1) 𝑄 2 (d𝜈).

𝑀 (𝐸) 𝑀 (𝐸)
Then the result of Theorem 1.18 implies that
1 − e−𝜈 (1) 𝑄 1 (d𝜈) = 1 − e−𝜈 (1) 𝑄 2 (d𝜈)

as finite measures on 𝑀 (𝐸). Since 1 − e−𝜈 (1) is strictly positive on 𝑀 (𝐸) ◦ , it follows
that 𝑄 1 = 𝑄 2 as 𝜎-finite measures on 𝑀 (𝐸) ◦ . □
For any integer 𝑚 ≥ 1, we can also consider the Laplace functionals of finite
measures on the product space 𝑀 (𝐸) 𝑚 . The results proved above can be modified
obviously to the multi-dimensional setting. In particular, we have the following:
Theorem 1.25 Let 𝑄 1 , 𝑄 2 , . . . and 𝑄 be finite measures on 𝑀 (𝐸) 𝑚 . Then 𝑄 𝑛 → 𝑄

weakly if and only if
∫ 𝑚
n ∑︁ o
lim exp − 𝜈𝑖 ( 𝑓𝑖 ) 𝑄 𝑛 (d𝜈1 , . . . , d𝜈𝑚 )
𝑛→∞ 𝑀 (𝐸) 𝑚 𝑖=1
∫ 𝑚
n ∑︁ o
= exp − 𝜈𝑖 ( 𝑓𝑖 ) 𝑄(d𝜈1 , . . . , d𝜈𝑚 )
𝑀 (𝐸) 𝑚 𝑖=1
for all { 𝑓1 , . . . , 𝑓𝑚 } ⊂ 𝐶 (𝐸) + .

1.3 Poisson Random Measures 13
Suppose that ℎ ∈ pℬ(𝐸) is a strictly positive function and let 𝑀ℎ (𝐸) be the
space of Borel measures 𝜇 on 𝐸 satisfying 𝜇(ℎ) < ∞, which is sometimes referred
to as the space of tempered measures. A topology on 𝑀ℎ (𝐸) can be defined by the
convention:
𝜇 𝑛 → 𝜇 in 𝑀ℎ (𝐸) if and only if 𝜇 𝑛 (ℎ 𝑓 ) → 𝜇(ℎ 𝑓 ) for all 𝑓 ∈ 𝐶 (𝐸).
In particular, if ℎ is a strictly positive continuous function on 𝐸, we have
𝜇 𝑛 → 𝜇 in 𝑀ℎ (𝐸) if and only if 𝜇 𝑛 ( 𝑓 ) → 𝜇( 𝑓 ) for all 𝑓 ∈ 𝐶ℎ (𝐸),
where 𝐶ℎ (𝐸) is the set of continuous functions 𝑓 on 𝐸 such that | 𝑓 | ≤ const. · ℎ.

A random variable 𝑋 taking values in 𝑀ℎ (𝐸) is also called a random measure on
𝐸. Let 𝐵 ℎ (𝐸) be the set of functions 𝑓 ∈ ℬ(𝐸) satisfying | 𝑓 | ≤ const. · ℎ. Given a
finite measure 𝑄 on 𝑀ℎ (𝐸), we define the Laplace functional 𝐿 𝑄 of 𝑄 by
∫
𝐿𝑄 ( 𝑓 ) = e−𝜈 ( 𝑓 ) 𝑄(d𝜈), 𝑓 ∈ 𝐵 ℎ (𝐸) + . (1.13)
𝑀ℎ (𝐸)
This is a generalization of (1.4). By increasing limits we can easily extend the

Laplace functional to all functions 𝑓 ∈ 𝐵(𝐸) + , or even to all 𝑓 ∈ pℬ(𝐸), with the
convention e−∞ = 0. We shall make those extensions whenever they are needed.
The Laplace functional of a random measure 𝑋 taking values in 𝑀ℎ (𝐸) means the
Laplace functional of its distribution on 𝑀ℎ (𝐸). It is easy to see that the mapping
𝜇(d𝑥) ↦→ ℎ(𝑥)𝜇(d𝑥) defines a homeomorphism between 𝑀ℎ (𝐸) and 𝑀 (𝐸). Then
the results proved above can also be modified to the space 𝑀ℎ (𝐸).
If 𝐸 = {𝑎 1 , . . . , 𝑎 𝑑 } is a finite set containing 𝑑 elements, the mapping 𝜇 ↦→

(𝜇({𝑎 1 }), . . . , 𝜇({𝑎 𝑑 })) gives a homeomorphism between 𝑀 (𝐸) and R+𝑑 . Then the
results for 𝑀 (𝐸) can be restated for the space R+𝑑 . In particular, we define the Laplace
transform of a finite measure 𝐺 on R+𝑑 by
∫
𝐿 𝐺 (𝜆) = e− ⟨𝜆,𝑢⟩ 𝐺 (d𝑢), 𝜆 ∈ R+𝑑 , (1.14)
R+𝑑
where ⟨·, ·⟩ denotes the Euclidean inner product of R𝑑 . This is essentially a special
form of the Laplace functional defined by (1.4).
1.3 Poisson Random Measures
Suppose that 𝐸 is a Lusin topological space. Let ℎ ∈ pℬ(𝐸) be a strictly positive

function and let 𝜆 ∈ 𝑀ℎ (𝐸). A random measure 𝑋 on 𝐸 taking values in 𝑀ℎ (𝐸) is
called a Poisson random measure with intensity 𝜆 provided:
(1) for each 𝐵 ∈ ℬ(𝐸) with 𝜆(𝐵) < ∞, the random variable 𝑋 (𝐵) has the Poisson
distribution with parameter 𝜆(𝐵), that is,
𝜆(𝐵) 𝑛 −𝜆(𝐵)
P{𝑋 (𝐵) = 𝑛} = e , 𝑛 = 0, 1, 2, . . . ;
𝑛!
(2) if 𝐵1 , . . . , 𝐵𝑛 ∈ ℬ(𝐸) are disjoint and 𝜆(𝐵𝑖 ) < ∞ for each 𝑖 = 1, . . . , 𝑛, then
𝑋 (𝐵1 ), . . . , 𝑋 (𝐵𝑛 ) are mutually independent random variables.
In this case, we call 𝑋˜ := 𝑋 − 𝜆 the compensated Poisson random measure.
Theorem 1.26 A random measure 𝑋 on 𝐸 is Poissonian with intensity 𝜆 ∈ 𝑀ℎ (𝐸)

if and only if its Laplace functional is given by
∫
− 𝑓 ( 𝑥)
E exp{−𝑋 ( 𝑓 )} = exp − (1 − e )𝜆(d𝑥) , 𝑓 ∈ 𝐵 ℎ (𝐸) + . (1.15)
𝐸
Proof Suppose that 𝑋 is a Poisson random measure on 𝐸 with intensity 𝜆. Let

𝐵1 , . . . , 𝐵𝑛 ∈ ℬ(𝐸) be disjoint sets satisfying 𝜆(𝐵𝑖 ) < ∞ for each 𝑖 = 1, . . . , 𝑛. For
any constants 𝛼1 , . . . , 𝛼𝑛 ≥ 0 we can use the above two properties to see
𝑛
∑︁ 𝑛
∑︁
E exp − 𝛼𝑖 𝑋 (𝐵𝑖 ) = exp − (1 − e−𝛼𝑖 )𝜆(𝐵𝑖 ) . (1.16)
𝑖=1 𝑖=1
Then we get (1.15) by approximating 𝑓 ∈ 𝐵 ℎ (𝐸) + by simple functions and using

the dominated convergence theorem. Conversely, if the Laplace functional
Í𝑛 of 𝑋 is
given by (1.15), we may apply the equality to the simple function 𝑓 = 𝑖=1 𝛼𝑖 1 𝐵𝑖 to
get (1.16). Then 𝑋 satisfies the above two properties in the definition of a Poisson
random measure on 𝐸 with intensity 𝜆. □
Corollary 1.27 Suppose that 𝑋1 and 𝑋2 are independent Poisson random measures
on 𝐸 with intensities 𝜆1 and 𝜆2 ∈ 𝑀ℎ (𝐸), respectively. Then 𝑋1 + 𝑋2 is a Poisson
random measure on 𝐸 with intensity 𝜆1 + 𝜆2 .
Theorem 1.28 For any 𝜆 ∈ 𝑀ℎ (𝐸), there exists a Poisson random measure with
intensity 𝜆.
Proof We assume 𝜆 ≠ 0 to avoid triviality. Let {𝐸 1 , 𝐸 2 , . . .} ⊂ ℬ(𝐸) be a sequence

of disjoint sets such that 𝐸 = ∪∞ 𝑖=1 𝐸 𝑖 and 0 < 𝜆(𝐸 𝑖 ) < ∞. For each 𝑖 ≥ 1 let
𝜂𝑖 be a Poisson random variable with parameter 𝜆(𝐸 𝑖 ) and let {𝜉𝑖1 , 𝜉𝑖2 , . . .} be a
sequence of random variables on 𝐸 with identical distribution 𝜆(𝐸 𝑖 ) −1 𝜆| 𝐸𝑖 , where
𝜆| 𝐸𝑖 denotes the restriction of 𝜆 to 𝐸 𝑖 . Suppose that {𝜂𝑖 , 𝜉𝑖 𝑗 : 𝑖, 𝑗 = 1, 2, . . .} are
mutually
Í independent. Then we can define a 𝜎-finite random measure on 𝐸 by
𝑋 := ∞ 𝑓 ∈ 𝐵 ℎ (𝐸) + we have
Í 𝜂𝑖
𝑖=1 𝑗=1 𝛿 𝜉𝑖𝑗 . For
∞ ∑︁
∑︁ 𝜂𝑖
E exp{−𝑋 ( 𝑓 )} = E exp − 𝑓 (𝜉𝑖 𝑗 )
𝑖=1 𝑗=1
1.3 Poisson Random Measures 15
∞ ∑︁
∞ ∑︁ 𝑛
Ö 𝜆(𝐸 𝑖 ) 𝑛
= e−𝜆(𝐸𝑖 ) E exp − 𝑓 (𝜉𝑖 𝑗 )
𝑖=1 𝑛=0
𝑛! 𝑗=1
∞ ∞ ∫ 𝑛
Ö ∑︁ 1
= e−𝜆(𝐸𝑖 ) e− 𝑓 ( 𝑥) 𝜆(d𝑥)
𝑖=1 𝑛=0
𝑛! 𝐸𝑖
Ö∞ ∫
− 𝑓 ( 𝑥)
= exp − 𝜆(𝐸 𝑖 ) + e 𝜆(d𝑥)
𝑖=1 𝐸𝑖
∫
1 − e− 𝑓 ( 𝑥) 𝜆(d𝑥) .

= exp −
𝐸
Thus 𝑋 is a Poisson random measure on 𝐸 with intensity 𝜆. □
Proposition 1.29 Suppose that 𝑋 is a Poisson random measure on 𝐸 with intensity

𝜆 ∈ 𝑀ℎ (𝐸). Let 𝑋˜ = 𝑋 − 𝜆. Then for 𝑓 , 𝑔 ∈ 𝐵 ℎ (𝐸) + we have:
(1) E[𝑋 (𝑔)e−𝑋 ( 𝑓 ) ] = 𝜆(𝑔e− 𝑓 )E[e−𝑋 ( 𝑓 ) ];

(2) E[𝑋 (𝑔) 2 e−𝑋 ( 𝑓 ) ] = [𝜆(𝑔 2 e− 𝑓 ) + 𝜆(𝑔e− 𝑓 ) 2 ]E[e−𝑋 ( 𝑓 ) ];
(3) E[ 𝑋˜ ( 𝑓 ) 4 ] = 𝜆( 𝑓 4 ) + 3𝜆( 𝑓 2 ) 2 .
Proof For any 𝜃 ≥ 0 we may apply (1.15) to the function 𝑥 ↦→ 𝑓 (𝑥) + 𝜃𝑔(𝑥) to get
∫
1 − e− 𝑓 ( 𝑥)−𝜃𝑔 ( 𝑥) 𝜆(d𝑥) .

E exp{−𝑋 ( 𝑓 + 𝜃𝑔)} = exp −
𝐸
By differentiating both sides with respect to 𝜃 ≥ 0 at zero we get (1). The other two
results can be obtained in similar ways. □
Theorem 1.30 Suppose that 𝜆 is a finite measure on 𝐸 and 𝜇 is a probability measure

on (0, ∞). Then there is a probability measure 𝑄 on 𝑀 (𝐸) with Laplace functional
given by
∫ ∫ ∞
−𝑢 𝑓 ( 𝑥)
𝐿 𝑄 ( 𝑓 ) = exp − 𝜆(d𝑥) 1−e 𝜇(d𝑢) . (1.17)
𝐸 0
Proof We assume 𝜆 ≠ 0 to avoid triviality. Let 𝜂 be a Poisson random variable

with parameter 𝜆(𝐸) and let {𝜉1 , 𝜉2 , . . .} be a sequence of random variables on
𝐸 identically distributed according to 𝜆(𝐸) −1 𝜆. In addition, let {𝜃 1 , 𝜃 2 , . . .} be a
sequence of random variables with identical distribution 𝜇. Suppose that {𝜂, 𝜉 𝑗 , 𝜃 𝑗 :
𝑗 = 1, 2, . . .} are
Í 𝜂mutually independent. Then a finite random measure on 𝐸 is
defined by 𝑋 = 𝑗=1 𝜃 𝑗 𝛿 𝜉 𝑗 . As in the proof of Theorem 1.28 it is easy to see
∫ ∫ ∞
−𝑢 𝑓 ( 𝑥)
E exp{−𝑋 ( 𝑓 )} = exp − 𝜆(d𝑥) 1−e 𝜇(d𝑢) .
𝐸 0
for 𝑓 ∈ 𝐵(𝐸) + . Then 𝑋 has distribution 𝑄 on 𝑀 (𝐸) given by (1.17). □

A random measure 𝑋 on 𝐸 with distribution 𝑄 given by (1.17) is called a

compound Poisson random measure with intensity 𝜆 and height distribution 𝜇. The
intuitive meanings of the parameters are clear from the construction of the random
measure given in the above proof.
1.4 Infinitely Divisible Random Measures
Let 𝐸 be a Lusin topological space. For probability measures 𝑄 1 and 𝑄 2 on 𝑀 (𝐸),

the product 𝑄 1 × 𝑄 2 is a probability measure on 𝑀 (𝐸) 2 . The image of 𝑄 1 × 𝑄 2
under the mapping (𝜇1 , 𝜇2 ) ↦→ 𝜇1 + 𝜇2 is called the convolution of 𝑄 1 and 𝑄 2 and
is denoted by 𝑄 1 ∗ 𝑄 2 , which is a probability measure on 𝑀 (𝐸). According to the
definition, for any 𝐹 ∈ bℬ(𝑀 (𝐸)) we have
∫
𝐹 (𝜇) (𝑄 1 ∗ 𝑄 2 ) (d𝜇)
𝑀 (𝐸) ∫
= 𝐹 (𝜇1 + 𝜇2 )𝑄 1 (d𝜇1 )𝑄 2 (d𝜇2 ). (1.18)

𝑀 (𝐸) 2
Clearly, if 𝑋1 and 𝑋2 are independent random measures on 𝐸 with distributions 𝑄 1

and 𝑄 2 on 𝑀 (𝐸), respectively, the random measure 𝑋1 + 𝑋2 has distribution 𝑄 1 ∗𝑄 2 .
It is easy to show that
𝐿 𝑄1 ∗𝑄2 ( 𝑓 ) = 𝐿 𝑄1 ( 𝑓 )𝐿 𝑄2 ( 𝑓 ), 𝑓 ∈ 𝐵(𝐸) + . (1.19)
Let 𝑄 ∗0 = 𝛿0 and define 𝑄 ∗𝑛 = 𝑄 ∗(𝑛−1) ∗ 𝑄 inductively for integers 𝑛 ≥ 1. We say a

probability distribution 𝑄 on 𝑀 (𝐸) is infinitely divisible if for each integer 𝑛 ≥ 1,
there is a probability 𝑄 𝑛 such that 𝑄 = 𝑄 ∗𝑛
𝑛 . In this case, we call 𝑄 𝑛 the 𝑛-th root of
𝑄. A random measure 𝑋 on 𝐸 is said to be infinitely divisible if its distribution on
𝑀 (𝐸) is infinitely divisible.
Example 1.2 Poisson random measures and compound Poisson random measures are
infinitely divisible. The 𝑛-th roots of their distributions can be obtained by replacing
the intensity 𝜆 with 𝜆/𝑛.
The main purpose of this section is to give a characterization for the class of
infinitely divisible probability measures on 𝑀 (𝐸). Let ℐ(𝐸) denote the convex
cone of all functionals 𝑈 on 𝐵(𝐸) + with the representation
∫
1 − e−𝜈 ( 𝑓 ) 𝐿(d𝜈), 𝑓 ∈ 𝐵(𝐸) + ,

𝑈 ( 𝑓 ) = 𝜆( 𝑓 ) + (1.20)
𝑀 (𝐸) ◦
where 𝜆 ∈ 𝑀 (𝐸) and (1 ∧ 𝜈(1))𝐿(d𝜈) is a finite measure on 𝑀 (𝐸) ◦ . Let 𝑆2 (𝐸, 𝑟)

be defined as in Section 1.2.
Proposition 1.31 The measures 𝜆 and 𝐿 in (1.20) are uniquely determined by the
functional 𝑈 ∈ ℐ(𝐸).
1.4 Infinitely Divisible Random Measures 17
Proof Suppose that 𝑈 can also be represented by (1.20) with (𝜆, 𝐿) replaced by
(𝛾, 𝐺). For any constant 𝜃 ≥ 0, we can evaluate 𝑈 ( 𝑓 + 𝜃) − 𝑈 (𝜃) with the two
representations and get
∫
1 − e−𝜈 ( 𝑓 ) e−𝜈 ( 𝜃) 𝐺 (d𝜈)

𝛾( 𝑓 ) +
𝑀 (𝐸) ◦ ∫
1 − e−𝜈 ( 𝑓 ) e−𝜈 ( 𝜃) 𝐿(d𝜈).

= 𝜆( 𝑓 ) +
𝑀 (𝐸) ◦
Letting 𝜃 → ∞ gives 𝛾( 𝑓 ) = 𝜆( 𝑓 ), and hence 𝛾 = 𝜆. Then the above equality and

Theorem 1.24 imply e−𝜈 ( 𝜃) 𝐺 (d𝜈) = e−𝜈 ( 𝜃) 𝐿(d𝜈), and so 𝐺 (d𝜈) = 𝐿(d𝜈). □
Proposition 1.32 Suppose that 𝐽 is a functional on 𝑆2 (𝐸, 𝑟) and there is a sequence

{ 𝑓𝑛 } ⊂ 𝑆2 (𝐸, 𝑟) such that lim𝑛→∞ 𝑓𝑛 = 0 in bounded pointwise convergence and
lim𝑛→∞ 𝐽 ( 𝑓𝑛 ) = 0. If there is a sequence {𝑈𝑛 } ⊂ ℐ(𝐸) such that
lim 𝑈𝑛 ( 𝑓 ) = 𝐽 ( 𝑓 ), 𝑓 ∈ 𝑆2 (𝐸, 𝑟), (1.21)

𝑛→∞
then 𝐽 is the restriction to 𝑆2 (𝐸, 𝑟) of a functional 𝑈 ∈ ℐ(𝐸).
Proof Recall that 𝑃(𝐸) denotes the space of probability measures on 𝐸. For 𝜈 ∈
𝑀 (𝐸) ◦ let |𝜈| = 𝜈(𝐸) and 𝜈ˆ = |𝜈| −1 𝜈. The mapping 𝐹 : 𝜈 ↦→ (|𝜈|, 𝜈)
ˆ is clearly a
homeomorphism between 𝑀 (𝐸) ◦ and the product space (0, ∞) × 𝑃(𝐸). For 0 ≤ 𝑢 ≤
∞, 𝜋 ∈ 𝑃(𝐸) and 𝑓 ∈ 𝐵(𝐸) + let
 (1 − e−𝑢 ) −1 (1 − e−𝑢 𝜋 ( 𝑓 ) )


 if 0 < 𝑢 < ∞,
𝜉 (𝑢, 𝜋, 𝑓 ) = 𝜋( 𝑓 ) if 𝑢 = 0, (1.22)
1 if 𝑢 = ∞.


Suppose that 𝑈𝑛 ∈ ℐ(𝐸) is given by (1.21) with (𝜆, 𝐿) replaced by (𝜆 𝑛 , 𝐿 𝑛 ). Let

𝜋 𝑛 ∈ 𝑃(𝐸) be such that 𝜆 𝑛 = |𝜆 𝑛 |𝜋 𝑛 and let 𝐻𝑛 (d𝑢, d𝜋) be the image of 𝐿 𝑛 (d𝜈)
under the mapping 𝐹. Define the finite measure 𝐺 𝑛 (d𝑢, d𝜋) on [0, ∞] × 𝑃(𝐸) by
𝐺 𝑛 ({(0, 𝜋 𝑛 )}) = |𝜆 𝑛 |, 𝐺 𝑛 (({0, ∞} × 𝑃(𝐸)) \ {(0, 𝜋 𝑛 )}) = 0 and 𝐺 𝑛 (d𝑢, d𝜋) =
(1 − e−𝑢 )𝐻𝑛 (d𝑢, d𝜋) for 0 < 𝑢 < ∞ and 𝜋 ∈ 𝑃(𝐸). Then we have
∫ ∫
𝑈𝑛 ( 𝑓 ) = 𝜉 (𝑢, 𝜋, 𝑓 )𝐺 𝑛 (d𝑢, d𝜋), 𝑓 ∈ 𝐵(𝐸) + .
[0,∞] 𝑃 (𝐸)
By (1.21) it is evident that {𝐺 𝑛 } is a bounded sequence in 𝑀 ( [0, ∞] × 𝑃(𝐸)). Let

(𝐸, 𝑟) be the compact metric space as described in Section 1.2. Then Theorem 1.14
implies that {𝐺 𝑛 } viewed as a sequence of measures on [0, ∞] × 𝑃(𝐸, 𝑟) is relatively
compact. Take any subsequence {𝐺 𝑛𝑘 } ⊂ {𝐺 𝑛 } such that lim 𝑘→∞ 𝐺 𝑛𝑘 = 𝐺 weakly
for a finite measure 𝐺 on [0, ∞] × 𝑃(𝐸, 𝑟). For any 𝑓 ∈ 𝑆2 (𝐸, 𝑟) the mapping
(𝑢, 𝜋) ↦→ 𝜉 (𝑢, 𝜋, 𝑓 ) is clearly continuous on [0, ∞] × 𝑃(𝐸, 𝑟). By (1.21) we have
∫ ∫
𝐽( 𝑓 ) = 𝜉 (𝑢, 𝜋, 𝑓 )𝐺 (d𝑢, d𝜋), 𝑓 ∈ 𝑆2 (𝐸, 𝑟).
[0,∞] 𝑃 (𝐸)
Observe also that lim𝑛→∞ 𝐽 ( 𝑓𝑛 ) = 0 implies 𝐺 ({∞} × 𝑃(𝐸)) = 0. Then the desired
conclusion follows by a change of the integration variable. □
Theorem 1.33 Suppose that 𝑈 is a functional on 𝐵(𝐸) + continuous with respect

to bounded pointwise convergence. If there is a sequence {𝑈𝑛 } ⊂ ℐ(𝐸) such that
𝑈 ( 𝑓 ) = lim𝑛→∞ 𝑈𝑛 ( 𝑓 ) for all 𝑓 ∈ 𝐵(𝐸) + , then 𝑈 ∈ ℐ(𝐸).
Proof This is similar to the proof of Theorem 1.21 with an application of Proposi-
tion 1.32. □
Corollary 1.34 Suppose that {𝑈𝑛 } ⊂ ℐ(𝐸) and 𝑈 is a functional on 𝐵(𝐸) + . If

𝑈𝑛 ( 𝑓 ) → 𝑈 ( 𝑓 ) uniformly in 𝑓 ∈ 𝐵 𝑎 (𝐸) + for each 𝑎 ≥ 0, then 𝑈 ∈ ℐ(𝐸).
Corollary 1.35 Suppose that {𝑈𝑛 } ⊂ ℐ(𝐸) and there is a measure 𝜋 ∈ 𝑀 (𝐸) such
that 𝑈𝑛 ( 𝑓 ) ≤ 𝜋( 𝑓 ) for all 𝑛 ≥ 1 and 𝑓 ∈ 𝐵(𝐸) + . If 𝑈 ( 𝑓 ) = lim𝑛→∞ 𝑈𝑛 ( 𝑓 ) for all
𝑓 ∈ 𝐵(𝐸) + , then we have 𝑈 ∈ ℐ(𝐸).
Proof Let 𝑈𝑛 be given by (1.20) with (𝜆, 𝐿) replaced by (𝜆 𝑛 , 𝐿 𝑛 ). For 𝑓 ∈ 𝐵(𝐸) +

we can use monotone convergence to see
∫
𝜆𝑛 ( 𝑓 ) + 𝜈( 𝑓 )𝐿 𝑛 (d𝜈) = lim 𝜃 −1𝑈𝑛 (𝜃 𝑓 ) ≤ 𝜋( 𝑓 ).
𝑀 (𝐸) ◦ 𝜃 ↓0
Consequently, for any 𝑓 and 𝑔 ∈ 𝐵(𝐸) + we have

∫
|𝑈𝑛 ( 𝑓 ) − 𝑈𝑛 (𝑔)| ≤ 𝜆 𝑛 (| 𝑓 − 𝑔|) + 𝜈(| 𝑓 − 𝑔|)𝐿 𝑛 (d𝜈)
𝑀 (𝐸) ◦
≤ 𝜋(| 𝑓 − 𝑔|),
and hence |𝑈 ( 𝑓 ) − 𝑈 (𝑔)| ≤ 𝜋(| 𝑓 − 𝑔|). Then 𝑈 is continuous in bounded pointwise

convergence and so 𝑈 ∈ ℐ(𝐸) by Theorem 1.33. □
Suppose that 𝑈 ∈ ℐ(𝐸) has the representation (1.20). Let 𝑁 (d𝜈) be a Poisson
random measure on 𝑀 (𝐸) ◦ with intensity measure 𝐿. By Theorem 1.26 it is easy to
show that
∫
𝑋 := 𝜆 + 𝜈𝑁 (d𝜈) (1.23)
𝑀 (𝐸) ◦
defines a random measure on 𝐸 with − log 𝐿 𝑋 = 𝑈. Let 𝑄 be the distribution of 𝑋 on

𝑀 (𝐸). By the same reasoning, for any integer 𝑛 ≥ 1 there is a probability measure 𝑄 𝑛
on 𝑀 (𝐸) satisfying − log 𝐿 𝑄𝑛 = 𝑛−1𝑈, implying 𝑄 ∗𝑛 𝑛 = 𝑄. Therefore 𝑄 is infinitely
divisible. We write 𝑄 = 𝐼 (𝜆, 𝐿) if 𝑄 is an infinitely divisible probability measure on
𝑀 (𝐸) with 𝑈 = − log 𝐿 𝑄 ∈ ℐ(𝐸) represented by (1.20). The construction (1.23)
for the corresponding random measure is also called a cluster representation.
Theorem 1.36 The equation 𝑈 = − log 𝐿 𝑄 establishes a one-to-one correspondence

between functionals 𝑈 ∈ ℐ(𝐸) and infinitely divisible probability measures 𝑄 on
𝑀 (𝐸).
1.4 Infinitely Divisible Random Measures 19
Proof By the above comments we only need to show if 𝑄 is an infinitely divisible

probability measure on 𝑀 (𝐸), then 𝑈 := − log 𝐿 𝑄 ∈ ℐ(𝐸). For 𝑛 ≥ 1 let 𝑄 𝑛 be the
𝑛-th root of 𝑄. Then
∫
−1
𝑈 ( 𝑓 ) = lim 𝑛[1 − e−𝑛 𝑈 ( 𝑓 ) ] = lim 1 − e−𝜈 ( 𝑓 ) 𝑛𝑄 𝑛 (d𝜈)

𝑛→∞ 𝑛→∞ 𝑀 (𝐸) ◦
and the convergence is uniform in 𝑓 ∈ 𝐵 𝑎 (𝐸) + for each 𝑎 ≥ 0. By Corollary 1.34

we have 𝑈 ∈ ℐ(𝐸). □
Theorem 1.37 Suppose that 𝑉 : 𝑓 ↦→ 𝑣(·, 𝑓 ) is an operator on 𝐵(𝐸) + such that
𝑣(𝑥, ·) ∈ ℐ(𝐸) for all 𝑥 ∈ 𝐸. Then we have the representation
∫
1 − e−𝜈 ( 𝑓 ) 𝐿(𝑥, d𝜈), 𝑓 ∈ 𝐵(𝐸) + ,

𝑣(𝑥, 𝑓 ) = 𝜆(𝑥, 𝑓 ) + (1.24)
𝑀 (𝐸) ◦
where 𝜆(𝑥, d𝑦) is a bounded kernel on 𝐸 and (1 ∧ 𝜈(1))𝐿 (𝑥, d𝜈) is a bounded kernel
from 𝐸 to 𝑀 (𝐸) ◦ .
Proof Under the assumption, for any fixed 𝑥 ∈ 𝐸 we have the representation (1.24),
where 𝜆(𝑥, ·) ∈ 𝑀 (𝐸) and (1 ∧ 𝜈(1))𝐿(𝑥, d𝜈) is a finite measure on 𝑀 (𝐸) ◦ . For
every 𝑓 ∈ 𝐵(𝐸) + ,
𝑥 ↦→ 𝑤(𝑥, 𝑓 ) := 2𝑣(𝑥, 𝑓 + 1) − 𝑣(𝑥, 𝑓 + 2) − 𝑣(𝑥, 𝑓 )
is a bounded Borel function on 𝐸. Observe also that

∫
2
𝑤(𝑥, 𝑓 ) = e−𝜈 ( 𝑓 ) 1 − e−𝜈 (1) 𝐿 (𝑥, d𝜈).
𝑀 (𝐸) ◦
By Theorem 1.23 we see that (1 − e−𝜈 (1) ) 2 𝐿(𝑥, d𝜈) is a bounded kernel from 𝐸 to
𝑀 (𝐸) ◦ . In view of (1.24),
∫
1 − e−𝜈 (1) 𝐿 (𝑥, d𝜈)

𝑥 ↦→
𝑀 (𝐸) ◦
is a bounded function on 𝐸. It follows that (1∧𝜈(1))𝐿(𝑥, d𝜈) is a bounded kernel from

𝐸 to 𝑀 (𝐸) ◦ . By another application of the relation (1.24) one sees that 𝑥 ↦→ 𝜆(𝑥, 𝑓 )
is a bounded Borel function on 𝐸 for every 𝑓 ∈ 𝐵(𝐸) + . Then 𝜆(𝑥, d𝑦) is a bounded
kernel on 𝐸. □
Theorem 1.38 If 𝑈 ∈ ℐ(𝐸) and if 𝑉 : 𝑓 ↦→ 𝑣(·, 𝑓 ) is an operator on 𝐵(𝐸) + such
that 𝑣(𝑥, ·) ∈ ℐ(𝐸) for all 𝑥 ∈ 𝐸, then 𝑈 ◦ 𝑉 ∈ ℐ(𝐸).
Proof By Theorem 1.37 it is easy to see that for any 𝜇 ∈ 𝑀 (𝐸) the functional
𝑓 ↦→ 𝜇(𝑉 𝑓 ) belongs to ℐ(𝐸). Then there is an infinitely divisible probability
measure 𝑄(𝜇, ·) on 𝑀 (𝐸) satisfying − log 𝐿 𝑄 ( 𝜇,·) ( 𝑓 ) = 𝜇(𝑉 𝑓 ). By Theorem 1.23
we see that 𝑄(𝜇, d𝜈) is a probability kernel on 𝑀 (𝐸). Let 𝐺 be the infinitely divisible
probability measure on 𝑀 (𝐸) with − log 𝐿 𝐺 = 𝑈 and define
∫
𝑄(d𝜈) = 𝐺 (d𝜇)𝑄(𝜇, d𝜈), 𝜈 ∈ 𝑀 (𝐸).
𝑀 (𝐸)
It is not hard to show that − log 𝐿 𝑄 = 𝑈 ◦ 𝑉. By the same reasoning, for each integer
𝑛 ≥ 1 there is a probability measure 𝑄 𝑛 such that − log 𝐿 𝑄𝑛 = 𝑛−1𝑈 ◦ 𝑉. Then
𝑄 = 𝑄 ∗𝑛 𝑛 and hence 𝑄 is infinitely divisible. By Theorem 1.36 we conclude that
𝑈 ◦ 𝑉 ∈ ℐ(𝐸). □
The following result gives a useful method for the calculation of the moments of
infinitely divisible probability measures on 𝑀 (𝐸).
Proposition 1.39 Let 𝑈 ∈ ℐ(𝐸) be given by (1.20). Then for any 𝑓 ∈ 𝐵(𝐸) + we
have
∫
d
𝑈 (𝜃 𝑓 ) = 𝜆( 𝑓 ) + 𝜈( 𝑓 )e−𝜃 𝜈 ( 𝑓 ) 𝐿(d𝜈) (1.25)
d𝜃 𝑀 (𝐸) ◦
and
∫
d𝑛
𝑈 (𝜃 𝑓 ) = (−1) 𝑛−1 𝜈( 𝑓 ) 𝑛 e−𝜃 𝜈 ( 𝑓 ) 𝐿(d𝜈) (1.26)
d𝜃 𝑛 𝑀 (𝐸) ◦
for 0 < 𝜃 < ∞ and 𝑛 = 2, 3, . . ..
Proof For any 𝑛 ≥ 1 the function 𝑧 ↦→ 𝑧 𝑛 e−𝑧 achieves its maximal value on [0, ∞)
at 𝑧 = 𝑛. It follows that
𝜈( 𝑓 ) 𝑛 e−𝜃 𝜈 ( 𝑓 ) ≤ 𝑛𝑛 𝜃 0−𝑛 e−𝑛 , 𝜃 ≥ 𝜃 0 > 0, 𝜈 ∈ 𝑀 (𝐸).
Fix 𝜃 0 > 0 and 𝑓 ∈ 𝐵(𝐸) + and let 𝐹𝑛 (𝜈) = 𝑛𝑛 𝜃 0−𝑛 e−𝑛 ∧ 𝜈( 𝑓 ) 𝑛 . It is easy to see that
𝐿 (𝐹𝑛 ) < ∞ and
𝜈( 𝑓 ) 𝑛 e−𝜃 𝜈 ( 𝑓 ) ≤ 𝐹𝑛 (𝜈), 𝜃 ≥ 𝜃 0 , 𝜈 ∈ 𝑀 (𝐸).
Then we have (1.25) and (1.26) by dominated convergence. □
To close this section we give a characterization of infinitely divisible probability

measures on the positive half line R+ = [0, ∞). Write 𝜓 ∈ ℐ if 𝜆 ↦→ 𝜓(𝜆) is a
positive function on [0, ∞) with the representation
∫ ∞
𝜓(𝜆) = 𝛽𝜆 + (1 − e−𝜆𝑢 )𝑙 (d𝑢), (1.27)
0
where 𝛽 ≥ 0 and (1∧𝑢)𝑙 (d𝑢) is a finite measure on (0, ∞). By applying Theorem 1.36
to the case where 𝐸 is a singleton, we have the following:
Theorem 1.40 The relation 𝜓 = − log 𝐿 𝜇 establishes a one-to-one correspondence

between the functions 𝜓 ∈ ℐ and infinitely divisible probability measures 𝜇 on
[0, ∞).
1.5 Lévy–Khintchine Type Representations 21
Example 1.3 Let 𝑏 > 0 and 𝛼 > 0. The Gamma distribution 𝛾 on [0, ∞) with
parameters (𝑏, 𝛼) is defined by
∫
𝛼𝑏
𝛾(𝐵) = 𝑥 𝑏−1 e−𝛼𝑥 d𝑥, 𝐵 ∈ ℬ[0, ∞).
Γ(𝑏) 𝐵
This reduces to the exponential distribution when 𝑏 = 1. The Gamma distribution
has Laplace transform
𝛼 𝑏
𝐿 𝛾 (𝜆) = , 𝜆 ≥ 0.
𝛼+𝜆
It is easily seen that 𝛾 is infinitely divisible and its 𝑛-th root is the Gamma distribution
with parameters (𝑏/𝑛, 𝛼).
Example 1.4 For 𝑐 > 0 and 0 < 𝛼 < 1 the function 𝜆 ↦→ 𝑐𝜆 𝛼 admits the representa-
tion (1.27). Indeed, it is easy to show
∫ ∞
𝛼 d𝑢
𝜆𝛼 = (1 − e−𝜆𝑢 ) 1+𝛼 , 𝜆 ≥ 0. (1.28)
Γ(1 − 𝛼) 0 𝑢
The infinitely divisible probability measure 𝜈 on [0, ∞) satisfying − log 𝐿 𝜈 (𝜆) = 𝑐𝜆 𝛼
is known as the one-sided stable distribution with index 0 < 𝛼 < 1. This distribution
does not charge zero and is absolutely continuous with respect to the Lebesgue
measure on (0, ∞) with continuous density. For 𝛼 = 1/2 it has density
𝑐 2
𝑞(𝑥) := √ 𝑥 −3/2 e−𝑐 /4𝑥 , 𝑥 > 0.
2 𝜋
For a general index the density can be given using an infinite series; see, e.g., Sato
(1999, p. 88).
1.5 Lévy–Khintchine Type Representations
In this section, we present some criteria for continuous functions on R+ = [0, ∞)

to have Lévy–Khintchine type representations. The results are useful in the study of
high-density limits of discrete branching processes. For an interval 𝑇 ⊂ R let 𝒞(𝑇)
denote the set of continuous (not necessarily bounded) functions on 𝑇. For any 𝑐 ≥ 0
we define the difference operator Δ𝑐 by
Δ𝑐 𝑓 (𝜆) = 𝑓 (𝜆 + 𝑐) − 𝑓 (𝜆), 𝜆, 𝜆 + 𝑐 ∈ 𝑇, 𝑓 ∈ 𝒞(𝑇).
Let Δ0𝑐 be the identity and define Δ𝑛𝑐 = Δ𝑛−1

𝑐 Δ𝑐 for 𝑛 ≥ 1 inductively. Then we have
𝑚
∑︁ 𝑚
Δ𝑚
𝑐 𝑓 (𝜆) = (−1) 𝑚
(−1) 𝑖 𝑓 (𝜆 + 𝑖𝑐). (1.29)
𝑖=0
𝑖
We call 𝜃 ∈ 𝒞[0, ∞) a completely monotone function if it satisfies
(−1) 𝑖 Δ𝑖𝑐 𝜃 (𝜆) ≥ 0, 𝜆 ≥ 0, 𝑐 ≥ 0, 𝑖 = 0, 1, 2, . . . . (1.30)
The Bernstein polynomials of a function 𝑓 ∈ 𝒞[0, 1] are given by

𝑚
∑︁ 𝑚 𝑖
𝐵 𝑓 ,𝑚 (𝑠) = Δ1/𝑚 𝑓 (0)𝑠𝑖 , 0 ≤ 𝑠 ≤ 1, 𝑚 = 1, 2, . . . .
𝑖=0
𝑖
It is well known that
𝐵 𝑓 ,𝑚 (𝑠) → 𝑓 (𝑠), 𝑠 ∈ [0, 1], (1.31)
uniformly as 𝑚 → ∞; see, e.g., Feller (1971, p. 222).
Theorem 1.41 A function 𝜃 ∈ 𝒞[0, ∞) is the Laplace transform of a finite measure

𝐺 on [0, ∞) if and only if it is completely monotone.
Proof Suppose that 𝜃 ∈ 𝒞[0, ∞) is the Laplace transform of a finite measure 𝐺 on

[0, ∞). Clearly, we have (1.30) because
∫
(−1) 𝑖 Δ𝑖𝑐 𝜃 (𝜆) = e−𝜆𝑢 (1 − e−𝑐𝑢 ) 𝑖 𝐺 (d𝑢).
[0,∞)
Conversely, suppose that (1.30) holds. For fixed 𝑎 > 0, we let 𝛾 𝑎 (𝑠) = 𝜃 (𝑎 − 𝑎𝑠) for
0 ≤ 𝑠 ≤ 1. The complete monotonicity of 𝜃 implies
Δ𝑖1/𝑚 𝛾 𝑎 (0) ≥ 0, 𝑖 = 0, 1, . . . , 𝑚.
Then the Bernstein polynomial 𝐵 𝛾𝑎 ,𝑚 (𝑠) has positive coefficients, so 𝐵 𝛾𝑎 ,𝑚 (e−𝜆/𝑎 )

is the Laplace transform of a finite measure 𝐺 𝑎,𝑚 on [0, ∞). By Theorem 1.21,
𝜃 (𝜆) = lim lim 𝐵 𝛾𝑎 ,𝑚 (e−𝜆/𝑎 ), 𝜆 ≥ 0,

𝑎→∞ 𝑚→∞
is the Laplace transform of a finite measure on [0, ∞). □
Corollary 1.42 A function 𝜃 ∈ 𝒞[0, ∞) is the Laplace transform of a finite measure

𝐺 on [0, ∞) if and only if it is infinitely differentiable in (0, ∞) and
(−1) 𝑖 𝐷 𝑖 𝜃 (𝜆) ≥ 0, 𝜆 > 0, 𝑖 = 0, 1, 2, . . . , (1.32)
where 𝐷 𝑖 denotes the 𝑖-th derivative.
Proof Suppose that 𝜃 ∈ 𝒞[0, ∞) is the Laplace transform of a finite measure 𝐺 on

[0, ∞). Then (1.32) holds because
∫
(−1) 𝑖 𝐷 𝑖 𝜃 (𝜆) = e−𝜆𝑢 𝑢 𝑖 𝐺 (d𝑢).
[0,∞)
Conversely, suppose that 𝜃 ∈ 𝒞[0, ∞) satisfies (1.32). Since the operators 𝐷 𝑖 and
Δ𝑐 are interchangeable, for any positive sequence {𝑐 𝑖 } it is easy to see that
(−1) 𝑖 Δ𝑐1 · · · Δ𝑐𝑖 𝜃 (𝜆) ≥ 0, 𝜆 ≥ 0, 𝑖 = 0, 1, 2, . . . .
Then 𝜃 is completely monotone. By Theorem 1.41, it is the Laplace transform of a

finite measure on [0, ∞). □
Now let us consider a general Lévy–Khintchine type representation for continuous

functions on [0, ∞). For 𝑢 ≥ 0 and 𝜆 ≥ 0 let
𝑛−1
∑︁ (−𝜆𝑢) 𝑖
𝜉 𝑛 (𝑢, 𝜆) = e−𝜆𝑢 − 1 − (1 + 𝑢 𝑛 ) −1 , 𝑛 = 1, 2, . . . .
𝑖=1
𝑖!
We are interested in functions 𝜙 ∈ 𝒞[0, ∞) with the representation

𝑛−1
∑︁ ∫
𝜙(𝜆) = 𝑎 𝑖 𝜆𝑖 + 𝜉 𝑛 (𝑢, 𝜆) (1 − e−𝑢 ) −𝑛 𝐺 (d𝑢), 𝜆 ≥ 0, (1.33)
𝑖=0 [0,∞)
where 𝑛 ≥ 1 is an integer, {𝑎 0 , . . . , 𝑎 𝑛−1 } is a set of constants and 𝐺 (d𝑢) is a finite

measure on [0, ∞). The value at 𝑢 = 0 of the integrand in (1.33) is defined by
continuity as (−𝜆) 𝑛 /𝑛!.
Lemma 1.43 A function 𝜂 ∈ 𝒞[0, ∞) is a polynomial of degree less than 𝑛 ≥ 1 if

and only if Δ𝑛𝑐 𝜂(0) = 0 for all 𝑐 ≥ 0.
Proof If 𝜂 ∈ 𝒞[0, ∞) is a polynomial of degree less than 𝑛 ≥ 1, one sees easily

Δ𝑛𝑐 𝜂(0) = 0 for all 𝑐 ≥ 0. For the converse, suppose that 𝜂 ∈ 𝒞[0, ∞) and Δ𝑛𝑐 𝜂(0) = 0
for all 𝑐 ≥ 0. Fix 𝑎 > 0 and let 𝜂 𝑎 (𝑠) = 𝜂(𝑎𝑠) for 0 ≤ 𝑠 ≤ 1. Since
Δ𝑛𝑐 𝜂 𝑎 (0) = 0, 0 ≤ 𝑐 ≤ 𝑛−1 ,
the polynomials of 𝜂 𝑎 have degree less than 𝑛, that is,

𝑛−1
∑︁
𝐵 𝜂𝑎 ,𝑚 (𝑠) = 𝑏 𝑖(𝑚) 𝑠𝑖 , 𝑚 = 𝑛, 𝑛 + 1, . . . .
𝑖=0
The coefficients 𝑏 𝑖(𝑚) here can be represented as linear combinations of
𝐵 𝜂𝑎 ,𝑚 (1/𝑛), 𝐵 𝜂𝑎 ,𝑚 (2/𝑛), . . . , 𝐵 𝜂𝑎 ,𝑚 (𝑛/𝑛).
By (1.31) the limits
lim 𝑏 (𝑚) = 𝑏𝑖 , 𝑖 = 0, 1, . . . , 𝑛 − 1
𝑚→∞ 𝑖
𝑏 𝑖 𝑠𝑖 for 0 ≤ 𝑠 ≤ 1. Setting 𝑎 𝑖 = 𝑎 −1 𝑏 𝑖 we get

Í𝑛−1
exist and hence 𝜂 𝑎 (𝑠) = 𝑖=0
𝑛−1
∑︁
𝜂(𝑠) = 𝑎 𝑖 𝑠𝑖 , 0 ≤ 𝑠 ≤ 𝑎.
𝑖=0
Clearly, this formula holds in fact for all 𝑠 ≥ 0. □
Theorem 1.44 A function 𝜙 ∈ 𝒞[0, ∞) has the representation (1.33) if and only if
for every 𝑐 ≥ 0 the function
𝜃 𝑐 (𝜆) := (−1) 𝑛 Δ𝑐𝑛 𝜙(𝜆), 𝜆≥0 (1.34)
is the Laplace transform of a finite measure on [0, ∞).
Proof Suppose that 𝜙 is given by (1.33). Using (1.29) it is easy to see

∫
𝜃 𝑐 (𝜆) = e−𝜆𝑢 (1 − e−𝑐𝑢 ) 𝑛 (1 − e−𝑢 ) −𝑛 𝐺 (d𝑢),
[0,∞)
where the integrand is defined as 𝑐 𝑛 at 𝑢 = 0 by continuity. Thus 𝜃 𝑐 is the Laplace

transform of a finite measure on [0, ∞). Conversely, assume 𝜃 𝑐 is the Laplace
transform of a finite measure 𝐺 𝑐 on [0, ∞), that is,
∫
𝜃 𝑐 (𝜆) = e−𝜆𝑢 𝐺 𝑐 (d𝑢), 𝜆 ≥ 0. (1.35)
[0,∞)
From (1.29) and the relation
(−1) 𝑛 Δ1𝑛 𝜃 𝑐 (𝜆) = Δ1𝑛 Δ𝑛𝑐 𝜙(𝜆) = Δ𝑐𝑛 Δ1𝑛 𝜙(𝜆) = (−1) 𝑛 Δ𝑛𝑐 𝜃 1 (𝜆)
it follows that
∫ ∫
e−𝜆𝑢 (1 − e−𝑢 ) 𝑛 𝐺 𝑐 (d𝑢) = e−𝜆𝑢 (1 − e−𝑐𝑢 ) 𝑛 𝐺 (d𝑢),
[0,∞) [0,∞)
where 𝐺 = 𝐺 1 . Therefore
𝐺 𝑐 (d𝑢) = (1 − e−𝑐𝑢 ) 𝑛 (1 − e−𝑢 ) −𝑛 𝐺 (d𝑢), 0<𝑢<∞ (1.36)
by the uniqueness of the Laplace transform. Let

∫
𝜙0 (𝜆) = 𝜉 𝑛 (𝑢, 𝜆) (1 − e−𝑢 ) −𝑛 𝐺 (d𝑢), 𝜆 ≥ 0. (1.37)
[0,∞)
The function 𝜂(𝜆) := 𝜙(𝜆) − 𝜙0 (𝜆) is continuous and
(−1) 𝑛 Δ𝑛+1
𝑐 𝜂(𝜆) = (−1)
𝑛
Δ𝑐 [Δ𝑐𝑛∫𝜙(𝜆) − Δ𝑛𝑐 𝜙0 (𝜆)]
h i
= Δ𝑐 𝜃 𝑐 (𝜆) − e−𝜆𝑢 (1 − e−𝑐𝑢 ) 𝑛 (1 − e−𝑢 ) −𝑛 𝐺 (d𝑢)
[0,∞)
= Δ𝑐 [𝐺 𝑐 ({0}) − 𝑐 𝑛 𝐺 ({0})] = 0,
where we used (1.36) for the third equality. ByÍLemma 1.43 the function 𝜂 is a
𝑛
polynomial of degree less than 𝑛 + 1, say 𝜂(𝜆) = 𝑖=0 𝑎 𝑖 𝜆𝑖 . By (1.34) and (1.37), we
have
h ∫ i
𝑛 𝑛
𝑛!𝑎 𝑛 = Δ1 𝜂(𝜆) = (−1) 𝜃 1 (𝜆) − e−𝜆𝑢 𝐺 (d𝑢) = 0.
[0,∞)
Then 𝜙 has the representation (1.33). □

By calculations similar to those used in the proof of Corollary 1.42 we have:
Corollary 1.45 A function 𝜙 ∈ 𝒞[0, ∞) has the representation (1.33) if and only if
it is infinitely differentiable in (0, ∞) and
(−1) 𝑖 𝐷 𝑖 𝜙(𝜆) ≥ 0, 𝜆 > 0, 𝑖 = 𝑛, 𝑛 + 1, 𝑛 + 2, . . . , (1.38)
where 𝐷 𝑖 denotes the 𝑖-th derivative.

Based on the above two theorems we can give canonical representations for the
limit functions of some sequences involving probability generating functions. Let
{𝛼 𝑘 } be a sequence of positive numbers and let {𝑔 𝑘 } be a sequence of probability
generating functions, that is,
∞
∑︁
𝑔 𝑘 (𝑧) = 𝑝 𝑘𝑖 𝑧𝑖 , |𝑧| ≤ 1,
𝑖=0
Í∞
where 𝑝 𝑘𝑖 ≥ 0 and 𝑖=0 𝑝 𝑘𝑖 = 1. We first consider the sequence of functions {𝜓 𝑘 }
defined by
𝜓 𝑘 (𝜆) = 𝛼 𝑘 [1 − 𝑔 𝑘 (1 − 𝜆/𝑘)], 0 ≤ 𝜆 ≤ 𝑘. (1.39)
Theorem 1.46 If the sequence {𝜓 𝑘 } defined by (1.39) converges to some 𝜓 ∈

𝒞[0, ∞), then the limit function belongs to the class ℐ defined by (1.27).
Proof For any 𝑐, 𝜆 ≥ 0 and sufficiently large 𝑘 ≥ 1 we have
Δ𝑐 𝜓 𝑘 (𝜆) = −𝛼 𝑘 Δ𝑐 𝑔 𝑘 (1 − ·/𝑘) (𝜆).
Since for each integer 𝑖 ≥ 1 the 𝑖-th derivative 𝑔 𝑘(𝑖) is a power series with positive
(𝑖)
𝑐 𝑔 𝑘 for any 𝑚 ≥ 1. In particular, we have
coefficients, so is Δ𝑚
d𝑖
(−1) 𝑖 Δ𝑐 𝜓 𝑘 (𝜆) = −𝑘 −𝑖 𝛼 𝑘 Δ𝑐 𝑔 𝑘(𝑖) (1 − ·/𝑘) (𝜆) ≥ 0.
d𝜆𝑖
By the mean-value theorem, one sees inductively (−1) 𝑖 Δ𝑖ℎ Δ𝑐 𝜓 𝑘 (𝜆) ≥ 0. Letting
𝑘 → ∞ we obtain (−1) 𝑖 Δ𝑖ℎ Δ𝑐 𝜓(𝜆) ≥ 0. Then Δ𝑐 𝜓(𝜆) is a completely monotone
function of 𝜆 ≥ 0, so by Theorem 1.41 it is the Laplace transform of a finite measure
on [0, ∞). Since 𝜓(0) = lim 𝑘→∞ 𝜓 𝑘 (0) = 0, by Theorem 1.44 there is a finite
measure 𝐹 on [0, ∞) such that
∫
1 − e−𝜆𝑢 (1 − e−𝑢 ) −1 𝐹 (d𝑢),

𝜓(𝜆) =
[0,∞)
where the value of the integrand at 𝑢 = 0 is defined as 𝜆 by continuity. Then (1.27)

follows with 𝛽 = 𝐹 ({0}) and 𝑙 (d𝑢) = (1 − e−𝑢 ) −1 𝐹 (d𝑢) for 𝑢 > 0. □
Example 1.5 Suppose that 𝑔 is a probability generating function such that 𝛽 :=

𝑔 ′ (1−) < ∞. Let 𝛼 𝑘 = 𝑘 and 𝑔 𝑘 (𝑧) = 𝑔(𝑧). Then the sequence 𝜓 𝑘 (𝜆) defined by
(1.39) converges to 𝛽𝜆 as 𝑘 → ∞.
Example 1.6 For any 0 < 𝛼 ≤ 1 the function 𝜓(𝜆) = 𝜆 𝛼 has the representation
(1.27). For 𝛼 = 1 this is trivial, and for 0 < 𝛼 < 1 it follows from (1.28). Let 𝜓 𝑘 (𝜆)
be defined by (1.39) with 𝛼 𝑘 = 𝑘 𝛼 and 𝑔 𝑘 (𝑧) = 1 − (1 − 𝑧) 𝛼 . Then 𝜓 𝑘 (𝜆) = 𝜆 𝛼 for
0 ≤ 𝜆 ≤ 𝑘.
In the study of limit theorems of branching models, we shall also need to consider
the limit of another function sequence defined as follows. Let {𝛼 𝑘 } and {𝑔 𝑘 } be
given as above and let
𝜙 𝑘 (𝜆) = 𝛼 𝑘 [𝑔 𝑘 (1 − 𝜆/𝑘) − (1 − 𝜆/𝑘)], 0 ≤ 𝜆 ≤ 𝑘. (1.40)
Theorem 1.47 If the sequence {𝜙 𝑘 } defined by (1.40) converges to some 𝜙 ∈

𝒞[0, ∞), then the limit function has the representation
∫ ∞
𝜆𝑢
𝜙(𝜆) = 𝑎𝜆 + 𝑐𝜆2 + e−𝜆𝑢 − 1 + 𝑚(d𝑢), (1.41)
0 1 + 𝑢2
where 𝑐 ≥ 0 and 𝑎 are constants, and 𝑚(d𝑢) is a 𝜎-finite measure on (0, ∞)
satisfying
∫ ∞
(1 ∧ 𝑢 2 )𝑚(d𝑢) < ∞. (1.42)
0
Proof Since 𝜙(0) = lim 𝑘→∞ 𝜙 𝑘 (0) = 0, arguing as in the proof of Theorem 1.46
we see that 𝜙 has the representation (1.33) with 𝑛 = 2 and 𝑎 0 = 0, which can be
rewritten in the equivalent form (1.41). □
There are some frequently used variations of the representation (1.41). One of
those is the following equivalent representation:
∫ ∞
2
e−𝜆𝑢 − 1 + 𝜆𝑢1 {𝑢≤1} 𝑚(d𝑢),

𝜙(𝜆) = 𝑏 1 𝜆 + 𝑐𝜆 + (1.43)
0
where
∫ ∞
𝑢
𝑏1 = 𝑎 + − 𝑢1 {𝑢 ≤1} 𝑚(d𝑢).
0 1 + 𝑢2
In particular, if the measure 𝑚(d𝑢) satisfies the integrability condition

∫ ∞
(𝑢 ∧ 𝑢 2 ) 𝑚(d𝑢) < ∞, (1.44)
0
we have
∫ ∞
𝜙(𝜆) = 𝑏𝜆 + 𝑐𝜆2 + e−𝜆𝑢 − 1 + 𝜆𝑢 𝑚(d𝑢),

(1.45)
0
where
∞
𝑢3
∫
𝑏=𝑎− 𝑚(d𝑢).
0 1 + 𝑢2
Proposition 1.48 The function 𝜙 ∈ 𝒞[0, ∞) with the representation (1.41) is locally
Lipschitz if and only if (1.44) holds.
Proof By the dominated convergence theorem, we can differentiate both sides of

(1.43) to obtain, for each 𝜆 > 0,
∫ 1 ∫ ∞
𝜙 ′ (𝜆) = 𝑏 1 + 2𝑐𝜆 + 𝑢 1 − e−𝜆𝑢 𝑚(d𝑢) − 𝑢e−𝜆𝑢 𝑚(d𝑢).

0 1
Then we use monotone convergence to the two integrals to get

∫ ∞
′
𝜙 (0+) = 𝑏 1 − 𝑢𝑚(d𝑢).
1
If 𝜙 is locally Lipschitz, we have 𝜙 ′ (0+)

> −∞ and the integral on the right-hand
side is finite. This together with (1.42) implies (1.44). Conversely, if (1.44) holds,
then 𝜙 ′ is bounded on each bounded interval and so 𝜙 is locally Lipschitz. □
Corollary 1.49 If the sequence {𝜙 𝑘 } defined by (1.40) is uniformly Lipschitz on each

bounded interval and 𝜙 𝑘 (𝜆) → 𝜙(𝜆) for all 𝜆 ≥ 0 as 𝑘 → ∞, then the limit function
has the representation (1.45).
Example 1.7 Suppose that 𝑔 is a probability generating function such that 𝑔 ′ (1−) = 1
and 𝑐 := 𝑔 ′′ (1−)/2 < ∞. Let 𝛼 𝑘 = 𝑘 2 and 𝑔 𝑘 (𝑧) = 𝑔(𝑧). By Taylor’s expansion it is
easy to show that the sequence 𝜙 𝑘 (𝜆) defined by (1.40) converges to 𝑐𝜆2 as 𝑘 → ∞.
Example 1.8 For 0 < 𝛼 < 1 the function 𝜙(𝜆) = −𝜆 𝛼 has the representation (1.41).
This follows from (1.28) as we notice
∫ ∞ ∫ ∞
𝑢 d𝑢 1 d𝑢
= < ∞.
0 1 + 𝑢 2 𝑢 1+𝛼 0 1 + 𝑢2 𝑢 𝛼
The function is the limit of the sequence 𝜙 𝑘 (𝜆) defined by (1.40) with 𝛼 𝑘 = 𝑘 𝛼 and
𝑔 𝑘 (𝑧) = 1 − (1 − 𝑧) 𝛼 .
Example 1.9 For any 1 ≤ 𝛼 ≤ 2 the function 𝜙(𝜆) = 𝜆 𝛼 can be represented in the
form of (1.45). In particular, for 1 < 𝛼 < 2 we have
∫ ∞
𝛼(𝛼 − 1) d𝑢
𝜆𝛼 = (e−𝜆𝑢 − 1 + 𝜆𝑢) 1+𝛼 , 𝜆 ≥ 0.
Γ(2 − 𝛼) 0 𝑢
Let 𝜙 𝑘 (𝜆) be defined by (1.40) with 𝛼 𝑘 = 𝛼𝑘 𝛼 and 𝑔 𝑘 (𝑧) = 𝑧 + 𝛼−1 (1 − 𝑧) 𝛼 . Then

𝜙 𝑘 (𝜆) = 𝜆 𝛼 for 0 ≤ 𝜆 ≤ 𝑘.
Example 1.10 The function 𝜙(𝜆) = 𝜆 log 𝜆 has the representation (1.41). In fact, we
have
∫ ∞ ∫ ∞
−𝜆𝑢 d𝑢 d𝑣
(e − 1 + 𝜆𝑢1 {𝑢≤1} ) 2 = 𝜆 (e−𝑣 − 1 + 𝑣1 {𝑣 ≤𝜆} ) 2
0 𝑢 0 ∫ 𝜆 𝑣
d𝑣
= ℎ𝜆 + 𝜆 = ℎ𝜆 + 𝜆 log 𝜆,
1 𝑣
where
∫ ∞
d𝑣
ℎ= (e−𝑣 − 1 + 𝑣1 {𝑣 ≤1} ) .
0 𝑣2
Then 𝜙 has representation (1.43), which is equivalent to (1.41). Clearly, this function
cannot be represented by (1.45). For sufficiently large 𝑘 ≥ 1, let 𝜙 𝑘 (𝜆) be defined
by (1.40) with 𝛼 𝑘 = 𝑘 (log 𝑘 − 1) and
𝑔 𝑘 (𝑧) = 𝑧 + 𝑘𝛼−1
𝑘 (1 − 𝑧) log[𝑘 (1 − 𝑧)].
It is easy to see that 𝜙 𝑘 (𝜆) = 𝜆 log 𝜆 for 0 ≤ 𝜆 ≤ 𝑘.
1.6 Notes and Comments
For the theory of convergence of probability measures on metric spaces we refer to

Billingsley (1999), Ethier and Kurtz (1986) and Parthasarathy (1967). A standard
reference for random measures is Kallenberg (1975).
A slightly different form of Proposition 1.20 was given in Dynkin (1989a). The-
orem 1.21 can be found in Dynkin (1989b, 1991a). See Dynkin (1989b) for another
proof of Theorem 1.24. Some earlier forms of Theorem 1.33 were given in Silver-
stein (1969) and Watanabe (1968). Functions in the class ℐ defined by (1.27) are
known as Bernstein functions. We refer the reader to Schilling et al. (2012) for a
systematic treatment of those functions. Theorems 1.41 and 1.44 and their proofs
are from Li (1991). Theorem 1.41 can also be derived from the results of Widder
(1931). Corollary 1.42 is a famous result of Bernstein; see, e.g., Feller (1971, p. 439)
or Berg et al. (1984, p. 135).
1.6 Notes and Comments 29
The Laplace transform provides an important tool for the study of probability
measures on the half line R+ . To characterize a probability measure 𝜇 on the real
line R one usually uses its characteristic function defined by
∫
ˆ =
𝜇(𝑡) e𝑖𝑡 𝑥 𝜇(d𝑥), 𝑡 ∈ R.
R
It is well known that the probability measure is infinitely divisible if and only if its
characteristic function is given by the Lévy–Khintchine formula:
∫
2 𝑖𝑡 𝑦
ˆ = exp 𝑖𝑎𝑡 − 𝑐𝑡 +
𝜇(𝑡) e − 1 − 𝑖𝑡𝑦1 { |𝑦 | ≤1} 𝐿(d𝑦) , (1.46)
R\{0}
where 𝑐 ≥ 0 and 𝑎 are constants and 𝐿(d𝑦) is a 𝜎-finite (Lévy) measure on R \ {0}
such that
∫
(1 ∧ 𝑦 2 )𝐿 (d𝑦) < ∞.
R\{0}
For the infinitely divisible probability measure 𝜇 given by (1.46) we have

∫
|𝑥|𝜇(d𝑥) < ∞
R
if and only
∫
(|𝑦| ∧ 𝑦 2 )𝐿 (d𝑦) < ∞;
R\{0}
see, e.g., Sato (1999, p. 163). In this case, we can rewrite the Lévy–Khintchine
representation as
∫
2 𝑖𝑡 𝑦
ˆ = exp 𝑖𝑏𝑡 − 𝑐𝑡 +
𝜇(𝑡) e − 1 − 𝑖𝑡𝑦 𝐿 (d𝑦) , (1.47)
R\{0}
where
∫
𝑏= 𝑥𝜇(d𝑥).
R
In particular, a one-sided stable distribution with index 1 < 𝛼 < 2 is obtained by

taking 𝑏 = 𝑐 = 0 and 𝐿(d𝑦) = ℎ𝑦 −1−𝛼 1 {𝑦>0} d𝑦 for some constant ℎ > 0 in (1.47).
Chapter 2
Measure-Valued Branching Processes
A measure-valued process describes the evolution of a population that evolves ac-

cording to the law of chance. In this chapter we provide some basic characterizations
and constructions for measure-valued branching processes. In particular, we estab-
lish a one-to-one correspondence between those processes and cumulant semigroups.
Some results for nonlinear integral evolution equations are proved, which lead to
an analytic construction of a class of measure-valued branching processes, the so-
called Dawson–Watanabe superprocesses. We shall construct the superprocesses for
admissible killing densities and general branching mechanisms that are not necessar-
ily decomposable into local and non-local parts. A number of moment formulas are
proved. We also give some estimates for the variations of the transition probabilities
with different initial states in Wasserstein and total variation distances.
2.1 Definitions and Basic Properties
Suppose that 𝐸 is a Lusin topological space and (𝑄 𝑡 )𝑡 ≥0 is a conservative transition

semigroup on 𝑀 (𝐸). We say (𝑄 𝑡 )𝑡 ≥0 satisfies the branching property provided
𝑄 𝑡 (𝜇1 + 𝜇2 , ·) = 𝑄 𝑡 (𝜇1 , ·) ∗ 𝑄 𝑡 (𝜇2 , ·), 𝑡 ≥ 0, 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸). (2.1)
In this case, it is easy to see that 𝑄 𝑡 (𝜇, ·) is an infinitely divisible probability measure
on 𝑀 (𝐸) for all 𝑡 ≥ 0 and 𝜇 ∈ 𝑀 (𝐸). Given the transition semigroup (𝑄 𝑡 )𝑡 ≥0 , for
𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + let
∫
𝑉𝑡 𝑓 (𝑥) = − log e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝛿 𝑥 , d𝜈), 𝑥 ∈ 𝐸. (2.2)
𝑀 (𝐸)
We say (𝑄 𝑡 )𝑡 ≥0 satisfies the regular branching property if for every 𝑡 ≥ 0 and

𝑓 ∈ 𝐵(𝐸) + the function 𝑉𝑡 𝑓 belongs to 𝐵(𝐸) + and

32 2 Measure-Valued Branching Processes
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}, 𝜇 ∈ 𝑀 (𝐸). (2.3)
𝑀 (𝐸)
Clearly, (𝑄 𝑡 )𝑡 ≥0 has the branching property (2.1) if it satisfies the regular branching
property (2.3).
Theorem 2.1 If (𝑄 𝑡 )𝑡 ≥0 satisfies the branching property (2.1), then for any proba-
bility measures 𝑁1 and 𝑁2 on 𝑀 (𝐸) we have
(𝑁1 ∗ 𝑁2 )𝑄 𝑡 = (𝑁1 𝑄 𝑡 ) ∗ (𝑁2 𝑄 𝑡 ), 𝑡 ≥ 0. (2.4)
Proof For any 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + ,

∫
e−𝜈 ( 𝑓 ) (𝑁1 ∗ 𝑁2 )𝑄 𝑡 (d𝜈)
𝑀 (𝐸)
∫ ∫
= (𝑁1 ∗ 𝑁2 ) (d𝜇) e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈)
∫ 𝑀 (𝐸) 𝑀 (𝐸)
∫
= 𝑁1 (d𝜇1 )𝑁2 (d𝜇2 ) e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇1 + 𝜇2 , d𝜈)
2
∫𝑀 (𝐸) ∫𝑀 (𝐸)
= 𝑁1 (d𝜇1 )𝑁2 (d𝜇2 ) e−𝜈1 ( 𝑓 )−𝜈2 ( 𝑓 ) 𝑄 𝑡 (𝜇1 , d𝜈1 )𝑄 𝑡 (𝜇2 , d𝜈2 )
∫𝑀 (𝐸) 2 ∫(𝐸) 2
𝑀
= e−𝜈1 ( 𝑓 ) (𝑁1 𝑄 𝑡 ) (d𝜈1 ) e−𝜈2 ( 𝑓 ) (𝑁2 𝑄 𝑡 ) (d𝜈2 ).

𝑀 (𝐸) 𝑀 (𝐸)
Then (2.4) follows by the uniqueness of the Laplace functional. □
Proposition 2.2 If (𝑄 𝑡 )𝑡 ≥0 satisfies the branching property (2.1) and 𝐾 is an in-

finitely divisible probability measure on 𝑀 (𝐸), then 𝐾𝑄 𝑡 is an infinitely divisible
probability measure on 𝑀 (𝐸) for any 𝑡 ≥ 0.
Proof For 𝑛 ≥ 1 let 𝐾𝑛 be the 𝑛-th root of 𝐾. By applying (2.4) inductively we have
(𝐾𝑛 𝑄 𝑡 ) ∗𝑛 = (𝐾𝑛∗𝑛 )𝑄 𝑡 = 𝐾𝑄 𝑡 . Then 𝐾𝑄 𝑡 is infinitely divisible. □
Suppose that 𝑇 is an interval on the real line and (ℱ𝑡 )𝑡 ∈𝑇 is a filtration. A Markov
process {(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ∈ 𝑇 } in 𝑀 (𝐸) with transition semigroup (𝑄 𝑡 )𝑡 ≥0 satisfying
the branching property (2.1) is called a measure-valued branching process (MB-
process). In particular, we call {(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ∈ 𝑇 } a regular MB-process if (𝑄 𝑡 )𝑡 ≥0
satisfies the regular branching property defined by (2.2) and (2.3).
Theorem 2.3 Suppose that {(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ∈ 𝑇 } and {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ∈ 𝑇 } are two

independent MB-processes with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . Let 𝑍𝑡 = 𝑋𝑡 + 𝑌𝑡 and
ℋ𝑡 = 𝜎(ℱ𝑡 ∪ 𝒢𝑡 ). Then {(𝑍𝑡 , ℋ𝑡 ) : 𝑡 ∈ 𝑇 } is also an MB-process with transition
semigroup (𝑄 𝑡 )𝑡 ≥0 .
Proof Let 𝑟 ≤ 𝑡 ∈ 𝑇 and suppose 𝐹 ∈ bℱ𝑟 and 𝐺 ∈ b𝒢𝑟 . For any 𝑓 ∈ 𝐵(𝐸) + we
use the independence of {(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ∈ 𝑇 } and {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ∈ 𝑇 } and the branching
property (2.1) to see that
2.1 Definitions and Basic Properties 33
h i
E 𝐹𝐺 exp{−𝑍𝑡 ( 𝑓 )}
h i h i
= E 𝐹 exp{−𝑋𝑡 ( 𝑓 )} E 𝐺 exp{−𝑌𝑡 ( 𝑓 )}
h ∫ i h ∫ i
= E 𝐹 e−𝜈 ( 𝑓 ) 𝑄 𝑡−𝑟 (𝑋𝑟 , d𝜈) E 𝐺 e−𝜈 ( 𝑓 ) 𝑄 𝑡−𝑟 (𝑌𝑟 , d𝜈)
h 𝑀∫(𝐸) i 𝑀 (𝐸)
−𝜈 ( 𝑓 )
= E 𝐹𝐺 e 𝑄 𝑡−𝑟 (𝑍𝑟 , d𝜈) .
𝑀 (𝐸)
Then Proposition A.1 implies

h h ∫
i i
E 𝐻 exp{−𝑍𝑡 ( 𝑓 )} = E 𝐻 e−𝜈 ( 𝑓 ) 𝑄 𝑡−𝑟 (𝑍𝑟 , d𝜈)
𝑀 (𝐸)
for any 𝐻 ∈ bℋ𝑟 . This gives the desired result. □
Recall that ℐ(𝐸) denotes the convex cone of functionals on 𝐵(𝐸) + with the
representation (1.20). Let (𝑉𝑡 )𝑡 ≥0 be a family of operators on 𝐵(𝐸) + and let 𝑣 𝑡 (𝑥, 𝑓 ) =
𝑉𝑡 𝑓 (𝑥). We call (𝑉𝑡 )𝑡 ≥0 a cumulant semigroup provided:
(1) 𝑣 𝑡 (𝑥, ·) ∈ ℐ(𝐸) for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸;
(2) 𝑉𝑟 𝑉𝑡 = 𝑉𝑟+𝑡 for every 𝑟, 𝑡 ≥ 0.
By Theorem 1.37, if (𝑉𝑡 )𝑡 ≥0 is a cumulant semigroup, each operator 𝑉𝑡 has the
canonical representation
∫
1 − e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈), 𝑓 ∈ 𝐵(𝐸) + ,

𝑉𝑡 𝑓 (𝑥) = 𝜆 𝑡 (𝑥, 𝑓 ) + (2.5)
𝑀 (𝐸) ◦
where 𝜆 𝑡 (𝑥, d𝑦) is a bounded kernel on 𝐸 and [1 ∧ 𝜈(1)] 𝐿 𝑡 (𝑥, d𝜈) is a bounded
kernel from 𝐸 to 𝑀 (𝐸) ◦ .
Theorem 2.4 The relation (2.3) establishes a one-to-one correspondence between

cumulant semigroups (𝑉𝑡 )𝑡 ≥0 on 𝐵(𝐸) + and transition semigroups (𝑄 𝑡 )𝑡 ≥0 on 𝑀 (𝐸)
satisfying the regular branching property.
Proof Suppose that (𝑉𝑡 )𝑡 ≥0 is a cumulant semigroup. By Theorem 1.36 we see that
(2.3) defines an infinitely divisible probability measure 𝑄 𝑡 (𝜇, ·) on 𝑀 (𝐸). From
𝑉𝑟 𝑉𝑡 = 𝑉𝑟+𝑡 we have 𝑄 𝑟 𝑄 𝑡 = 𝑄 𝑟+𝑡 . That is, (𝑄 𝑡 )𝑡 ≥0 is a transition semigroup
on 𝑀 (𝐸). Conversely, suppose that (𝑄 𝑡 )𝑡 ≥0 is a transition semigroup on 𝑀 (𝐸)
satisfying the regular branching property. Then 𝑄 𝑡 (𝜇, ·) is an infinitely divisible
probability measure on 𝑀 (𝐸). This is true in particular for 𝜇 = 𝛿 𝑥 , and so 𝑉𝑡 𝑓 (𝑥)
has the representation (2.5) by Theorems 1.36 and 1.37. The semigroup property of
(𝑉𝑡 )𝑡 ≥0 follows from that of (𝑄 𝑡 )𝑡 ≥0 . □
Example 2.1 Let 𝑀𝑎 (𝐸) and 𝑀𝑑 (𝐸) denote respectively the subset of 𝑀 (𝐸) of
purely atomic measures and that of diffuse measures. Then each 𝜇 ∈ 𝑀 (𝐸) has the
unique decomposition 𝜇 = 𝜇 𝑎 + 𝜇 𝑑 for 𝜇 𝑎 ∈ 𝑀𝑎 (𝐸) and 𝜇 𝑑 ∈ 𝑀𝑑 (𝐸). The mappings
𝜇 ↦→ 𝜇 𝑎 and 𝜇 ↦→ 𝜇 𝑑 are measurable; see Kallenberg (1975, pp. 10–11). Take two
distinct real constants 𝑐 𝑎 and 𝑐 𝑑 and let 𝑄 𝑡 (𝜇, ·) be the unit mass concentrated at
e𝑐𝑎 𝑡 𝜇 𝑎 + e𝑐𝑑 𝑡 𝜇 𝑑 . Then (𝑄 𝑡 )𝑡 ≥0 satisfies the branching property (2.1), but it is not
regular in the sense of (2.3).
Theorem 2.5 Suppose that 𝐸 is a compact metric space. If (𝑉𝑡 )𝑡 ≥0 is a cumulant

semigroup on 𝐸 preserving 𝐶 (𝐸) ++ and 𝑉𝑡 𝑓 (𝑥) → 𝑓 (𝑥) pointwise as 𝑡 → 0 for every
𝑓 ∈ 𝐶 (𝐸) ++ , then (2.3) defines a Feller semigroup (𝑄 𝑡 )𝑡 ≥0 on 𝑀 (𝐸). Conversely, if
(𝑄 𝑡 )𝑡 ≥0 is a Feller semigroup having the branching property (2.1), then it satisfies
the regular branching property (2.3) with cumulant semigroup (𝑉𝑡 )𝑡 ≥0 preserving
𝐶 (𝐸) ++ and 𝑉𝑡 𝑓 (𝑥) → 𝑓 (𝑥) pointwise as 𝑡 → 0 for every 𝑓 ∈ 𝐶 (𝐸) ++ .
Proof If (𝑉𝑡 )𝑡 ≥0 is a cumulant semigroup on 𝐸 that preserves 𝐶 (𝐸) ++ and 𝑉𝑡 𝑓 (𝑥) →

𝑓 (𝑥) pointwise as 𝑡 → 0 for every 𝑓 ∈ 𝐶 (𝐸) ++ , it is easy to see that (2.3) defines
a Feller semigroup on 𝑀 (𝐸). For the converse, suppose that (𝑄 𝑡 )𝑡 ≥0 is a Feller
semigroup on 𝑀 (𝐸) having the branching property (2.1). Given 𝑓 ∈ 𝐵(𝐸) + we
++ +
defineÍ𝑛𝑉𝑡 𝑓 (𝑥) by (2.2). For any 𝑓 ∈ 𝐶 (𝐸) we clearly have 𝑉𝑡 𝑓 ∈ 𝐶 (𝐸) . If
𝜇 = 𝑖=1 ( 𝑝 𝑖 /𝑞 𝑖 )𝛿 𝑥𝑖 for 𝑥𝑖 ∈ 𝐸 and integers 𝑝 𝑖 and 𝑞 𝑖 ≥ 1, we have (2.3) by easy
calculations based on (2.1). By an approximating argument, the equality holds for
all 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐶 (𝐸) ++ . The extension from 𝑓 ∈ 𝐶 (𝐸) ++ to 𝑓 ∈ 𝐵(𝐸) + is
immediate by Proposition 1.3. Then (𝑄 𝑡 )𝑡 ≥0 satisfies the regular branching property.
If there exists an 𝑓 ∈ 𝐶 (𝐸) ++ such that 𝑉𝑡 𝑓 ∉ 𝐶 (𝐸) ++ , the compactness of 𝐸
assures the existence of a point 𝑥0 ∈ 𝐸 satisfying 𝑉𝑡 𝑓 (𝑥0 ) = 0, so the function
𝜇 ↦→ exp{−𝜇(𝑉𝑡 𝑓 )} does not belong to 𝐶0 (𝑀 (𝐸)), yielding a contradiction. Then
(𝑉𝑡 )𝑡 ≥0 preserves 𝐶 (𝐸) ++ . Since 𝑄 𝑡 𝐹 (𝜇) → 𝐹 (𝜇) pointwise as 𝑡 → 0 for every
𝐹 ∈ 𝐶0 (𝑀 (𝐸)), we have 𝑉𝑡 𝑓 (𝑥) → 𝑓 (𝑥) pointwise as 𝑡 → 0 for every 𝑓 ∈ 𝐶 (𝐸) ++ .□
In the rest of the book, we will only consider regular MB-processes and will omit
the adjective “regular”. By (2.3) it is easy to see that 𝑄 𝑡 (0, {0}) = 1 for every 𝑡 ≥ 0.
More generally, we have
𝑄 𝑡 (𝜇, {0}) = e−𝜇 ( 𝑣¯𝑡 ) , 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸), (2.6)
where
𝑣¯ 𝑡 (𝑥) = lim 𝑉𝑡 𝜆(𝑥) ∈ [0, ∞], 𝑥 ∈ 𝐸. (2.7)

𝜆→∞
From (2.6) we see that 𝑡 ↦→ 𝑣¯ 𝑡 (𝑥) is decreasing for every 𝑥 ∈ 𝐸. Observe also that
𝑄 𝑡 (𝜇, {0}) > 0 for every 𝜇 ∈ 𝑀 (𝐸) if and only if 𝑣¯ 𝑡 is a bounded function on 𝐸.
Let (𝑄 ◦𝑡 )𝑡 ≥0 denote the restriction of (𝑄 𝑡 )𝑡 ≥0 to 𝑀 (𝐸) ◦ .
Proposition 2.6 Suppose that (𝑄 𝑡 )𝑡 ≥0 is defined by (2.3) with (𝑉𝑡 )𝑡 ≥0 given by

(2.5). If 𝑁 = 𝐼 (𝜂, 𝐻) is an infinitely divisible probability measure on 𝑀 (𝐸), then
𝑁𝑄 𝑡 = 𝐼 (𝜂𝑡 , 𝐻𝑡 ) is infinitely divisible for every 𝑡 ≥ 0, where
∫ ∫
𝜂𝑡 = 𝜂(d𝑦)𝜆 𝑡 (𝑦, ·) and 𝐻𝑡 = 𝜂(d𝑦)𝐿 𝑡 (𝑦, ·) + 𝐻𝑄 ◦𝑡 . (2.8)
𝐸 𝐸
2.1 Definitions and Basic Properties 35
Proof We first note that 𝑁𝑄 𝑡 is infinitely divisible by Proposition 2.2. For 𝑡 ≥ 0 and
𝑓 ∈ 𝐵(𝐸) + we have
∫
− log e−𝜈 ( 𝑓 ) 𝑁𝑄 𝑡 (d𝜈)
𝑀 (𝐸) ∫
1 − e−𝜈 (𝑉𝑡 𝑓 ) 𝐻 (d𝜈)

= 𝜂(𝑉𝑡 𝑓 ) +
𝑀 (𝐸) ◦
∫ ∫ ∫
1 − e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑦, d𝜈)

= 𝜂(d𝑦)𝜆 𝑡 (𝑦, 𝑓 ) + 𝜂(d𝑦)
𝐸 ∫ 𝐸 𝑀 (𝐸) ◦
−𝜈 ( 𝑓 ) ◦
+ 1−e 𝐻𝑄 𝑡 (d𝜈).
𝑀 (𝐸) ◦
Then 𝑁𝑄 𝑡 = 𝐼 (𝜂𝑡 , 𝐻𝑡 ) with (𝜂𝑡 , 𝐻𝑡 ) given by (2.8). □
Corollary 2.7 Suppose that (𝑄 𝑡 )𝑡 ≥0 is defined by (2.3) with (𝑉𝑡 )𝑡 ≥0 given by (2.5).
Then for any 𝑡 ≥ 𝑟 ≥ 0 and 𝑥 ∈ 𝐸 we have
∫
𝜆𝑟+𝑡 (𝑥, ·) = 𝜆𝑟 (𝑥, d𝑦)𝜆 𝑡 (𝑦, ·) (2.9)
𝐸
and
∫ ∫
𝐿 𝑟+𝑡 (𝑥, ·) = 𝜆𝑟 (𝑥, d𝑦)𝐿 𝑡 (𝑦, ·) + 𝐿 𝑟 (𝑥, d𝜇)𝑄 ◦𝑡 (𝜇, ·). (2.10)
𝐸 𝑀 (𝐸) ◦
Proof This follows by applying Proposition 2.6 to the infinitely divisible probability
measure 𝑄 𝑟 (𝛿 𝑥 , ·) on 𝑀 (𝐸). □
Corollary 2.8 For any 𝑥 ∈ 𝐸 the family of 𝜎-finite measures 𝐿(𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 >
0} defined by (2.5) constitute an entrance rule for the restricted semigroup (𝑄 ◦𝑡 )𝑡 ≥0 .
We call 𝐿 (𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0} the canonical entrance rule at 𝑥 ∈ 𝐸 defined

by (𝑉𝑡 )𝑡 ≥0 . Let 𝐸𝐶 be the set of points 𝑥 ∈ 𝐸 such that 𝜆 𝑡 (𝑥, 𝐸) = 0 for every 𝑡 > 0.
Then 𝑥 ∈ 𝐸𝐶 if and only if
∫
1 − e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈), 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + .

𝑉𝑡 𝑓 (𝑥) = (2.11)
𝑀 (𝐸) ◦
By Corollary 2.7, for 𝑥 ∈ 𝐸𝐶 the canonical entrance rule 𝐿(𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0}
is an entrance law for (𝑄 ◦𝑡 )𝑡 ≥0 . If the function 𝑣¯ 𝑡 defined by (2.7) is finite on 𝐸 for
every 𝑡 > 0, we clearly have 𝐸𝐶 = 𝐸 and 𝑣¯ 𝑡 (𝑥) = 𝐿 𝑡 (𝑥, 𝑀 (𝐸) ◦ ) for every 𝑥 ∈ 𝐸.
Example 2.2 Let 𝐸 = {0} be a singleton. In this case, we understand 𝑀 (𝐸) = [0, ∞).
For 𝜆 ≥ 0 let 𝑣 0 (𝜆) = 𝜆 and
∫ ∞
𝜆
𝑣 𝑡 (𝜆) = (1 − e−𝜆𝑢 )𝑡 −2 e−𝑢/𝑡 u. = , 𝑡 > 0. (2.12)
0 1 + 𝑡𝜆
Then (𝑣 𝑡 )𝑡 ≥0 is a one-dimensional cumulant semigroup.

Example 2.3 Let 𝐸 = [0, ∞) and let (𝑣 𝑡 )𝑡 ≥0 be defined as in Example 2.2. For 𝑥 ∈ 𝐸
and 𝑓 ∈ 𝐵(𝐸) + let
𝑉𝑡 𝑓 (𝑥) = 1 {𝑥+𝑡 <1} 𝑓 (𝑥 + 𝑡) + 1 {𝑥+𝑡 ≥1} 𝑣 𝑥+𝑡−1 ( 𝑓 (𝑥 + 𝑡)).
Then (𝑉𝑡 )𝑡 ≥0 is a cumulant semigroup on 𝐸 and 𝐸𝐶 = [1, ∞). Clearly, the canonical
entrance rule 𝐿(𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0} defined by (2.5) is regular.
Example 2.4 Let 𝐸 = [0, ∞) and let (𝑣 𝑡 )𝑡 ≥0 be defined as in Example 2.2. For 𝑥 ∈ 𝐸
and 𝑓 ∈ 𝐵(𝐸) + let
𝑉𝑡 𝑓 (𝑥) = 1 {𝑥+𝑡 <1} 𝑓 (𝑥 + 𝑡) + 1 {𝑥+𝑡 ≥1} 𝑣 𝑥+𝑡 ( 𝑓 (𝑥 + 𝑡)).
Then (𝑉𝑡 )𝑡 ≥0 is also a cumulant semigroup on 𝐸 and 𝐸𝐶 = [1, ∞). Let 𝐿 (𝑥) =
{𝐿 𝑡 (𝑥, ·) : 𝑡 > 0} be the canonical entrance rule defined from this cumulant semi-
group. In view of (2.12), we have
∫ ∞
𝑉𝑡 𝑓 (0) = 1 {𝑡 <1} 𝑓 (𝑡) + 1 {𝑡 ≥1} (1 − e−𝑢 𝑓 (𝑡) )𝑡 −2 e−𝑢/𝑡 d𝑢.
0
It follows that 𝐿 𝑡 (0, ·) = 0 for 0 ≤ 𝑡 < 1 and

∫ ∫ ∞
−𝜈 ( 𝑓 )
(1 − e )𝐿 𝑡 (0, d𝜈) = (1 − e−𝑢 𝑓 (𝑡) )𝑡 −2 e−𝑢/𝑡 d𝑢, 𝑡 ≥ 1.
𝑀 (𝐸) ◦ 0
Then the canonical entrance rule 𝐿 (0) = {𝐿 𝑡 (0, ·) : 𝑡 > 0} is not regular.
2.2 Integral Evolution Equations
Let 𝐸 be a Lusin topological space. Suppose that 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) is a Borel

right process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 . Let {𝐾 (𝑡) : 𝑡 ≥ 0} be a
continuous additive functional of 𝜉 which is admissible in the sense that each 𝜔 ↦→
𝐾𝑡 (𝜔) is measurable with respect to the 𝜎-algebra ℱ 0 := 𝜎({𝜉𝑡 : 𝑡 ≥ 0}) and

𝑘 (𝑡) := sup P 𝑥 𝐾 (𝑡) → 0, 𝑡 → 0. (2.13)
𝑥 ∈𝐸
For any 𝛽 ∈ 𝐵(𝐸) we write

∫ 𝑡
𝐾𝑡 (𝛽) = 𝛽(𝜉 𝑠 )𝐾 (d𝑠), 𝑡 ≥ 0.
0
Let bℰ(𝐾) denote the set of functions 𝛽 ∈ 𝐵(𝐸) such that 𝑡 ↦→ e−𝐾𝑡 (𝛽) is a locally
bounded stochastic process. Recall that ∥ · ∥ denotes the supremum norm of functions
on 𝐸.
2.2 Integral Evolution Equations 37
Proposition 2.9 Let 𝑓 ∈ 𝐵(𝐸) and 𝑏, 𝛽 ∈ bℰ(𝐾). If the two locally bounded
functions ℎ, 𝑢 ∈ ℬ([0, ∞) × 𝐸) satisfy
∫ 𝑡
−𝐾 (𝛽) −𝐾𝑠 (𝛽)
𝑢(𝑡, 𝑥) = P 𝑥 e 𝑡
𝑓 (𝜉𝑡 ) + P 𝑥 e ℎ(𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠) , (2.14)
0
they also satisfy

∫ 𝑡
𝑢(𝑡, 𝑥) = P 𝑥 e−𝐾𝑡 (𝑏) 𝑓 (𝜉𝑡 ) + P 𝑥 e−𝐾𝑠 (𝑏) ℎ(𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠)

∫ 𝑡 0
−𝐾𝑠 (𝑏)
− P𝑥 e [𝛽(𝜉 𝑠 ) − 𝑏(𝜉 𝑠 )]𝑢(𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠) . (2.15)
0
Proof Let 𝐾𝑡𝑟 (𝛽) = 𝐾𝑡 (𝛽) −𝐾𝑟 (𝛽) for 𝑡 ≥ 𝑟 ≥ 0. Since 𝑠 ↦→ ℱ𝑠 is a right continuous
filtration, the process
𝑠 ↦→ P 𝑥 [e−𝐾𝑡 (𝛽) 𝑓 (𝜉𝑡 )|ℱ𝑠 ] = e𝐾𝑠 (𝛽) P 𝑥 [e−𝐾𝑡 (𝛽) 𝑓 (𝜉𝑡 )|ℱ𝑠 ]
𝑠
is a.s. right continuous. Let 𝑔 = 𝛽 − 𝑏 ∈ bℰ(𝐾). By the Markov property of 𝜉,

∫ 𝑡
𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) P 𝜉𝑠 e−𝐾𝑡−𝑠 (𝛽) 𝑓 ( 𝜉𝑡−𝑠 ) 𝐾 (d𝑠)

P𝑥
0 ∫
𝑡
𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) P 𝑥 e−𝐾𝑡 (𝛽) 𝑓 ( 𝜉𝑡 ) |ℱ𝑠 𝐾 (d𝑠)
𝑠
= P𝑥
0
𝑛 ∫ 𝑖𝑡/𝑛
∑︁
𝑖𝑡/𝑛
𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) P 𝑥 e−𝐾𝑡 (𝛽) 𝑓 ( 𝜉𝑡 ) |ℱ𝑖𝑡/𝑛 𝐾 (d𝑠)

= lim P 𝑥
𝑛→∞ (𝑖−1) 𝑡/𝑛
𝑖=1
𝑛
∑︁ ∫ 𝑖𝑡/𝑛
𝑖𝑡/𝑛
= lim P𝑥 P𝑥 𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) e−𝐾𝑡 (𝛽)
𝑓 ( 𝜉𝑡 ) 𝐾 (d𝑠) ℱ𝑖𝑡/𝑛
𝑛→∞ (𝑖−1) 𝑡/𝑛
𝑖=1
𝑛
∑︁ ∫ 𝑖𝑡/𝑛
𝑖𝑡/𝑛
= lim P𝑥 𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) e−𝐾𝑡 (𝛽) 𝑓 ( 𝜉𝑡 ) 𝐾 (d𝑠)
𝑛→∞ (𝑖−1) 𝑡/𝑛
𝑖=1
∫ 𝑡
𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) e−𝐾𝑡 (𝛽) 𝑓 ( 𝜉𝑡 ) 𝐾 (d𝑠)
𝑠
= P𝑥
∫0 𝑡
𝑔 ( 𝜉𝑠 )e−𝐾𝑡 (𝑏) e−𝐾𝑡 (𝑔) 𝑓 ( 𝜉𝑡 ) 𝐾 (d𝑠)
𝑠
= P𝑥
n 0 o
= P 𝑥 𝑓 ( 𝜉𝑡 )e−𝐾𝑡 (𝑏) 1 − e−𝐾𝑡 (𝑔) .
By similar calculations we have

∫ 𝑡 ∫ 𝑡−𝑠
P𝑥 𝑔 ( 𝜉𝑠 )e−𝐾𝑠 (𝑏) P 𝜉𝑠 e−𝐾𝑟 (𝛽) ℎ (𝑡 − 𝑠 − 𝑟 , 𝜉𝑟 ) 𝐾 (d𝑟) 𝐾 (d𝑠)
0 ∫ 0 ∫ 𝑡−𝑠
𝑡
−𝐾𝑠 (𝑏)
e−𝐾𝑠+𝑟 (𝛽) ℎ (𝑡 − 𝑠 − 𝑟 , 𝜉𝑠+𝑟 ) 𝐾 (𝑠 + d𝑟)
𝑠
= P𝑥 𝑔 ( 𝜉𝑠 )e 𝐾 (d𝑠)
∫0 𝑡 ∫0 𝑡
−𝐾𝑠 (𝑏)
e−𝐾𝑟 (𝛽) ℎ (𝑡 − 𝑟 , 𝜉𝑟 ) 𝐾 (d𝑟)
𝑠
= P𝑥 𝑔 ( 𝜉𝑠 )e 𝐾 (d𝑠)
∫0 𝑡 𝑠 ∫ 𝑟
ℎ(𝑡 − 𝑟 , 𝜉𝑟 )e−𝐾𝑟 (𝑏) 𝐾 (d𝑟) 𝑔 ( 𝜉𝑠 )e−𝐾𝑟 (𝑔) 𝐾 (d𝑠)
𝑠
= P𝑥
∫0 𝑡 0
−𝐾𝑟 (𝑏) −𝐾𝑟 (𝑔)
= P𝑥 ℎ(𝑡 − 𝑟 , 𝜉𝑟 )e 1−e 𝐾 (d𝑟) .
0
Then we add up both sides of the two equations and use (2.14) to get (2.15). □
In the sequel, we assume 𝛽 ∈ bℰ(𝐾) and 𝑓 ↦→ 𝜙(·, 𝑓 ) is an operator from 𝐵(𝐸) +
into 𝐵(𝐸) which is bounded on 𝐵 𝑎 (𝐸) + for every 𝑎 ≥ 0. For 𝑓 ∈ 𝐵(𝐸) + we consider
the integral evolution equation
∫ 𝑡
𝑣 𝑡 (𝑥) = P 𝑥 e−𝐾𝑡 (𝛽) 𝑓 (𝜉𝑡 ) − P 𝑥 e−𝐾𝑠 (𝛽) 𝜙(𝜉 𝑠 , 𝑣 𝑡−𝑠 )𝐾 (d𝑠) . (2.16)

0
For convenience of statement of the results, we formulate the following conditions:
Condition 2.10 There is a constant 𝐿 ≥ 0 such that −𝜙(𝑥, 𝑓 ) ≤ 𝐿 ∥ 𝑓 ∥ for 𝑥 ∈ 𝐸

and 𝑓 ∈ 𝐵(𝐸) + .
Condition 2.11 For every 𝑎 ≥ 0 there is a constant 𝐿 𝑎 ≥ 0 such that
sup |𝜙(𝑥, 𝑓 ) − 𝜙(𝑥, 𝑔)| ≤ 𝐿 𝑎 ∥ 𝑓 − 𝑔∥, 𝑓 , 𝑔 ∈ 𝐵 𝑎 (𝐸) + .

𝑥 ∈𝐸
Proposition 2.12 Let 𝑟 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + . Then (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) satisfies (2.16)
for 𝑡 ≥ 0 if and only if it satisfies the equation for 0 ≤ 𝑡 ≤ 𝑟 and (𝑡, 𝑥) ↦→ 𝑣 𝑟+𝑡 (𝑥)
satisfies
∫ 𝑡
𝑣𝑟+𝑡 ( 𝑥) = P 𝑥 e−𝐾𝑡 (𝛽) 𝑣𝑟 ( 𝜉𝑡 ) − P 𝑥 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠) .

(2.17)
0
Proof Suppose that (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) satisfies (2.16) for 0 ≤ 𝑡 ≤ 𝑟 and (𝑡, 𝑥) ↦→ 𝑣 𝑟+𝑡 (𝑥)
satisfies (2.17) for 𝑡 ≥ 0. Then we have
∫ 𝑡
𝑣𝑟+𝑡 ( 𝑥) = P 𝑥 e−𝐾𝑡 (𝛽) 𝑣𝑟 ( 𝜉𝑡 ) − P 𝑥 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠)

n 0 o
= P 𝑥 e−𝐾𝑡 (𝛽) P 𝜉𝑡 e−𝐾𝑟 (𝛽) 𝑓 ( 𝜉𝑟 )

∫ 𝑟
− P 𝑥 e−𝐾𝑡 (𝛽) P 𝜉𝑡 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟−𝑠 ) 𝐾 (d𝑠)
∫ 𝑡 0
− P𝑥 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠)
0 ∫ 𝑟
−𝐾 (𝛽)
= P𝑥 e 𝑟+𝑡
𝑓 ( 𝜉𝑟+𝑡 ) ] − P 𝑥 e−𝐾𝑡+𝑠 (𝛽) 𝜙 ( 𝜉𝑡+𝑠 , 𝑣𝑟−𝑠 ) 𝐾 (𝑡 + d𝑠)
∫ 𝑡 0
− P𝑥 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠)
0 ∫ 𝑟+𝑡
−𝐾 (𝛽)
= P𝑥 e 𝑟+𝑡
𝑓 ( 𝜉𝑟+𝑡 ) ] − P 𝑥 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠)
∫ 𝑡 𝑡
−𝐾𝑠 (𝛽)
− P𝑥 e 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠)
0 ∫ 𝑟+𝑡
= P 𝑥 e−𝐾𝑟+𝑡 (𝛽) 𝑓 ( 𝜉𝑟+𝑡 ) ] − P 𝑥 e−𝐾𝑠 (𝛽) 𝜙 ( 𝜉𝑠 , 𝑣𝑟+𝑡−𝑠 ) 𝐾 (d𝑠) .

0
Therefore (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) satisfies (2.16) for 𝑡 ≥ 0. For the converse, suppose that
(2.16) holds for 𝑡 ≥ 0. The equation certainly holds for 0 ≤ 𝑡 ≤ 𝑟. By calculations
similar to the above we see (𝑡, 𝑥) ↦→ 𝑣 𝑟+𝑡 (𝑥) satisfies (2.17). □
2.2 Integral Evolution Equations 39
Corollary 2.13 If for every 𝑓 ∈ 𝐵(𝐸) + there is a unique locally bounded positive
solution (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) to (2.16), then the operators 𝑉𝑡 : 𝑓 ↦→ 𝑣 𝑡 (·, 𝑓 ) on 𝐵(𝐸) +
constitute a semigroup.
Proof Fix 𝑟 ≥ 0 and define 𝑢 𝑡 = 𝑣 𝑡 for 0 ≤ 𝑡 ≤ 𝑟 and 𝑢𝑟+𝑡 = 𝑣 𝑡 (·, 𝑣 𝑟 ) for 𝑡 ≥ 0. By

Proposition 2.12 we see (𝑡, 𝑥) ↦→ 𝑢 𝑡 (𝑥) solves (2.16) for 𝑡 ≥ 0. Then the uniqueness
of the solution implies 𝑢𝑟+𝑡 = 𝑣 𝑟+𝑡 for all 𝑡 ≥ 0. This gives the semigroup property
of (𝑉𝑡 )𝑡 ≥0 . □
Proposition 2.14 Suppose that Condition 2.10 holds. Then there is an increasing
function 𝑡 ↦→ 𝐶 (𝑡) on [0, ∞) such that for any locally bounded positive solution
(𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) to (2.16) we have
sup ∥𝑣 𝑠 (·, 𝑓 ) ∥ ≤ 𝐶 (𝑡) ∥ 𝑓 ∥, 𝑡 ≥ 0. (2.18)

0≤𝑠 ≤𝑡
Proof Let 𝑡 ↦→ 𝑙 (𝑡) be an increasing function such that e−𝐾𝑡 (𝛽) ≤ 𝑙 (𝑡) for all 𝑡 ≥ 0.
By (2.16) and Condition 2.10 we have
∫ 𝑡
∥𝑣 𝑡 (·, 𝑓 ) ∥ ≤ 𝑙 (𝑡) ∥ 𝑓 ∥ + 𝐿𝑙 (𝑡) sup P 𝑥 ∥𝑣 𝑡−𝑠 (·, 𝑓 ) ∥𝐾 (d𝑠) .
𝑥 ∈𝐸 0
It follows that
sup ∥𝑣 𝑠 (·, 𝑓 ) ∥ ≤ 𝑙 (𝑡) ∥ 𝑓 ∥ + 𝐿𝑘 (𝑡)𝑙 (𝑡) sup ∥𝑣 𝑠 (·, 𝑓 ) ∥.

0≤𝑠 ≤𝑡 0≤𝑠 ≤𝑡
Let 𝛿 > 0 be sufficiently small so that 𝐿𝑘 (𝛿)𝑙 (𝛿) < 1. For 0 ≤ 𝑡 ≤ 𝛿 the above
inequality implies
−1
sup ∥𝑣 𝑠 (·, 𝑓 ) ∥ ≤ 𝑙 (𝑡) 1 − 𝐿𝑘 (𝑡)𝑙 (𝑡) ∥ 𝑓 ∥.
0≤𝑠 ≤𝑡
Then the desired result follows by Proposition 2.12 and a successive application of
the above estimate. □
Proposition 2.15 If Condition 2.11 holds, there is at most one locally bounded
positive solution (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) to (2.16).
Proof Suppose that (𝑡, 𝑥) ↦→ 𝑢 𝑡 (𝑥) and (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) are two locally bounded
positive solutions of (2.16). Let ℎ𝑡 (𝑥) = 𝑢 𝑡 (𝑥) − 𝑣 𝑡 (𝑥) and let 𝑙 (𝑡) be as in the
proof of Proposition 2.14. For fixed 𝑇 > 0 we can use Proposition 2.14 to find a
constant 𝑎 ≥ 0 such that ∥𝑢 𝑡 ∥ ≤ 𝑎 and ∥𝑣 𝑡 ∥ ≤ 𝑎 for all 0 ≤ 𝑡 ≤ 𝑇. By (2.16) and
Condition 2.11 we have
∫ 𝑡
∥ℎ𝑡 ∥ ≤ 𝑙 (𝑡)P 𝑥 |𝜙(𝜉 𝑠 , 𝑢 𝑡−𝑠 ) − 𝜙(𝜉 𝑠 , 𝑣 𝑡−𝑠 )|𝐾 (d𝑠)
0 ∫ 𝑡
≤ 𝐿 𝑎 𝑙 (𝑡) sup P 𝑥 ∥ℎ𝑡−𝑠 ∥𝐾 (d𝑠) .
𝑥 ∈𝐸 0
Then it is easy to get
sup ∥ℎ 𝑠 ∥ ≤ 𝐿 𝑎 𝑘 (𝑡)𝑙 (𝑡) sup ∥ℎ 𝑠 ∥, 0 ≤ 𝑡 ≤ 𝑇.

0≤𝑠 ≤𝑡 0≤𝑠 ≤𝑡
Take 0 < 𝛿 ≤ 𝑇 so that 𝐿 𝑎 𝑘 (𝛿)𝑙 (𝛿) < 1. The above inequality implies ∥ℎ𝑡 ∥ = 0
and hence 𝑢 𝑡 = 𝑣 𝑡 for 0 ≤ 𝑡 ≤ 𝛿. Then an application of Proposition 2.12 gives the
uniqueness of the solution to (2.16). □
Proposition 2.16 Let {𝜙 𝑛 } be a sequence of operators from 𝐵(𝐸) + into 𝐵(𝐸) sat-
isfying Conditions 2.10 and 2.11 with the constants 𝐿 and 𝐿 𝑎 independent of
𝑛 ≥ 1. Suppose that lim𝑛→∞ 𝜙 𝑛 (𝑥, 𝑓 ) = 𝜙(𝑥, 𝑓 ) uniformly on 𝐸 × 𝐵 𝑎 (𝐸) + for
every 𝑎 ≥ 0 and for each 𝑓𝑛 ∈ 𝐵(𝐸) + there is a unique locally bounded positive
solution 𝑡 ↦→ 𝑣 𝑛 (𝑡) = 𝑣 𝑛 (𝑡, 𝑥) to the equation
∫ 𝑡
𝑣𝑛 (𝑡 , 𝑥) = P 𝑥 e−𝐾𝑡 (𝛽) 𝑓 𝑛 ( 𝜉𝑡 ) − P 𝑥 e−𝐾𝑠 (𝛽) 𝜙𝑛 ( 𝜉𝑠 , 𝑣𝑛 (𝑡 − 𝑠)) 𝐾 (d𝑠) .

(2.19)
0
If lim𝑛→∞ 𝑓𝑛 = 𝑓 in the supremum norm, then the limit lim𝑛→∞ 𝑣 𝑛 (𝑡, 𝑥) = 𝑣 𝑡 (𝑥)
exists and is uniform on [0, 𝑇] × 𝐸 for every 𝑇 ≥ 0, and (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) is a solution
of (2.16).
Proof Choose a sufficiently large constant 𝑎 ≥ 0 so that { 𝑓𝑛 } ⊂ 𝐵 𝑎 (𝐸) + . By

Proposition 2.14 there is an increasing function 𝑡 ↦→ 𝐶 (𝑡) on [0, ∞) such that
sup ∥𝑣 𝑛 (𝑠) ∥ ≤ 𝐶 (𝑡) ∥ 𝑓𝑛 ∥ ≤ 𝑎𝐶 (𝑡), 𝑡 ≥ 0.

0≤𝑠 ≤𝑡
Fix 𝑇 > 0 and let 𝑐 = 𝑎𝐶 (𝑇). For 𝜀 > 0 let 𝑁 = 𝑁 (𝜀, 𝑐) be an integer such that
∥ 𝑓𝑛 − 𝑓 ∥ ≤ 𝜀 and ∥𝜙 𝑛 (·, ℎ) − 𝜙(·, ℎ) ∥ ≤ 𝜀 for 𝑛 ≥ 𝑁 and ℎ ∈ 𝐵𝑐 (𝐸) + . Let 𝑙 (𝑡) be
as in the proof of Proposition 2.14 and let
𝐻𝑡 (𝑛1 , 𝑛2 ) = sup ∥𝑣 𝑛2 (𝑠) − 𝑣 𝑛1 (𝑠) ∥.

0≤𝑠 ≤𝑡
By (2.19) and Condition 2.11 we have
𝐻𝑡 (𝑛1 , 𝑛2 ) ≤ 2𝑙 (𝑡) [1 + 𝑘 (𝑡)]𝜀 + 𝐿 𝑐 𝑘 (𝑡)𝑙 (𝑡)𝐻𝑡 (𝑛1 , 𝑛2 )
for 0 ≤ 𝑡 ≤ 𝑇 and 𝑛1 , 𝑛2 ≥ 𝑁. Take 0 < 𝛿 ≤ 𝑇 so that 𝐿 𝑐 𝑘 (𝛿)𝑙 (𝛿) < 1. The above
inequality implies
𝐻𝑡 (𝑛1 , 𝑛2 ) ≤ 2𝑙 (𝑡) [1 + 𝑘 (𝑡)] [1 − 𝐿 𝑐 𝑘 (𝑡)𝑙 (𝑡)] −1 𝜀
for 0 ≤ 𝑡 ≤ 𝛿. Then 𝑣 𝑛 (𝑡, 𝑥) converges uniformly on [0, 𝛿]×𝐸. By repeating the above
arguments and applying Proposition 2.12 we see the limit lim𝑛→∞ 𝑣 𝑛 (𝑡, 𝑥) = 𝑣 𝑡 (𝑥)
exists and is uniform on [0, 𝑇] × 𝐸. Then letting 𝑛 → ∞ in (2.19) we obtain (2.16).□
2.3 Dawson–Watanabe Superprocesses 41
2.3 Dawson–Watanabe Superprocesses
In this section we give the construction of a general class of Dawson–Watanabe

superprocesses. For this purpose we need to discuss the existence of solutions of
some nonlinear integral evolution equations which define cumulant semigroups. Let
𝐸 be a Lusin topological space. Suppose that 𝜉 is a Borel right process in 𝐸 with
transition semigroup (𝑃𝑡 )𝑡 ≥0 and {𝐾 (𝑡) : 𝑡 ≥ 0} is a continuous admissible additive
functional of 𝜉.
Lemma 2.17 Suppose that 𝑏 ∈ 𝐵(𝐸) and 𝛾(𝑥, d𝑦) is a bounded kernel on 𝐸. Then
for each 𝑓 ∈ 𝐵(𝐸) there is a unique locally bounded solution (𝑡, 𝑥) ↦→ 𝜋𝑡 𝑓 (𝑥) to
the linear evolution equation
∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = P 𝑥 𝑓 (𝜉𝑡 ) + P 𝑥 𝛾(𝜉 𝑠 , 𝜋𝑡−𝑠 𝑓 )𝐾 (d𝑠)
∫ 𝑡 0
− P𝑥 𝑏(𝜉 𝑠 )𝜋𝑡−𝑠 𝑓 (𝜉 𝑠 )𝐾 (d𝑠) , (2.20)
0
which defines a locally bounded semigroup (𝜋𝑡 )𝑡 ≥0 of kernels on 𝐸.
Proof Let 𝑏 + = 0 ∨ 𝑏 and 𝑏 − = 0 ∨ (−𝑏). By Proposition A.42 there is a unique

locally bounded solution (𝑡, 𝑥) ↦→ 𝜋𝑡 𝑓 (𝑥) to the equation
∫ 𝑡
−𝐾 (𝑏+ ) −𝐾𝑠 (𝑏+ )
𝜋𝑡 𝑓 (𝑥) = P 𝑥 e 𝑡
𝑓 (𝜉𝑡 ) + P 𝑥 e 𝛾(𝜉 𝑠 , 𝜋𝑡−𝑠 𝑓 )𝐾 (d𝑠)
∫ 𝑡 0
+
+ P𝑥 e−𝐾𝑠 (𝑏 ) 𝑏 − (𝜉 𝑠 )𝜋𝑡−𝑠 𝑓 (𝜉 𝑠 )𝐾 (d𝑠) ,
0
which defines a locally bounded semigroup (𝜋𝑡 )𝑡 ≥0 of kernels on 𝐸. By Proposi-

tion 2.9 the above equation is equivalent to (2.20). □
Suppose that 𝜌(𝑥, d𝑦) is a bounded kernel on 𝐸 and 𝜈(1)𝑅(𝑥, d𝜈) is a bounded
kernel from 𝐸 to 𝑀 (𝐸) ◦ . We consider a function 𝑏 ∈ 𝐵(𝐸) and an operator 𝑓 ↦→
𝜓(·, 𝑓 ) on 𝐵(𝐸) + with the representation
∫
1 − e−𝜈 ( 𝑓 ) 𝑅(𝑥, d𝜈).

𝜓(𝑥, 𝑓 ) = 𝜌(𝑥, 𝑓 ) + (2.21)
𝑀 (𝐸) ◦
From 𝜌(𝑥, d𝑦) and 𝑅(𝑥, d𝜈) we can define the bounded kernel 𝛾0 (𝑥, d𝑦) on 𝐸 by
∫
𝛾0 (𝑥, d𝑦) = 𝜌(𝑥, d𝑦) + 𝜈(d𝑦)𝑅(𝑥, d𝜈). (2.22)
𝑀 (𝐸) ◦
Let 𝛽 ≥ 0 be a constant such that 𝑏(𝑥) ≤ 𝛽 for all 𝑥 ∈ 𝐸. For fixed 𝑓 ∈ 𝐵(𝐸) + set
𝑢 0 (𝑡, 𝑥) = 0 and define 𝑢 𝑛 (𝑡, 𝑥) = 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ) inductively by
∫ 𝑡
−𝐾𝑡 (𝛽) −𝐾𝑠 (𝛽)
𝑢 𝑛+1 (𝑡, 𝑥) = P 𝑥 [e 𝑓 (𝜉𝑡 )] + P 𝑥 e 𝜓(𝜉 𝑠 , 𝑢 𝑛 (𝑡 − 𝑠))𝐾 (d𝑠)
0
∫ 𝑡
−𝐾𝑠 (𝛽)
+ P𝑥 e [𝛽 − 𝑏(𝜉 𝑠 )]𝑢 𝑛 (𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠) . (2.23)
0
Proposition 2.18 For every 𝑓 ∈ 𝐵(𝐸) + there is a unique locally bounded positive
solution (𝑡, 𝑥) ↦→ 𝑢 𝑡 (𝑥, 𝑓 ) to the evolution equation
∫ 𝑡
𝑢 𝑡 (𝑥) = P 𝑥 [ 𝑓 (𝜉𝑡 )] + P 𝑥 [𝜓(𝜉 𝑠 , 𝑢 𝑡−𝑠 ) − 𝑏(𝜉 𝑠 )𝑢 𝑡−𝑠 (𝜉 𝑠 )]𝐾 (d𝑠) . (2.24)
0
Moreover, we have 𝜋𝑡 𝑓 (𝑥) ≥ 𝑢 𝑡 (𝑥, 𝑓 ) = ↑lim𝑛→∞ 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ) for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸,

where (𝜋𝑡 )𝑡 ≥0 is the semigroup defined by (2.20) with 𝛾 = 𝛾0 given by (2.22).
Proof The operator 𝑓 ↦→ 𝜓(·, 𝑓 ) − 𝑏 𝑓 clearly satisfies Condition 2.11 with 𝐿 𝑎 =

∥𝑏∥ + ∥𝛾0 (·, 1) ∥ for all 𝑎 ≥ 0. By Proposition 2.15 there is at most one locally
bounded positive solution to (2.24). We next claim that
0 ≤ 𝑢 𝑛−1 (𝑡, 𝑥, 𝑓 ) ≤ 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ) ≤ 𝜋𝑡 𝑓 (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸 (2.25)
for every 𝑛 ≥ 1. By Proposition 2.9 we can also define (𝑡, 𝑥) ↦→ 𝜋𝑡 𝑓 (𝑥) by the
evolution equation
∫ 𝑡
−𝐾𝑡 (𝛽) −𝐾𝑠 (𝛽)
𝜋𝑡 𝑓 (𝑥) = P 𝑥 [e 𝑓 (𝜉𝑡 )] + P 𝑥 e 𝛾0 (𝜉 𝑠 , 𝜋𝑡−𝑠 𝑓 )𝐾 (d𝑠)
∫ 𝑡 0
+ P𝑥 e−𝐾𝑠 (𝛽) [𝛽 − 𝑏(𝜉 𝑠 )]𝜋𝑡−𝑠 𝑓 (𝜉 𝑠 )𝐾 (d𝑠) . (2.26)
0
Then for 𝑛 = 1 the inequalities in (2.25) are trivial. Suppose they are true for some
𝑛 ≥ 1. By the monotonicity of the operator 𝑓 ↦→ 𝜓(·, 𝑓 ) + (𝛽 − 𝑏) 𝑓 we have
0 ≤ 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ) ≤ 𝑢 𝑛+1 (𝑡, 𝑥, 𝑓 ) ≤ 𝑣(𝑡, 𝑥, 𝑓 ),
where
∫ 𝑡
𝑣(𝑡, 𝑥, 𝑓 ) = P 𝑥 [e−𝐾𝑡 (𝛽) 𝑓 (𝜉𝑡 )] + P 𝑥 e−𝐾𝑠 (𝛽) 𝜓(𝜉 𝑠 , 𝜋𝑡−𝑠 𝑓 )𝐾 (d𝑠)
∫ 𝑡 0
−𝐾𝑠 (𝛽)
+ P𝑥 e [𝛽 − 𝑏(𝜉 𝑠 )]𝜋𝑡−𝑠 𝑓 (𝜉 𝑠 )𝐾 (d𝑠) . (2.27)
0
In view of (2.26) and (2.27) we have 𝑣(𝑡, 𝑥, 𝑓 ) ≤ 𝜋𝑡 𝑓 (𝑥). Then (2.25) holds for all
𝑛 ≥ 1. Let 𝑢 𝑡 (𝑥, 𝑓 ) = ↑lim𝑛→∞ 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ). From (2.23) we see that (𝑡, 𝑥) ↦→ 𝑢 𝑡 (𝑥, 𝑓 )
is a locally bounded positive solution of
∫ 𝑡
𝑢 𝑡 (𝑥) = P 𝑥 [e−𝐾𝑡 (𝛽) 𝑓 (𝜉𝑡 )] + P 𝑥 e−𝐾𝑠 (𝛽) 𝜓(𝜉 𝑠 , 𝑢 𝑡−𝑠 )𝐾 (d𝑠)
0
∫ 𝑡
−𝐾𝑠 (𝛽)
+ P𝑥 e [𝛽 − 𝑏(𝜉 𝑠 )]𝑢 𝑡−𝑠 (𝜉 𝑠 )𝐾 (d𝑠) ,
0
which is equivalent to (2.24) by Proposition 2.9. □
Proposition 2.19 In the case where 𝐾 (d𝑠) = d𝑠 is the Lebesgue measure, we have
𝑢 𝑡 (𝑥, 𝑓 ) = ↑lim𝑛→∞ 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ) uniformly on [0, 𝑇] × 𝐸 × 𝐵 𝑎 (𝐸) + for every 𝑇 ≥ 0
and 𝑎 ≥ 0.
Proof Let 𝐷 𝑛 (𝑡) = sup0≤𝑠 ≤𝑡 ∥𝑢 𝑛 (𝑠) − 𝑢 𝑛−1 (𝑠) ∥. In the present case, we can rewrite
(2.23) as
∫ 𝑡 ∫
𝑢 𝑛+1 (𝑡, 𝑥) = e−𝛽𝑡 𝑃𝑡 𝑓 (𝑥) + e−𝛽 (𝑡−𝑠) d𝑠 𝜓(𝑦, 𝑢 𝑛 (𝑠))𝑃𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 0∫ 𝐸
+ e−𝛽 (𝑡−𝑠) d𝑠 [𝛽 − 𝑏(𝑦)]𝑢 𝑛 (𝑠, 𝑦)𝑃𝑡−𝑠 (𝑥, d𝑦).

0 𝐸
From this it is easy to get

∫ 𝑡
𝐷 𝑛 (𝑡) ≤ (𝛽 + ∥𝑏∥ + ∥𝛾0 (·, 1) ∥) 𝐷 𝑛−1 (𝑠1 )d𝑠1
∫0 𝑡 ∫ 𝑠1
≤ (𝛽 + ∥𝑏∥ + ∥𝛾0 (·, 1) ∥) 2 d𝑠1 𝐷 𝑛−2 (𝑠2 )d𝑠2
0 0
≤ ··· ∫ ∫ ∫
𝑡 𝑠1 𝑠𝑛−2
𝑛−1
≤ (𝛽 + ∥𝑏∥ + ∥𝛾0 (·, 1) ∥) d𝑠1 ··· ∥ 𝑓 ∥d𝑠 𝑛−1
0 0 0
1 𝑛−1 𝑛−1
≤ (𝛽 + ∥𝑏∥ + ∥𝛾0 (·, 1) ∥) 𝑡 ∥ 𝑓 ∥,
(𝑛 − 1)!
and hence
∞
∑︁
𝐷 (𝑡) := 𝐷 𝑛 (𝑡) ≤ ∥ 𝑓 ∥exp (𝛽 + ∥𝑏∥ + ∥𝛾0 (·, 1) ∥)𝑡 < ∞.
𝑛=1
Then lim𝑛→∞ 𝑢 𝑛 (𝑡, 𝑥, 𝑓 ) = 𝑢 𝑡 (𝑥, 𝑓 ) uniformly on [0, 𝑇] × 𝐸 × 𝐵 𝑎 (𝐸) + . □
Now we consider a more general operator 𝑓 ↦→ 𝜙(·, 𝑓 ) as follows. Let 𝑏 ∈ 𝐵(𝐸)

and 𝑐 ∈ 𝐵(𝐸) + . Let 𝜂(𝑥, d𝑦) be a bounded kernel on 𝐸 and 𝐻 (𝑥, d𝜈) a 𝜎-finite
kernel from 𝐸 to 𝑀 (𝐸) ◦ . Suppose that
∫
𝜈(1) ∧ 𝜈(1) 2 + 𝜈 𝑥 (1) 𝐻 (𝑥, d𝜈) < ∞,

sup (2.28)
𝑥 ∈𝐸 𝑀 (𝐸) ◦
where 𝜈 𝑥 (d𝑦) denotes the restriction of 𝜈(d𝑦) to 𝐸 \ {𝑥}. For 𝑥 ∈ 𝐸 and 𝑓 ∈ 𝐵(𝐸) +
write
∫
𝜙(𝑥, 𝑓 ) = 𝑏(𝑥) 𝑓 (𝑥) + 𝑐(𝑥) 𝑓 (𝑥) 2 − 𝜂(𝑥, 𝑓 ) + 𝐾 (𝑥, 𝜈, 𝑓 )𝐻 (𝑥, d𝜈), (2.29)
𝑀 (𝐸) ◦
where
𝐾 (𝑥, 𝜈, 𝑓 ) = e−𝜈 ( 𝑓 ) − 1 + 𝜈({𝑥}) 𝑓 (𝑥).
By Taylor’s expansion we have

1
𝐾 (𝑥, 𝜈, 𝑓 ) = −𝜈 𝑥 ( 𝑓 ) + e−𝜃 𝜈( 𝑓 ) 2 ,
2
where 0 ≤ 𝜃 ≤ 𝜈( 𝑓 ). Observe also that
|𝐾 (𝑥, 𝜈, 𝑓 )| ≤ 𝜈( 𝑓 ) + 𝜈({𝑥}) 𝑓 (𝑥).
Then the last integral on the right-hand side of (2.29) is bounded on 𝐸 × 𝐵 𝑎 (𝐸) + for
every 𝑎 ≥ 0. Moreover, we can rewrite (2.29) as
∫
𝜙(𝑥, 𝑓 ) = 𝑏(𝑥) 𝑓 (𝑥) + 𝑐(𝑥) 𝑓 (𝑥) 2 − 𝛾(𝑥, 𝑓 ) + 𝐾 (𝜈, 𝑓 )𝐻 (𝑥, d𝜈), (2.30)
𝑀 (𝐸) ◦
where
𝐾 (𝜈, 𝑓 ) = e−𝜈 ( 𝑓 ) − 1 + 𝜈( 𝑓 )
and
∫
𝛾(𝑥, d𝑦) = 𝜂(𝑥, d𝑦) + 𝜈 𝑥 (d𝑦)𝐻 (𝑥, d𝜈). (2.31)
𝑀 (𝐸) ◦
For each integer 𝑛 ≥ 1 define

∫
𝜙 𝑛 (𝑥, 𝑓 ) = 𝑏(𝑥) 𝑓 (𝑥) + 2𝑛𝑐(𝑥) 𝑓 (𝑥) + 𝜈( 𝑓 )ℎ 𝑛 (𝜈)𝐻 (𝑥, d𝜈)
∫ 𝑀 (𝐸) ◦
− 𝑓 (𝑦)𝛾(𝑥, d𝑦) − 2𝑛2 𝑐(𝑥) (1 − e− 𝑓 ( 𝑥)/𝑛 )

∫𝐸
1 − e−𝜈 ( 𝑓 ) ℎ 𝑛 (𝜈)𝐻 (𝑥, d𝜈),

− (2.32)
𝑀 (𝐸) ◦
where ℎ 𝑛 (𝜈) = 1 ∧ (𝑛𝜈(1)). It is easy to see 𝜙 𝑛 (𝑥, 𝑓 ) → 𝜙(𝑥, 𝑓 ) increasingly as

𝑛 → ∞. For 𝑛 ≥ 1 and 𝑓 ∈ 𝐵(𝐸) + we consider the equation
∫ 𝑡
𝑣(𝑡, 𝑥) = P 𝑥 [ 𝑓 (𝜉𝑡 )] − P 𝑥 𝜙 𝑛 (𝜉 𝑠 , 𝑣(𝑡 − 𝑠))𝐾 (d𝑠) . (2.33)
0
This is clearly a special case of (2.24). By Proposition 2.18 there is a unique locally
bounded positive solution (𝑡, 𝑥) ↦→ 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) to (2.33).
Proposition 2.20 Suppose that 𝜙 and 𝛾 are defined respectively by (2.30) and (2.31).
Let (𝜋𝑡 )𝑡 ≥0 be defined by (2.20). Then for every 𝑓 ∈ 𝐵(𝐸) + there is a unique locally
bounded positive solution (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) to
∫ 𝑡
𝑣 𝑡 (𝑥) = P 𝑥 𝑓 (𝜉𝑡 ) − P 𝑥 𝜙(𝜉 𝑠 , 𝑣 𝑡−𝑠 )𝐾 (d𝑠) , 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (2.34)
0
Moreover, we have 𝜋𝑡 𝑓 (𝑥) ≥ 𝑣 𝑡 (𝑥, 𝑓 ) = ↓lim𝑛→∞ 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸.

Proof Since 𝜙 𝑛 (𝑥, 𝑓 ) is increasing in 𝑛 ≥ 1 and 𝑓 ∈ 𝐵(𝐸) + , by Proposition 2.18
we see 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) is decreasing in 𝑛 ≥ 1. Let 𝑣 𝑡 (𝑥, 𝑓 ) = lim𝑛→∞ 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) ≤
𝜋𝑡 (𝑥, 𝑓 ). In view of (2.32) and (2.33), we conclude by dominated convergence that
(𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) is a locally bounded positive solution of (2.34). For 𝑎 ≥ 0 and
𝑓 , 𝑔 ∈ 𝐵 𝑎 (𝐸) + we can use (2.30) to see
|𝜙(𝑥, 𝑓 ) − 𝜙(𝑥, 𝑔)| ≤ (∥𝑏∥ + 2𝑎∥𝑐∥) ∥ 𝑓 − 𝑔∥ + 𝛾(𝑥, 1) ∥ 𝑓 − 𝑔∥

∫
+ |𝜈( 𝑓 − 𝑔) + e−𝜈 ( 𝑓 ) − e−𝜈 (𝑔) |𝐻 (𝑥, d𝜈).
𝑀 (𝐸) ◦
By the mean-value theorem we have
𝜈( 𝑓 − 𝑔) + e−𝜈 ( 𝑓 ) − e−𝜈 (𝑔) = 𝜈( 𝑓 − 𝑔) (1 − e−𝜃 ),
where 𝜈( 𝑓 ∧ 𝑔) ≤ 𝜃 ≤ 𝜈( 𝑓 ∨ 𝑔) ≤ 𝑎𝜈(1). It follows that
|𝜈( 𝑓 − 𝑔) + e−𝜈 ( 𝑓 ) − e−𝜈 (𝑔) | ≤ ∥ 𝑓 − 𝑔∥ (𝜈(1) ∧ 𝑎𝜈(1) 2 ).
Then 𝑓 ↦→ 𝜙(·, 𝑓 ) satisfies Condition 2.11 for some constant 𝐿 𝑎 ≥ 0 and the
uniqueness of the solution of (2.34) follows by Proposition 2.15. □
Theorem 2.21 Let 𝜙 be given by (2.29) or (2.30). For every 𝑓 ∈ 𝐵(𝐸) + let (𝑡, 𝑥) ↦→
𝑉𝑡 𝑓 (𝑥) denote the unique locally bounded positive solution of (2.34). Then the
operators (𝑉𝑡 )𝑡 ≥0 constitute a cumulant semigroup.
Proof By (2.23) and Theorem 1.38 one checks inductively 𝑢 𝑛 (𝑡, 𝑥, ·) ∈ ℐ(𝐸)
for each 𝑛 ≥ 1. Now Corollary 1.35 and Propositions 2.18 and 2.20 imply first
𝑢 𝑡 (𝑥, ·) ∈ ℐ(𝐸) for the solution of (2.24), and then 𝑣 𝑡 (𝑥, ·) ∈ ℐ(𝐸) for the solution
of (2.34). The semigroup property of (𝑉𝑡 )𝑡 ≥0 follows from Corollary 2.13. □
Let 𝜙 be given by (2.29) or (2.30) and let (𝑉𝑡 )𝑡 ≥0 be the cumulant semigroup
defined by (2.34). Then we can define a Markov transition semigroup (𝑄 𝑡 )𝑡 ≥0 on
𝑀 (𝐸) by
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}, 𝑓 ∈ 𝐵(𝐸) + . (2.35)
𝑀 (𝐸)
If 𝑋 is a Markov process in 𝑀 (𝐸) with transition semigroup (𝑄 𝑡 )𝑡 ≥0 , we call it a

Dawson–Watanabe superprocess with parameters (𝜉, 𝐾, 𝜙), or simply a (𝜉, 𝐾, 𝜙)-
superprocess, where 𝜉 is the spatial motion, 𝐾 is the killing functional or killing
density, and 𝜙 is the branching mechanism. If 𝐾 (d𝑠) = d𝑠 is the Lebesgue measure,

we call 𝑋 a (𝜉, 𝜙)-superprocess. In this case, we can rewrite (2.34) as
∫ 𝑡 ∫
𝑣 𝑡 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙(𝑦, 𝑣 𝑠 )𝑃𝑡−𝑠 (𝑥, d𝑦), 𝑥 ∈ 𝐸, 𝑡 ≥ 0. (2.36)
0 𝐸
We say the branching mechanism is spatially constant if 𝑓 ↦→ 𝜙(·, 𝑓 ) maps constant

functions to constant functions. In Chapter 4 we shall give some intuitive inter-
pretations of the superprocesses in terms of limit theorems of branching particle
systems.
Theorem 2.22 A realization {𝑋𝑡 : 𝑡 ≥ 0} of the (𝜉, 𝐾, 𝜙)-superprocess is right

continuous in probability.
Proof Let 𝑓 ∈ 𝐶 (𝐸) + . Since 𝜉 is right continuous, the map 𝑡 ↦→ 𝑃𝑡 𝑓 (𝑥) is right
continuous for every 𝑥 ∈ 𝐸, so (2.34) implies lim𝑡→0 𝑉𝑡 𝑓 (𝑥) = 𝑓 (𝑥). From (2.35)
we get
∫
lim e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇( 𝑓 )}.
𝑡→0 𝑀 (𝐸)
Then we have lim𝑡→0 𝑄 𝑡 (𝜇, ·) = 𝛿 𝜇 weakly. For any 𝜀 > 0 let 𝐵(𝜇, 𝜀) 𝑐 =
{𝜈 ∈ 𝑀 (𝐸) : 𝜌(𝜈, 𝜇) > 𝜀}, where 𝜌 is the metric on 𝑀 (𝐸) defined by (1.3).
Then we infer lim𝑡→0 𝑄 𝑡 (𝜇, 𝐵(𝜇, 𝜀) 𝑐 ) = 0. Using the Markov property of 𝑋 and the
dominated convergence theorem we get
lim P{𝜌(𝑋𝑡 , 𝑋𝑟 ) > 𝜀} = lim P{𝑄 𝑡−𝑟 (𝑋𝑟 , 𝐵(𝑋𝑟 , 𝜀) 𝑐 )} = 0

𝑡 ↓𝑟 𝑡 ↓𝑟
for every 𝑟 ≥ 0. Therefore 𝑡 ↦→ 𝑋𝑡 is right continuous in probability. □
Let us consider the special case of a (𝜉, 𝜙)-superprocess. Given a function 𝑏 ∈

𝐵(𝐸), we define a locally bounded semigroup of Borel kernels (𝑃𝑡𝑏 )𝑡 ≥0 on 𝐸 by the
following Feynman–Kac formula:
h ∫𝑡 i
𝑃𝑡𝑏 𝑓 (𝑥) = P 𝑥 e− 0 𝑏 ( 𝜉𝑠 )d𝑠 𝑓 (𝜉𝑡 ) , 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸). (2.37)
For the (𝜉, 𝜙)-superprocess we can rewrite (2.20) as

∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + 𝑃𝑡−𝑠 (𝛾 − 𝑏)𝜋 𝑠 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸, (2.38)
0
where 𝛾 is defined by (2.31). By Proposition A.50, the above equation is equivalent

to
∫ 𝑡
𝑏 𝑏
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + 𝑃𝑡−𝑠 𝛾𝜋 𝑠 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (2.39)
0
By Proposition A.42 we have

∞ ∫
∑︁ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑛−1
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡𝑏 𝑓 (𝑥) + d𝑠1 d𝑠2 · · · 𝑏
𝑃𝑡−𝑠 1
𝛾𝑃𝑠𝑏1 −𝑠2
𝑛=1 0 0 0
· · · 𝛾𝑃𝑠𝑏𝑛−1 −𝑠𝑛 𝛾𝑃𝑠𝑏𝑛 𝑓 (𝑥)d𝑠 𝑛 . (2.40)
+
Let 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)] and let 𝑐+0 = 0 ∨ 𝑐 0 . Then ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 ≤ e𝑐0 𝑡 for
𝑡 ≥ 0 by Theorem A.53.
Theorem 2.23 Suppose that 𝜙 and 𝛾 are defined respectively by (2.30) and (2.31).
Let (𝜋𝑡 )𝑡 ≥0 be defined by (2.38). Then (2.36) is equivalent to the evolution equation
∫ 𝑡 ∫
𝑣 𝑡 (𝑥) = 𝜋𝑡 𝑓 (𝑥) − d𝑠 𝜙0 (𝑦, 𝑣 𝑠 )𝜋𝑡−𝑠 (𝑥, d𝑦), 𝑥 ∈ 𝐸, 𝑡 ≥ 0, (2.41)
0 𝐸
where
∫
𝜙0 (𝑦, 𝑓 ) = 𝑐(𝑦) 𝑓 (𝑦) 2 + 𝐾 (𝜈, 𝑓 )𝐻 (𝑦, d𝜈). (2.42)
𝑀 (𝐸) ◦
Proof We first show (2.36) implies (2.41). By applying Proposition 2.9 to (2.36) we
have
∫ 𝑡

𝑣 𝑡 (𝑥) = 𝑃𝑡𝑏 𝑓 (𝑥) − 𝑏
𝑃𝑡−𝑠 𝜙(𝑣 𝑠 ) − 𝑏𝑣 𝑠 (𝑥)d𝑠.
0
This combined with (2.39) implies

∫ 𝑡 ∫ 𝑡
𝑏 𝑏
𝑣 𝑡 (𝑥) = 𝜋𝑡 𝑓 (𝑥) − 𝑃𝑡−𝑠 𝜙0 (𝑣 𝑠 ) (𝑥)d𝑠 + 𝑃𝑡−𝑠 𝛾(𝑣 𝑠 − 𝜋 𝑠 𝑓 ) (𝑥)d𝑠.
0 0
Then we use the above relation inductively to see

∫ 𝑡
𝑏
𝑣 𝑡 (𝑥) = 𝜋𝑡 𝑓 (𝑥) − 𝑃𝑡−𝑠 𝜙 (𝑣 𝑠1 ) (𝑥)d𝑠1 + 𝑤 𝑛 (𝑡, 𝑥)
1 0
0
∑︁𝑛 ∫ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑖−1
𝑏
− d𝑠1 d𝑠2 · · · 𝑃𝑡−𝑠1
𝛾𝑃𝑠𝑏1 −𝑠2
𝑖=2 0 0 0
· · · 𝛾𝑃𝑠𝑏𝑖−1 −𝑠𝑖 𝑔𝑠𝑖 (𝑥)d𝑠𝑖 , (2.43)
where 𝑔𝑠𝑖 (𝑥) = 𝜙0 (𝑥, 𝑣 𝑠𝑖 ) and

∫ 𝑡 ∫ 𝑠𝑛−1
𝑏
𝑤𝑛 (𝑡 , 𝑥) = d𝑠1 · · · 𝑃𝑡−𝑠1
𝛾 · · · 𝑃𝑠𝑏𝑛−1 −𝑠𝑛 𝛾 (𝑣𝑠𝑛 − 𝜋𝑠𝑛 𝑓 ) ( 𝑥)d𝑠𝑛 .
0 0
Since 0 ≤ 𝑃𝑠𝑏 𝑓 (𝑥) ≤ 𝜋 𝑠 𝑓 (𝑥) and 0 ≤ 𝑣 𝑠 (𝑥) ≤ 𝜋 𝑠 𝑓 (𝑥), we have

∫ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑛−1
𝑛 𝑐0+ 𝑡
∥𝑤 𝑛 (𝑡, ·) ∥ ≤ ∥ 𝑓 ∥ ∥𝛾(·, 1) ∥ e d𝑠1 d𝑠2 · · · d𝑠 𝑛
0 0 0
+ 𝑡𝑛
≤ ∥ 𝑓 ∥ ∥𝛾(·, 1) ∥ 𝑛 e𝑐0 𝑡 .
𝑛!
Then letting 𝑛 → ∞ in (2.43) and using (2.40) we obtain (2.41). The uniqueness
of the solution to (2.41) follows from Gronwall’s inequality by standard arguments.
Then the two equations are equivalent. □
2.4 Examples of Superprocesses
The (𝜉, 𝐾, 𝜙)- and (𝜉, 𝜙)-superprocesses we have constructed are quite wide. From
these one can derive the existence of various special classes of superprocesses. Some
special cases of the parameters are discussed in the following examples.
Example 2.5 Let | · | and ⟨·, ·⟩ denote respectively the Euclidean norm and inner
product of R𝑑 . For each 1 ≤ 𝑖 ≤ 𝑑 suppose that 𝜆 ↦→ 𝜙𝑖 (𝜆) is a function on R+𝑑 with
the representation
∫
2
e− ⟨𝑧,𝜆⟩ − 1 + 𝑧𝑖 𝜆𝑖 𝐻𝑖 (d𝑧), (2.44)

𝜙𝑖 (𝜆) = 𝑏 𝑖 𝜆𝑖 + 𝑐 𝑖 𝜆𝑖 − ⟨𝜂𝑖 , 𝜆⟩ +
R+𝑑 \{0}
where 𝑐 𝑖 ≥ 0 and 𝑏 𝑖 are constants, 𝜂𝑖 ∈ R+𝑑 is a vector, and 𝐻𝑖 (d𝑧) is a 𝜎-finite

measure on R+𝑑 \ {0} such that
∫ ∑︁
|𝑧| ∧ |𝑧| 2 + 𝑧 𝑗 𝐻𝑖 (d𝑧) < ∞.
R+𝑑 \{0} 𝑗≠𝑖
By Proposition 2.20 and Theorem 2.21 for any 𝜆 ∈ R+𝑑 there is a unique locally
bounded vector-valued solution 𝑡 ↦→ 𝑣(𝑡, 𝜆) ∈ R+𝑑 to the evolution equation system
∫ 𝑡
𝑣 𝑖 (𝑡, 𝜆) = 𝜆𝑖 − 𝜙𝑖 (𝑣(𝑠, 𝜆))d𝑠, 𝑡 ≥ 0, 𝑖 = 1, . . . , 𝑑, (2.45)
0
and there is a Feller transition semigroup (𝑄 𝑡 )𝑡 ≥0 on R+𝑑 defined by

∫
e− ⟨𝑦,𝜆⟩ 𝑄 𝑡 (𝑥, d𝑦) = e− ⟨𝑥,𝑣 (𝑡 ,𝜆) ⟩ , 𝜆, 𝑥 ∈ R+𝑑 . (2.46)
R+𝑑
From (2.45) we see that 𝑡 ↦→ 𝑣 𝑖 (𝑡, 𝜆) is continuously differentiable. Then we can

rewrite the equation into the equivalent differential form
d𝑣 𝑖
(𝑡, 𝜆) = −𝜙𝑖 (𝑣(𝑡, 𝜆)), 𝑣 𝑖 (0, 𝜆) = 𝜆𝑖 , 𝑖 = 1, . . . , 𝑑.
d𝑡
2.4 Examples of Superprocesses 49
A Markov process in R+𝑑 with transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by (2.46) is called

a continuous-state branching process (CB-process).
Example 2.6 By a super-Brownian motion we mean a superprocess with Brownian

motion as underlying spatial motion. A particular super-Brownian motion is de-
scribed as follows. Let 𝜉 be a standard Brownian motion in R. It is well known that
𝜉 has a continuous local time {2𝑙 (𝑡, 𝑦) : 𝑡 ≥ 0, 𝑦 ∈ R}, that is,
∫ 𝑡 ∫
1 𝐵 (𝜉 𝑠 )d𝑠 = 2𝑙 (𝑡, 𝑦)d𝑦, 𝑡 ≥ 0, 𝐵 ∈ ℬ(R); (2.47)
0 𝐵
see, e.g., Ikeda and Watanabe (1989, p. 113). Let 𝜌 ∈ 𝑀 (R) and define the continuous
additive functional 𝑡 ↦→ 𝐾 (𝑡) by
∫
𝐾 (𝑡) = 2𝑙 (𝑡, 𝑦) 𝜌(d𝑦), 𝑡 ≥ 0.
R
Then we have
∫ ∫ 𝑡
√
2𝑡
P 𝑥 [𝐾 (𝑡)] = 𝜌(d𝑦) 𝑔𝑠 (𝑦 − 𝑥)d𝑠 ≤ √ 𝜌(R),
R 0 𝜋
where
1
𝑔𝑡 (𝑧) = √ exp{−𝑧2 /2𝑡}, 𝑡 > 0, 𝑧 ∈ R. (2.48)
2𝜋𝑡
Thus 𝑡 ↦→ 𝐾 (𝑡) is admissible. In this case, we can rewrite (2.34) as
∫ 𝑡 ∫
𝑣 𝑡 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙(𝑦, 𝑣 𝑡−𝑠 )𝑔𝑠 (𝑦 − 𝑥) 𝜌(d𝑦).
0 R
The corresponding (𝜉, 𝐾, 𝜙)-superprocess is called a catalytic super-Brownian mo-

tion with catalyst measure 𝜌(d𝑦).
Example 2.7 Let 𝑏 ∈ 𝐵(𝐸) and 𝑐 ∈ 𝐵(𝐸) + . Let (𝑧 ∧ 𝑧2 )𝑚(𝑥, d𝑧) be a bounded kernel
from 𝐸 to (0, ∞). We define a Borel function (𝑥, 𝜆) ↦→ 𝜙(𝑥, 𝜆) on 𝐸 × [0, ∞) by
∫ ∞
𝜙(𝑥, 𝜆) = 𝑏(𝑥)𝜆 + 𝑐(𝑥)𝜆2 + (e−𝑧𝜆 − 1 + 𝑧𝜆)𝑚(𝑥, d𝑧). (2.49)
0
Then (𝑥, 𝑓 ) ↦→ 𝜙(𝑥, 𝑓 (𝑥)) can be represented in the form (2.29) or (2.30). In this
case, we say the corresponding superprocess has a local branching mechanism. If
there is a 𝑐 ∈ 𝐵(𝐸) + such that 𝜙(𝑥, 𝜆) = 𝑐(𝑥)𝜆2 for all 𝑥 ∈ 𝐸 and 𝜆 ≥ 0, we say the
superprocess has a binary local branching mechanism.
Example 2.8 Let (𝑥, 𝑓 ) ↦→ 𝜓(𝑥, 𝑓 ) be given by (2.21) and let (𝑥, 𝜆) ↦→ 𝜙(𝑥, 𝜆) be
given by (2.49). Then the operator 𝑓 ↦→ 𝜙(·, 𝑓 (·)) − 𝜓(·, 𝑓 ) can be represented in the
form (2.29) or (2.30), so it defines a branching mechanism. A branching mechanism
of this type is said to be decomposable with local part 𝜙 and non-local part 𝜓.
A superprocess with such a branching mechanism is referred to as a (𝜉, 𝐾, 𝜙, 𝜓)-
superprocess. In the special case of the Lebesgue killing density 𝐾 (d𝑠) = d𝑠, we
call it a (𝜉, 𝜙, 𝜓)-superprocess. Of course, the expression 𝜙(·, 𝑓 (·)) − 𝜓(·, 𝑓 ) of a
decomposable branching mechanism is not unique.
Example 2.9 Let 𝜋(𝑥, d𝑦) be a probability kernel on 𝐸. Suppose that 𝛽 ∈ 𝐵(𝐸) + and
𝑧𝑛(𝑥, d𝑧) is a bounded kernel from 𝐸 to (0, ∞). Given the function
∫ ∞
𝜁 (𝑥, 𝜆) = 𝛽(𝑥)𝜆 + (1 − e−𝑧𝜆 )𝑛(𝑥, d𝑧), 𝑥 ∈ 𝐸, 𝜆 ≥ 0, (2.50)
0
we can define a non-local branching mechanism by
𝜓(𝑥, 𝑓 ) = 𝜁 (𝑥, 𝜋(𝑥, 𝑓 )), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸) + . (2.51)
If 𝜁 (𝑥, 𝑦, 𝜆) is given by (2.50) with 𝑥 ∈ 𝐸 replaced by (𝑥, 𝑦) ∈ 𝐸 2 , we can define

another special non-local branching mechanism by
∫
𝜓(𝑥, 𝑓 ) = 𝜁 (𝑥, 𝑦, 𝑓 (𝑦))𝜋(𝑥, d𝑦), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸) + . (2.52)
𝐸
Example 2.10 Let 1 < 𝛼 < 2 be a constant and let 𝜋0 be a diffuse probability measure
on 𝐸. We can define a branching mechanism on 𝐸 by
∫ 1 d𝑢
exp{−𝑢 𝑓 (𝑥) − 𝑢 2 𝜋0 ( 𝑓 )} − 1 + 𝑢 𝑓 (𝑥)

𝜙(𝑥, 𝑓 ) = .
0 𝑢 1+𝛼
In fact, it is easy to see that
∫
e−𝜈 ( 𝑓 ) − 1 + 𝜈({𝑥}) 𝑓 (𝑥) 𝐻 (𝑥, d𝜈),

𝜙(𝑥, 𝑓 ) =
𝑀 (𝐸) ◦
where 𝐻 (𝑥, d𝜈) is the image of 𝑢 −1−𝛼 d𝑢 under the mapping 𝑢 ↦→ 𝑢𝛿 𝑥 + 𝑢 2 𝜋0 of

(0, 1] into 𝑀 (𝐸) ◦ . This branching mechanism cannot be decomposed into local and
non-local parts.
2.5 Some Moment Formulas
In this section, we prove some moment formulas and give some applications. We
start with a general MB-process. Suppose that 𝐸 is a Lusin topological space and
(𝑄 𝑡 )𝑡 ≥0 is the transition semigroup of the process defined by (2.3) with (𝑉𝑡 )𝑡 ≥0 given
by (2.5).
2.5 Some Moment Formulas 51
Proposition 2.24 The probability measure 𝑄 𝑡 (𝜇, ·) has finite first-moments for every
𝑡 ≥ 0 and 𝜇 ∈ 𝑀 (𝐸) if and only if 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from 𝐸 to
𝑀 (𝐸) ◦ for every 𝑡 ≥ 0. In this case, we have
∫
𝜈( 𝑓 )𝑄 𝑡 (𝜇, d𝜈) = 𝜇(𝜋𝑡 𝑓 ), 𝜇 ∈ 𝑀 (𝐸), 𝑓 ∈ 𝐵(𝐸), (2.53)
𝑀 (𝐸)
where (𝜋𝑡 )𝑡 ≥0 is a semigroup of bounded kernels on 𝐸 defined by

∫
𝜋𝑡 𝑓 (𝑥) = 𝜆 𝑡 (𝑥, 𝑓 ) + 𝜈( 𝑓 )𝐿 𝑡 (𝑥, d𝜈), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸). (2.54)
𝑀 (𝐸) ◦
Proof We first define the kernel 𝜋𝑡 (𝑥, d𝑦) on 𝐸 using (2.54) for 𝑓 ∈ 𝐵(𝐸) + and
allowing infinite values for both sides. Writing 𝑣 𝑡 (𝑥, 𝑓 ) = 𝑉𝑡 𝑓 (𝑥), we have 𝜋𝑡 𝑓 (𝑥) =
lim𝑛→∞ 𝑛𝑣 𝑡 (𝑥, 𝑓 /𝑛) increasingly by (2.5). From (2.3) we get
∫
𝑛(1 − e−𝜈 ( 𝑓 /𝑛) )𝑄 𝑡 (𝜇, d𝜈) = 𝑛(1 − exp{−𝜇(𝑣 𝑡 (·, 𝑓 /𝑛))}).
𝑀 (𝐸)
Then (2.53) holds for 𝑓 ∈ 𝐵(𝐸) + by monotone convergence if infinite values are
allowed. Suppose that 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦ . Then
𝜋𝑡 (𝑥, d𝑦) is a bounded kernel on 𝐸, so 𝜇(𝜋𝑡 𝑓 ) < ∞ for 𝑓 ∈ 𝐵(𝐸) + and 𝜇 ∈ 𝑀 (𝐸).
This implies 𝑄 𝑡 (𝜇, ·) has finite first-moments given by (2.53). Conversely, suppose
that the probability measures 𝑄 𝑡 (𝜇, ·) have finite first-moments. Then 𝜇(𝜋𝑡 𝑓 ) < ∞
for 𝑓 ∈ 𝐵(𝐸) + and 𝜇 ∈ 𝑀 (𝐸), and so 𝜋𝑡 𝑓 ∈ 𝐵(𝐸) + , implying 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a
bounded kernel from 𝐸 to 𝑀 (𝐸) ◦ . The extensions of (2.53) and (2.54) to 𝑓 ∈ 𝐵(𝐸)
are immediate. The semigroup property of (𝜋𝑡 )𝑡 ≥0 follows from that of (𝑄 𝑡 )𝑡 ≥0 and
the relation (2.53). □
Corollary 2.25 Suppose that 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦
for every 𝑡 ≥ 0. Then for any 𝑓 , 𝑔 ∈ 𝐵(𝐸) + we have
|𝑉𝑡 𝑓 (𝑥) − 𝑉𝑡 𝑔(𝑥)| ≤ 𝜋𝑡 (𝑥, | 𝑓 − 𝑔|), 𝑡 ≥ 0, 𝑥 ∈ 𝐸, (2.55)
where (𝜋𝑡 )𝑡 ≥0 is defined by (2.54).
Proof By the canonical representation (2.5) we have

∫
|𝑉𝑡 𝑓 (𝑥) − 𝑉𝑡 𝑔(𝑥)| ≤ 𝜆 𝑡 (𝑥, | 𝑓 − 𝑔|) + |e−𝜈 ( 𝑓 ) − e−𝜈 ( 𝑓 ) |𝐿 𝑡 (𝑥, d𝜈)
◦
∫𝑀 (𝐸)
≤ 𝜆 𝑡 (𝑥, | 𝑓 − 𝑔|) + 𝜈(| 𝑓 − 𝑔|)𝐿 𝑡 (𝑥, d𝜈).
𝑀 (𝐸) ◦
Then (2.55) follows from (2.54). □

Let 𝑋 be an MB-process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 and let (𝜋𝑡 )𝑡 ≥0 be

defined by (2.54). If 𝜋𝑡 1(𝑥) ≤ 1 for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸, we say 𝑋 is subcritical. If
𝜋𝑡 1(𝑥) = 1 for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸, we say 𝑋 is critical. If 𝜋𝑡 1(𝑥) ≥ 1 for all 𝑡 ≥ 0
and 𝑥 ∈ 𝐸, we say 𝑋 is supercritical. The meanings of the concepts are made clear
by (2.53).
Proposition 2.26 Suppose 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦ for
every 𝑡 ≥ 0. Then for 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) and ( 𝑓 , 𝑔) ∈ 𝐵(𝐸) + × 𝐵(𝐸) we have
∫
𝜈(𝑔)e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}𝜇(𝑉𝑡 𝑓 ),
𝑔
(2.56)
𝑀 (𝐸)
where
∫
𝜈(𝑔)e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈),
𝑔
𝑉𝑡 𝑓 (𝑥) = 𝜆 𝑡 (𝑥, 𝑔) + 𝑥 ∈ 𝐸. (2.57)
𝑀 (𝐸) ◦
Proof By Proposition 2.24 the left-hand side of (2.56) is finite. For any ( 𝑓 , 𝑔) ∈
𝐵(𝐸) + × 𝐵(𝐸) + let 𝑉𝑡 𝑓 (𝑥) = (d/d𝜃)𝑉𝑡 ( 𝑓 + 𝜃𝑔) (𝑥)| 𝜃=0+ . We get (2.56) and (2.57) by
𝑔
differentiating both sides of (2.3) and (2.5), respectively. The relations for 𝑔 ∈ 𝐵(𝐸)
follow by linearity. □
Now let us consider the case of a Dawson–Watanabe superprocess. Let 𝜉 be a Borel

right process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and with resolvent (𝑈 𝛼 ) 𝛼>0
defined by (A.6). Let 𝑡 ↦→ 𝐾 (𝑡) be a continuous admissible additive functional of 𝜉
and let 𝜙 be a branching mechanism given by (2.29) or (2.30).
Proposition 2.27 For the (𝜉, 𝐾, 𝜙)-superprocess, we have (2.53) and (2.54) with
(𝜋𝑡 )𝑡 ≥0 defined by (2.20) and (2.31).
Proof By the proof of Proposition 2.24 we have 𝜋𝑡 𝑓 (𝑥) = lim𝑛→∞ 𝑛𝑣 𝑡 (𝑥, 𝑓 /𝑛)
increasingly for 𝑓 ∈ 𝐵(𝐸) + . Then one can see from (2.30) and (2.34) that (𝑡, 𝑥) ↦→
𝜋𝑡 𝑓 (𝑥) is the unique locally bounded solution of (2.20) and (2.31). The extension to
𝑓 ∈ 𝐵(𝐸) is immediate. □
Corollary 2.28 For the (𝜉, 𝜙)-superprocess, we have (2.53) and (2.54) with (𝜋𝑡 )𝑡 ≥0
defined by (2.31) and (2.38). In particular, if 𝜙 is the local branching mechanism
given by (2.49), the two equalities hold with 𝜋𝑡 = 𝑃𝑡𝑏 for all 𝑡 ≥ 0.
If 𝑏(𝑥) ≥ 𝛾(𝑥, 1) for all 𝑥 ∈ 𝐸, then (𝜋𝑡 )𝑡 ≥0 is a Borel right semigroup by

Theorem A.44. In this case, the (𝜉, 𝐾, 𝜙)-superprocess is subcritical. If (𝑃𝑡 )𝑡 ≥0
is conservative and 𝑏(𝑥) = 𝛾(𝑥, 1) for all 𝑥 ∈ 𝐸, then (𝜋𝑡 )𝑡 ≥0 is a conservative
semigroup and the superprocess is critical. If (𝑃𝑡 )𝑡 ≥0 is conservative and 𝑏(𝑥) ≤
𝛾(𝑥, 1) for all 𝑥 ∈ 𝐸, then 𝜋𝑡 1(𝑥) ≥ 1 for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸 and the (𝜉, 𝐾, 𝜙)-
superprocess is supercritical.
𝑔
Proposition 2.29 Let 𝑉𝑡 𝑓 (𝑥) be defined by (2.57) from the canonical representation
𝑔
of the cumulant semigroup of the (𝜉, 𝐾, 𝜙)-superprocess. Then (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) is
the unique locally bounded solution of
∫ 𝑡
𝑔 𝑔
𝑉𝑡 𝑓 (𝑥) = P 𝑥 𝑔(𝜉𝑡 ) − P 𝑥 𝜓(𝜉 𝑠 , 𝑉𝑡−𝑠 𝑓 , 𝑉𝑡−𝑠 𝑓 )𝐾 (d𝑠) (2.58)
0
and ( 𝑓 , 𝑔) ↦→ 𝜓(·, 𝑓 , 𝑔) is the operator from 𝐵(𝐸) + × 𝐵(𝐸) to 𝐵(𝐸) defined by

∫
𝜓(𝑥, 𝑓 , 𝑔) = 𝑏(𝑥)𝑔(𝑥) + 2𝑐(𝑥) 𝑓 (𝑥)𝑔(𝑥) − 𝑔(𝑦)𝛾(𝑥, d𝑦)
∫ 𝐸
𝜈(𝑔) 1 − e−𝜈 ( 𝑓 ) 𝐻 (𝑥, d𝜈).

+ (2.59)
𝑀 (𝐸) ◦
Proof Using the notation introduced in the proof of Proposition 2.26, for ( 𝑓 , 𝑔) ∈
𝐵(𝐸) + × 𝐵(𝐸) + we get (2.58) by differentiating both sides of (2.34). For 𝑔 ∈ 𝐵(𝐸)
the relation follows by linearity. For any 𝑟 ≥ 0 it is not hard to show that (2.58) holds
for all 𝑡 ≥ 0 if and only if it holds for 0 ≤ 𝑡 ≤ 𝑟 and
∫ 𝑡
𝑔 𝑔 𝑔
𝑉𝑟+𝑡 𝑓 (𝑥) = P 𝑥 𝑉𝑟 𝑓 (𝜉𝑡 ) − P 𝑥 𝜓(𝜉 𝑠 , 𝑉𝑟+𝑡−𝑠 𝑓 , 𝑉𝑟+𝑡−𝑠 𝑓 )𝐾 (d𝑠)
0
holds for 𝑡 ≥ 0. Based on this, the uniqueness of the solution to (2.58) follows by
arguments similar to those in the proofs of Propositions 2.15 and 2.20. □
Corollary 2.30 Let ( 𝑓 , 𝑔) ∈ 𝐵(𝐸) + × 𝐵(𝐸) and let (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) be defined by
𝑔
𝑔
𝑔 𝑉𝑡 𝑓
(2.58). Then we have 𝑉𝑟+𝑡 𝑓 (𝑥) = 𝑉𝑟 𝑉𝑡 𝑓 (𝑥) for all 𝑟, 𝑡 ≥ 0 and 𝑥 ∈ 𝐸.
Proof For any ( 𝑓 , 𝑔) ∈ 𝐵(𝐸) + ×𝐵(𝐸) we can use Proposition 2.29 and the semigroup
property of (𝑄 𝑡 )𝑡 ≥0 to see
∫
𝜈(𝑔)e−𝜈 ( 𝑓 ) 𝑄 𝑟+𝑡 (𝜇, d𝜈)
𝑀 (𝐸) ∫ ∫
= 𝑄 𝑟 (𝜇, d𝜂) 𝜈(𝑔)e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜂, d𝜈).
𝑀 (𝐸) 𝑀 (𝐸)
By applying (2.56) to both sides for 𝜇 = 𝛿 𝑥 we obtain the desired equality. □
For a (𝜉, 𝜙)-superprocess, the solution of (2.58) can be approximated by an

iterating sequence. In this case, we can rewrite the equation as
∫ 𝑡 ∫
𝑔 𝑔
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑔(𝑥) − d𝑠 𝜓(𝑦, 𝑉𝑠 𝑓 , 𝑉𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦). (2.60)
0 𝐸
𝑔
Proposition 2.31 Let (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) be defined by (2.60). Let 𝑣 0 (𝑡, 𝑥) = 0 and
define 𝑣 𝑛 (𝑡, 𝑥) = 𝑣 𝑛 (𝑡, 𝑥, 𝑓 , 𝑔) inductively by
∫ 𝑡 ∫
𝑣 𝑛+1 (𝑥) = 𝑃𝑡 𝑔(𝑥) − d𝑠 𝜓(𝑦, 𝑉𝑠 𝑓 , 𝑣 𝑛 )𝑃𝑡−𝑠 (𝑥, d𝑦). (2.61)
0 𝐸
𝑔
Then for every 𝑇 ≥ 0 we have 𝑣 𝑛 (𝑥) → 𝑉𝑡 𝑓 (𝑥) uniformly on [0, 𝑇] × 𝐸.
Proof Let 𝐷 𝑛 (𝑡) = sup0≤𝑠 ≤𝑡 ∥𝑣 𝑛 (𝑠) − 𝑣 𝑛−1 (𝑠) ∥. Since (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) is locally
bounded, by (2.59) and (2.61), for any 𝑇 ≥ 0 there is a constant 𝐿 ≥ 0 such that
∫ 𝑡
1
𝐷 𝑛 (𝑡) ≤ 𝐿 𝐷 𝑛−1 (𝑠)d𝑠 ≤ · · · ≤ 𝐿 𝑛−1 𝑡 𝑛−1 ∥𝑔∥, 0 ≤ 𝑡 ≤ 𝑇 .
0 (𝑛 − 1)!
Then the result follows as in the proof of Proposition 2.19. □
By Corollary 2.28, for the (𝜉, 𝜙)-superprocess we have (2.53) and (2.54) with
(𝜋𝑡 )𝑡 ≥0 defined by (2.31) and (2.38). Recall that 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)] and
𝑐+0 = 0 ∨ 𝑐 0 .
Proposition 2.32 Let (𝑋𝑡 , 𝒢𝑡 , P) be a (𝜉, 𝜙)-superprocess satisfying P[𝑋0 (1)] < ∞.
Suppose that 𝛼 ∈ R and 𝑓 ∈ 𝐵(𝐸) + satisfy 𝜋𝑡 𝑓 (𝑥) ≤ e 𝛼𝑡 𝑓 (𝑥) for all 𝑡 ≥ 0 and
𝑥 ∈ 𝐸. Then 𝑡 ↦→ e−𝛼𝑡 𝑋𝑡 ( 𝑓 ) is a positive (𝒢𝑡 )-supermartingale.
Proof By Corollary 2.28, for any 𝑡 ≥ 𝑟 ≥ 0 we have
P e−𝛼𝑡 𝑋𝑡 ( 𝑓 ) 𝒢𝑟 = e−𝛼𝑡 𝑋𝑟 (𝜋𝑡−𝑟 𝑓 ) ≤ e−𝛼𝑟 𝑋𝑟 ( 𝑓 ).

Therefore 𝑡 ↦→ e−𝛼𝑡 𝑋𝑡 ( 𝑓 ) is a (𝒢𝑡 )-supermartingale. □

Corollary 2.33 Let (𝑋𝑡 , 𝒢𝑡 , P) be a right continuous (𝜉, 𝜙)-superprocess satisfying
P[𝑋0 (1)] < ∞. Then 𝑡 ↦→ e−𝑐0 𝑡 𝑋𝑡 (1) is a positive (𝒢𝑡 )-supermartingale and for any
𝜆 ≥ 0 we have
n o
𝜆P sup e−𝑐0 𝑡 𝑋𝑡 (1) ≥ 𝜆 ≤ P[𝑋0 (1)]. (2.62)
𝑡 ≥0
Proof By Theorem A.53 we have ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0. By Proposition 2.32

the process 𝑡 ↦→ e−𝑐0 𝑡 𝑋𝑡 (1) is a positive (𝒢𝑡 )-supermartingale. Then we have the
inequality (2.62). □
Corollary 2.34 Let (𝑋𝑡 , 𝒢𝑡 , P) be a (𝜉, 𝜙)-superprocess satisfying P[𝑋0 (1)] < ∞.
Let 𝛼 ≥ 0 and let 𝑓 ∈ 𝐵(𝐸) + be an 𝛼-super-mean-valued function for (𝑃𝑡 )𝑡 ≥0
satisfying 𝜀 := inf 𝑥 ∈𝐸 𝑓 (𝑥) > 0. Then for any 𝛽 ≥ 𝛼 + 𝑐+0 𝜀 −1 ∥ 𝑓 ∥ the process
𝑡 ↦→ e−2𝛽𝑡 𝑋𝑡 ( 𝑓 ) is a positive (𝒢𝑡 )-supermartingale.
Proof Since 𝑓 is 𝛼-super-mean-valued for (𝑃𝑡 )𝑡 ≥0 , from (2.38) it follows that
∫ 𝑡
+
𝜋𝑡 𝑓 (𝑥) ≤ 𝑃𝑡 𝑓 (𝑥) + 𝑐 0 ∥ 𝑓 ∥ e𝑐0 𝑠 𝑃𝑡−𝑠 1(𝑥)d𝑠
0
∫ 𝑡
+
≤ e 𝛼𝑡 𝑓 (𝑥) + 𝑐+0 𝜀 −1 ∥ 𝑓 ∥ e𝑐0 𝑠 𝑃𝑡−𝑠 𝑓 (𝑥)d𝑠
∫ 𝑡 0
≤ e𝛽𝑡 𝑓 (𝑥) + 𝛽e𝛽𝑡 e𝛽𝑠 𝑓 (𝑥)d𝑠 ≤ e2𝛽𝑡 𝑓 (𝑥).

0
Then the result follows by Proposition 2.32. □
Corollary 2.35 Let 𝜙 be a local branching mechanism given by (2.49) and let
(𝑋𝑡 , 𝒢𝑡 , P) be a (𝜉, 𝜙)-superprocess satisfying P[𝑋0 (1)] < ∞. Let 𝛼 ≥ 0 and
let 𝑓 ∈ 𝐵(𝐸) + be an 𝛼-super-mean-valued function for (𝑃𝑡 )𝑡 ≥0 . Then for any
𝛼1 ≥ 𝛼 + ∥𝑏 − ∥ the process 𝑡 ↦→ e−𝛼1 𝑡 𝑋𝑡 ( 𝑓 ) is a (𝒢𝑡 )-supermartingale.
Proof Since 𝑓 ∈ 𝐵(𝐸) + is 𝛼-super-mean-valued for (𝑃𝑡 )𝑡 ≥0 , we have

− ∥𝑡 − ∥+𝛼)𝑡
𝑃𝑡𝑏 𝑓 (𝑥) ≤ e ∥𝑏 𝑃𝑡 𝑓 (𝑥) ≤ e ( ∥𝑏 𝑓 (𝑥) ≤ e 𝛼1 𝑡 𝑓 (𝑥).
Then we have the result by Proposition 2.32. □
Let F be the set of functions 𝑓 ∈ 𝐵(𝐸) that are finely continuous relative to 𝜉. Fix
𝛽 > 0 and let ( 𝐴, 𝒟( 𝐴)) be the weak generator of (𝑃𝑡 )𝑡 ≥0 defined by 𝒟( 𝐴) = 𝑈 𝛽 F
and 𝐴 𝑓 = 𝛽 𝑓 − 𝑔 for 𝑓 = 𝑈 𝛽 𝑔 ∈ 𝒟( 𝐴).
Theorem 2.36 Suppose that (𝑋𝑡 , 𝒢𝑡 , P) is a progressive realization of the (𝜉, 𝜙)-
superprocess such that P[𝑋0 (1)] < ∞. Then for any 𝑓 ∈ 𝒟( 𝐴), the process
∫ 𝑡
𝑀𝑡 ( 𝑓 ) := 𝑋𝑡 ( 𝑓 ) − 𝑋0 ( 𝑓 ) − 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠, 𝑡 ≥ 0,
0
is a (𝒢𝑡 )-martingale.
Proof Let (𝜋𝑡 )𝑡 ≥0 be defined by (2.38). For any 𝑡 ≥ 𝑟 ≥ 0 we use Corollary 2.28
and the Markov property of {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} to see that
∫ 𝑡

P 𝑀𝑡 ( 𝑓 ) 𝒢𝑟 = P 𝑋𝑡 ( 𝑓 ) − 𝑋0 ( 𝑓 ) − 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠 𝒢𝑟
∫ 𝑡−𝑟 0
= P 𝑋𝑡 ( 𝑓 ) − 𝑋𝑟+𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠 𝒢𝑟
0 ∫
𝑟
− 𝑋0 ( 𝑓 ) − 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠
0
∫ 𝑡−𝑟
= 𝑋𝑟 (𝜋𝑡−𝑟 𝑓 ) − 𝑋𝑟 (𝜋 𝑠 ( 𝐴 + 𝛾 − 𝑏) 𝑓 )d𝑠
0∫
𝑟
− 𝑋0 ( 𝑓 ) − 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠
0∫
𝑟
= 𝑋𝑟 ( 𝑓 ) − 𝑋0 ( 𝑓 ) − 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠,
0
where we have also used Theorem A.59 for the last equality. This gives the martingale
property of {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0}. □
We next give some second-moment formulas. For simplicity we only consider

the (𝜉, 𝜙)-superprocess. In this case, the semigroup (𝜋𝑡 )𝑡 ≥0 is defined by (2.38). We
shall need the integral condition
∫
sup 𝜈(1) 2 𝐻 (𝑥, d𝜈) < ∞. (2.63)
𝑥 ∈𝐸 𝑀 (𝐸) ◦
Proposition 2.37 Suppose that (2.63) holds. Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup
of the (𝜉, 𝜙)-superprocess. Then for 𝑡 > 0, 𝑥 ∈ 𝐸 and 𝑓 ∈ 𝐵(𝐸) we have
∫ ∫ 𝑡 ∫
2
𝜈( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈) = d𝑠 𝑞(𝑦, 𝜋 𝑠 𝑓 )𝜋𝑡−𝑠 (𝑥, d𝑦),
𝑀 (𝐸) 0 𝐸
where (𝜋𝑡 )𝑡 ≥0 is defined by (2.38) and

∫
𝑞(𝑦, 𝑓 ) = 2𝑐(𝑦) 𝑓 (𝑦) 2 + 𝜈( 𝑓 ) 2 𝐻 (𝑦, d𝜈). (2.64)
𝑀 (𝐸) ◦
Proof We first assume 𝑓 ∈ 𝐵(𝐸) + . By applying Proposition 1.39 to (2.5), for any
𝜃 > 0 we can define the function 𝑢 𝑡′ (𝑥, 𝜃) := (d/d𝜃)𝑣 𝑡 (𝑥, 𝜃 𝑓 ), which is given by
∫
′
𝑢 𝑡 (𝑥, 𝜃) = 𝜆 𝑡 (𝑥, 𝑓 ) + 𝜈( 𝑓 )e−𝜃 𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈). (2.65)
𝑀 (𝐸) ◦
Then we differentiate both sides of (2.41) to obtain

∫ 𝑡 ∫
𝑢 𝑡′ (𝑥, 𝜃) = 𝜋𝑡 𝑓 (𝑥) − 2 𝑑𝑠 𝑐(𝑦)𝑣 𝑠 (𝑦, 𝜃 𝑓 )𝑢 𝑠′ (𝑦, 𝜃)𝜋𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 ∫ 0 𝐸
− 𝑑𝑠 ℎ 𝑠 (𝑦, 𝜃, 𝑓 )𝜋𝑡−𝑠 (𝑥, d𝑦), (2.66)

0 𝐸
where
∫
𝜈(𝑢 𝑠′ (·, 𝜃)) 1 − e−𝜈 (𝑣𝑠 (·, 𝜃 𝑓 )) 𝐻 (𝑦, d𝜈).

ℎ 𝑠 (𝑦, 𝜃, 𝑓 ) =
𝑀 (𝐸) ◦
For any 𝜃 > 0 let 𝑢 𝑡′′ (𝑥, 𝜃) = (d2 /d𝜃 2 )𝑣 𝑡 (𝑥, 𝜃 𝑓 ). By Proposition 1.39,
∫
′′
𝑢 𝑡 (𝑥, 𝜃) = − 𝜈( 𝑓 ) 2 e−𝜃 𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈). (2.67)
𝑀 (𝐸) ◦
On the other hand, from (2.66) we have

∫ 𝑡 ∫
𝑢 𝑡′′ (𝑥, 𝜃) = −2 𝑐(𝑦) 𝑢 𝑠′ (𝑦, 𝜃) 2 + 𝑣 𝑠 (𝑦, 𝜃 𝑓 )𝑢 𝑠′′ (𝑦, 𝜃) 𝜋𝑡−𝑠 (𝑥, d𝑦)

𝑑𝑠
∫ 0𝑡 ∫ 𝐸
− 𝑑𝑠 ℎ 𝑠′ (𝑦, 𝜃, 𝑓 )𝜋𝑡−𝑠 (𝑥, d𝑦)
0 𝐸
where
∫
ℎ 𝑠′ (𝑦, 𝜃, 𝑓) = 𝜈(𝑢 𝑠′ (·, 𝜃)) 2 e−𝜈 (𝑣𝑠 (·, 𝜃 𝑓 )) 𝐻 (𝑦, d𝜈)
∫ (𝐸) ◦
𝑀
𝜈(𝑢 𝑠′′ (·, 𝜃)) 1 − e−𝜈 (𝑣𝑠 (·, 𝜃 𝑓 )) 𝐻 (𝑦, d𝜈).

+
𝑀 (𝐸) ◦
By the dominated convergence theorem we have

∫ 𝑡 ∫
lim 𝑢 𝑡′′ (𝑥, 𝜃) = − 𝑑𝑠 𝑞(𝑦, 𝜋 𝑠 𝑓 )𝜋𝑡−𝑠 (𝑥, d𝑦).
𝜃→0 0 𝐸
From this and (2.67) we get the desired equality for 𝑓 ∈ 𝐵(𝐸) + . The extension to
𝑓 ∈ 𝐵(𝐸) is elementary. □
Proposition 2.38 Suppose that (2.63) holds. Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup
of the (𝜉, 𝜙)-superprocess. Then for 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸) we have
∫ ∫ 𝑡 ∫
2 2
𝜈( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = 𝜇(𝜋𝑡 𝑓 ) + d𝑠 𝑞(𝑦, 𝜋 𝑠 𝑓 )𝜇𝜋𝑡−𝑠 (d𝑦), (2.68)
𝑀 (𝐸) 0 𝐸
where (𝜋𝑡 )𝑡 ≥0 is defined by (2.38) and 𝑞(𝑦, 𝑓 ) is defined by (2.64).

Proof Let 𝑢 𝑡′ (𝑥, 𝜃) and 𝑢 𝑡′′ (𝑥, 𝜃) be defined as in the proof of Proposition 2.37. In
view of (2.35), we have
∫
𝜈( 𝑓 ) 2 e−𝜃 𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈)
𝑀 (𝐸)
= 𝜇(𝑢 𝑡′ (·, 𝜃)) 2 − 𝜇(𝑢 𝑡′′ (·, 𝜃)) exp{−𝜇(𝑣 𝑡 (·, 𝜃))}.

By letting 𝜃 → 0 in the above equation we obtain (2.68), first for 𝑓 ∈ 𝐵(𝐸) + and
then for 𝑓 ∈ 𝐵(𝐸). □
Corollary 2.39 Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup of the (𝜉, 𝜙)-superprocess
with local branching mechanism given by (2.49) and assume
∫ ∞
′′
𝑥 ↦→ 𝜙 (𝑥, 0) := 2𝑐(𝑥) + 𝑧 2 𝑚(𝑥, d𝑧) (2.69)
0
is bounded on 𝐸. Then for 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸) we have

∫ ∫ 𝑡 ∫
𝜈( 𝑓 ) 2 𝑄 𝑡 (𝜇, d𝜈) = 𝜇(𝑃𝑡𝑏 𝑓 ) 2 + d𝑠 𝜙 ′′ (𝑥, 0)𝑃𝑠𝑏 𝑓 (𝑥) 2 𝜇𝑃𝑡−𝑠
𝑏
(d𝑥).
𝑀 (𝐸) 0 𝐸
Example 2.11 Suppose that 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a (𝜉, 𝜙)-superprocess with

binary local branching mechanism 𝜙(𝑥, 𝜆) = 𝑐(𝑥)𝜆2 /2. Let (𝑉𝑡 )𝑡 ≥0 denote the
cumulant semigroup of 𝑋. Fix 𝑓 ∈ 𝐵(𝐸) + and define
𝜕𝑛
𝑣 𝑡(𝑛) (𝑥) = (−1) 𝑛−1 𝑉𝑡 (𝜃 𝑓 ) (𝑥) .
𝜕𝜃 𝑛 𝜃=0+
Then we have 𝑣 𝑡(1) (𝑥) = 𝑃𝑡 𝑓 (𝑥) and

𝑛−1 ∫ 𝑡
∑︁ 𝑛−1
𝑣 𝑡(𝑛) (𝑥) = 𝑃𝑡−𝑠 (𝑐𝑣 𝑠(𝑘) 𝑣 𝑠(𝑛−𝑘) ) (𝑥)d𝑠
𝑘=1
𝑘 0
for 𝑛 = 2, 3, . . .. The moments of 𝑋 are determined by Q 𝜇 [𝑋𝑡 ( 𝑓 )] = 𝜇(𝑃𝑡 𝑓 ) and

𝑛−1
∑︁ 𝑛−1
Q 𝜇 [𝑋𝑡 ( 𝑓 ) 𝑛 ] = 𝜇(𝑣 𝑡(𝑛−𝑘) )Q 𝜇 [𝑋𝑡 ( 𝑓 ) 𝑘 ].
𝑘=0
𝑘
2.6 Variations of Transition Probabilities
In this section we give some estimates for the variations of transition probabilities of
the MB-process with different initial states. For 𝜇, 𝜈 ∈ 𝑀 (𝐸) let |𝜇 − 𝜈| denote the
total variation of the signed measure 𝜇 − 𝜈. Then ∥𝜇 − 𝜈∥ := |𝜇 − 𝜈|(𝐸) is the total
variation norm of 𝜇 − 𝜈. For a function 𝐹 on 𝑀 (𝐸) the Lipschitz constant 𝐿 var (𝐹)
relative to the total variation norm is defined by
𝐿 var (𝐹) = sup ∥𝜇 − 𝜈∥ −1 |𝐹 (𝜇) − 𝐹 (𝜈)| : 𝜇 ≠ 𝜈 ∈ 𝑀 (𝐸) .

(2.70)
A coupling of two probability measures 𝑄 1 and 𝑄 2 on 𝑀 (𝐸) means a probability

measure 𝑃 on 𝑀 (𝐸) 2 with marginals 𝑃(· × 𝐸) = 𝑄 1 (·) and 𝑃(𝐸 × ·) = 𝑄 2 (·). The
Wasserstein distance 𝑊1 (𝑄 1 , 𝑄 2 ) between 𝑄 1 and 𝑄 2 is defined by
∫
𝑊1 (𝑄 1 , 𝑄 2 ) = inf ∥𝜇 − 𝜈∥𝑃(d𝜇, d𝜈), (2.71)
𝑃 𝑀 (𝐸) 2
where 𝑃 runs over all couplings of 𝑄 1 and 𝑄 2 . The integrand (𝜇, 𝜈) ↦→ ∥𝜇 − 𝜈∥ in

(2.71) is measurable with respect to the Borel 𝜎-algebra ℬ(𝑀 (𝐸) 2 ) = ℬ(𝑀 (𝐸)) 2 .
In fact, by the regularity of 𝜇 and 𝜈 we have

∥𝜇 − 𝜈∥ = sup 𝜇( 𝑓 ) − 𝜈( 𝑓 ) : 𝑓 ∈ 𝐶 (𝐸), ∥ 𝑓 ∥ ≤ 1 ,
so the function (𝜇, 𝜈) ↦→ ∥𝜇 − 𝜈∥ on 𝑀 (𝐸) 2 is lower semi-continuous. The next

theorem gives useful estimates for the variations in Wasserstein distance 𝑊1 of the
transition probabilities of the MB-process.
Theorem 2.40 Suppose that 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦
for every 𝑡 ≥ 0. Then for 𝜇, 𝜈 ∈ 𝑀 (𝐸) we have
|(𝜇 − 𝜈) (𝜋𝑡 1)| ≤ 𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑄 𝑡 (𝜈, ·)) ≤ |𝜇 − 𝜈|(𝜋𝑡 1), (2.72)
where (𝜋𝑡 )𝑡 ≥0 is the semigroup of bounded kernels on 𝐸 defined by (2.54).

2.6 Variations of Transition Probabilities 59
Proof Clearly, for any coupling 𝑄 𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) of 𝑄 𝑡 (𝜇, d𝛾1 ) and 𝑄 𝑡 (𝜈, d𝛾2 ) we
have
∫
∥𝛾1 − 𝛾2 ∥𝑄 𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 )
𝑀 (𝐸) 2 ∫
≥ [𝛾1 (1) − 𝛾2 (1)]𝑄 𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 )

∫ 𝑀 (𝐸) 2
= 𝛾(1) [𝑄 𝑡 (𝜇, d𝛾) − 𝑄 𝑡 (𝜈, d𝛾)] = (𝜇 − 𝜈) (𝜋𝑡 1).
𝑀 (𝐸)
It follows that 𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑄 𝑡 (𝜈, ·)) ≥ (𝜇 − 𝜈) (𝜋𝑡 1). By symmetry, we get
𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑄 𝑡 (𝜈, ·)) ≥ (𝜈 − 𝜇) (𝜋𝑡 1). Then the lower bound in (2.72) holds. Let
(𝜇−𝜈)+ and (𝜇−𝜈)− denote the upper and lower variations of the signed measure 𝜇−𝜈
in its Jordan–Hahn decomposition, respectively. Let 𝜇∧𝜈 = 𝜇−(𝜇−𝜈)+ = 𝜈−(𝜇−𝜈)− .
Let 𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) be the image of the product measure
𝑄 𝑡 (𝜇 ∧ 𝜈, d𝜂0 )𝑄 𝑡 ((𝜇 − 𝜈)+ , d𝜂1 )𝑄 𝑡 ((𝜇 − 𝜈)− , d𝜂2 )
under the mapping (𝜂0 , 𝜂1 , 𝜂2 ) ↦→ (𝛾1 , 𝛾2 ) := (𝜂0 + 𝜂1 , 𝜂0 + 𝜂2 ). By the branching

property (2.1) one can see that 𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) is a coupling of 𝑄 𝑡 (𝜇, d𝛾1 ) and
𝑄 𝑡 (𝜈, d𝛾2 ). Then we have
∫
𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑄 𝑡 (𝜈, ·)) ≤ ∥𝛾1 − 𝛾2 ∥𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 )
∫𝑀 (𝐸) 2 ∫
= 𝑄 𝑡 (𝜇 ∧ 𝜈, d𝜂0 ) 𝑄 𝑡 ((𝜇 − 𝜈)+ , d𝜂1 )
𝑀 (𝐸)
∫ 𝑀 (𝐸)
∥𝜂1 − 𝜂2 ∥𝑄 𝑡 ((𝜇 − 𝜈)− , d𝜂2 )

∫ 𝑀 (𝐸) ∫
≤ 𝑄 𝑡 (𝜇 ∧ 𝜈, d𝜂0 ) 𝑄 𝑡 ((𝜇 − 𝜈)+ , d𝜂1 )
𝑀 (𝐸)
∫ 𝑀 (𝐸)
[𝜂1 (1) + 𝜂2 (1)]𝑄 𝑡 ((𝜇 − 𝜈)− , d𝜂2 )

∫ 𝑀 (𝐸)
= 𝜂(1)𝑄 𝑡 (|𝜇 − 𝜈|, d𝜂) = |𝜇 − 𝜈|(𝜋𝑡 1).

𝑀 (𝐸)
This gives the upper bound in (2.72). □
Corollary 2.41 In the setup of Theorem 2.40, for any 𝐹 ∈ 𝐵(𝑀 (𝐸)) we have
𝐿 var (𝑄 𝑡 𝐹) ≤ ∥𝜋𝑡 1∥𝐿 var (𝐹).
Proof Let 𝑄 𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) be any coupling of 𝑄 𝑡 (𝜇, d𝛾1 ) and 𝑄 𝑡 (𝜈, d𝛾2 ) for
𝜇, 𝜈 ∈ 𝑀 (𝐸). Clearly, we have
∫
|𝑄 𝑡 𝐹 (𝜇) − 𝑄 𝑡 𝐹 (𝜈)| ≤ [𝐹 (𝛾1 ) − 𝐹 (𝛾2 )]𝑄 𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 )
𝑀 (𝐸) 2 ∫
≤ 𝐿 var (𝐹) ∥𝛾1 − 𝛾2 ∥𝑄 𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ).

𝑀 (𝐸) 2
Then we see by Theorem 2.40 that
|𝑄 𝑡 𝐹 (𝜇) − 𝑄 𝑡 𝐹 (𝜈)| ≤ 𝐿 var (𝐹)𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑄 𝑡 (𝜈, ·))

≤ 𝐿 var (𝐹)|𝜇 − 𝜈|(𝜋𝑡 1) ≤ ∥𝜋𝑡 1∥𝐿 var (𝐹) ∥𝜇 − 𝜈∥.
This implies the desired estimate. □
Corollary 2.42 In the setup of Theorem 2.40, we have 𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑄 𝑡 (𝜈, ·)) =
(𝜇 − 𝜈) (𝜋𝑡 1) for 𝜇 ≥ 𝜈 ∈ 𝑀 (𝐸).
Corollary 2.43 In the setup of Theorem 2.40, we have 𝑊1 (𝑄 𝑡 (𝜇, ·), 𝛿0 ) = 𝜇(𝜋𝑡 1)
for 𝜇 ∈ 𝑀 (𝐸).
Corollary 2.44 In the setup of Theorem 2.40, we have 𝑊1 (𝑄 𝑡 (𝜇, ·), 𝛿0 ) → 0 as

𝑡 → ∞ for every 𝜇 ∈ 𝑀 (𝐸) if and only if lim𝑡→∞ 𝜇(𝜋𝑡 1) = 0 for every 𝜇 ∈ 𝑀 (𝐸).
Clearly, if the condition of Corollary 2.44 is satisfied, the MB-process is ergodic

in the Wasserstein distance 𝑊1 with 𝛿0 as its unique stationary distribution. The
following example shows that the condition of the corollary may not be satisfied
even if 𝜋𝑡 𝑓 (𝑥) → 0 pointwise as 𝑡 → ∞.
Example 2.12 Let (𝑃𝑡 )𝑡 ≥0 be the Borel right semigroup on 𝐸 0 := (0, ∞) defined by
𝑃𝑡 𝑓 (𝑥) = 𝑓 (𝑥 − 𝑡)1 {𝑡 <𝑥 } for 𝑥 ∈ 𝐸 0 and 𝑓 ∈ 𝐵(𝐸 0 ) + . Let 𝜙 be the local branching
mechanism given by (2.49) with 𝑏(𝑥) ≡ 𝑏 being a constant. By Corollary 2.28 it is
easy to see that 𝜋𝑡 𝑓 (𝑥) = e−𝑏𝑡 𝑓 (𝑥 − 𝑡)1 {𝑡 <𝑥 } . Then 𝜋𝑡 𝑓 (𝑥) → 0 as 𝑡 → ∞ for every
𝑥 ∈ 𝐸 0 . By Corollary 2.43 we have
𝑊1 (𝑄 𝑡 (𝜇, ·), 𝛿0 ) = 𝜇(𝜋𝑡 1) = e−𝑏𝑡 𝜇(𝑡, ∞).
Then 𝑊1 (𝑄 𝑡 (𝜇, ·), 𝛿0 ) → 0 as 𝑡 → ∞ for all 𝜇 ∈ 𝑀 (𝐸 0 ) if and only if 𝑏 ≥ 0.
The next theorem gives upper and lower bounds for the variations of the transi-
tion probabilities of the MB-process started from different initial states in the total
variation distance ∥ · ∥.
Theorem 2.45 Suppose that the function 𝑣¯ 𝑡 defined by (2.7) is bounded on 𝐸 for
every 𝑡 > 0. Then for 𝜇, 𝜈 ∈ 𝑀 (𝐸) we have
2|e−𝜇 ( 𝑣¯𝑡 ) − e−𝜈 ( 𝑣¯𝑡 ) | ≤ ∥𝑄 𝑡 (𝜇, ·) − 𝑄 𝑡 (𝜈, ·) ∥ ≤ 2(1 − e− | 𝜇−𝜈 | ( 𝑣¯𝑡 ) ). (2.73)
Proof If 𝜇( 𝑣¯ 𝑡 ) ≤ 𝜈( 𝑣¯ 𝑡 ), we have 𝑄 𝑡 (𝜇, {0}) − 𝑄 𝑡 (𝜈, {0}) = e−𝜇 ( 𝑣¯𝑡 ) − e−𝜈 ( 𝑣¯𝑡 ) ≥ 0
by (2.6). It follows that ∥𝑄 𝑡 (𝜇, ·) − 𝑄 𝑡 (𝜈, ·) ∥ ≥ 2(e−𝜇 ( 𝑣¯𝑡 ) − e−𝜈 ( 𝑣¯𝑡 ) ). Then the lower
bound in (2.73) holds. Let 𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) be the coupling of 𝑄 𝑡 (𝜇, d𝛾1 ) and
𝑄 𝑡 (𝜈, d𝛾2 ) constructed in the proof of Theorem 2.40. For any Borel function 𝐹 on
𝑀 (𝐸) with |𝐹 | ≤ 1, we have
2.6 Variations of Transition Probabilities 61
∫
𝑄 𝑡 𝐹 (𝜈) − 𝑄 𝑡 𝐹 (𝜇) = [𝐹 (𝛾1 ) − 𝐹 (𝛾2 )]𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 )
𝑀 (𝐸) 2
∫ ∫
≤ 𝑄 𝑡 (𝜇 ∧ 𝜈, d𝜂0 ) 𝑄 𝑡 ((𝜇 − 𝜈)+ , d𝜂1 )
𝑀 (𝐸) 𝑀 (𝐸)
∫
|𝐹 (𝜂0 + 𝜂1 ) − 𝐹 (𝜂0 + 𝜂2 )|𝑄 𝑡 ((𝜇 − 𝜈)− , d𝜂2 )
𝑀 (𝐸)
∫ ∫
≤2 𝑄 𝑡 (𝜇 ∧ 𝜈, d𝜂0 ) 𝑄 𝑡 ((𝜇 − 𝜈)+ , d𝜂1 )
𝑀 (𝐸) 𝑀 (𝐸)
∫
1 { 𝜂1 +𝜂2 ≠0} 𝑄 𝑡 ((𝜇 − 𝜈)− , d𝜂2 )
𝑀 (𝐸)
∫ ∫
=2 𝑄 𝑡 (𝜇 ∧ 𝜈, d𝜂0 ) 1 { 𝜂≠0} 𝑄 𝑡 (|𝜇 − 𝜈|, d𝜂)
𝑀 (𝐸) 𝑀 (𝐸)
∫
=2 1 { 𝜂≠0} 𝑄 𝑡 (|𝜇 − 𝜈|, d𝜂) = 2(1 − e− |𝜇−𝜈 | ( 𝑣¯𝑡 ) ).
𝑀 (𝐸)
This proves the upper bound in (2.73). □
Corollary 2.46 In the setup of Theorem 2.45, for any 𝐹 ∈ 𝐵(𝑀 (𝐸)) we have
𝐿 var (𝑄 𝑡 𝐹) ≤ 2∥ 𝑣¯ 𝑡 ∥ ∥𝐹 ∥.
Proof Suppose that ∥𝐹 ∥ > 0 and let 𝐹1 = ∥𝐹 ∥ −1 𝐹. For any 𝜇, 𝜈 ∈ 𝑀 (𝐸) we can
use Theorem 2.45 to see
|𝑄 𝑡 𝐹 (𝜇) − 𝑄 𝑡 𝐹 (𝜈)| = ∥𝐹 ∥|𝑄 𝑡 𝐹1 (𝜇) − 𝑄 𝑡 𝐹1 (𝜈)|

≤ ∥𝐹 ∥ ∥𝑄 𝑡 (𝜇, ·) − 𝑄 𝑡 (𝜈, ·) ∥ ≤ 2∥ 𝑣¯ 𝑡 ∥ ∥𝐹 ∥ ∥𝜇 − 𝜈∥.
Then the desired estimate holds. □
Corollary 2.47 In the setup of Theorem 2.45, for any 𝜇 ∈ 𝑀 (𝐸) we have
∥𝑄 𝑡 (𝜇, ·) − 𝛿0 ∥ = 2(1 − e−𝜇 ( 𝑣¯𝑡 ) ) ≤ 2𝜇( 𝑣¯ 𝑡 ).
Corollary 2.48 In the setup of Theorem 2.45, we have ∥𝑄 𝑡 (𝜇, ·) −𝛿0 ∥ → 0 as 𝑡 → ∞

for every 𝜇 ∈ 𝑀 (𝐸) if and only if lim𝑡→∞ 𝑣¯ 𝑡 (𝑥) = 0 decreasingly for every 𝑥 ∈ 𝐸.
By Corollary 2.46, if 𝑣¯ 𝑡 is bounded on 𝐸 for every 𝑡 > 0, then (𝑄 𝑡 )𝑡 ≥0 possesses

the strong Feller property, that is, the operators (𝑄 𝑡 )𝑡 >0 map bounded Borel functions
on 𝑀 (𝐸) into functions continuous in the total variation distance.
The one-to-one correspondence stated in Theorem 2.4 was established in Watanabe

(1968) under some stronger assumptions. Theorem 2.5 was also proved in Watan-
abe (1968). Jiřina (1964) studied the extinction problem of discrete-time branching
processes taking values of finite measures on the positive half line. A class of
superprocesses over compact metric spaces were constructed in Watanabe (1968),
where it was shown those processes arise as high-density limits of branching particle
systems. Silverstein (1969) constructed more general superprocesses with decom-
posable branching mechanisms; see also Dawson et al. (2002c) and Dynkin (1993a).
Some inhomogeneous superprocesses with general branching mechanisms were con-
structed in Dynkin (1994), who assumed the existence of a càdlàg realization of the
underlying spatial motion and a technical condition on the tail behavior of the kernel
in the expression of the branching mechanism. The superprocesses constructed in
Dynkin (1994) are not necessarily conservative. Dawson et al. (1998) proved that
a general class of local branching (𝜉, 𝜙, 𝐾)-superprocesses with a fixed underlying
spatial motion 𝜉 depend on the parameters (𝜙, 𝐾) continuously and the superpro-
cesses with Lebesgue killing density constitute a dense subset of the class. Leduc
(2000) constructed some Hunt superprocesses under a second-moment condition.
For spatially constant local branching mechanisms, the superprocess was constructed
in Le Gall (1999) and Le Gall and Le Jan (1998b) by using path-valued processes
known as Lévy snakes. Our construction of the (𝜉, 𝜙, 𝐾)-superprocess mainly fol-
lows Silverstein (1969) and Watanabe (1968). Theorems 2.40 and 2.45 are from Li
(2021).
Our assumptions on the branching mechanism guarantee that the correspond-

ing superprocesses have finite first-moments in the sense of (2.53). Let 𝑋 =
(𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) be a realization of the (𝜉, 𝐾, 𝜙)-superprocess. For 𝑡 ≥ 0 and
𝜇 ∈ 𝑀 (𝐸) we can define the mean measure 𝐼 𝜇,𝑡 on 𝐸 by
𝐼 𝜇,𝑡 (𝐵) = Q 𝜇 [𝑋𝑡 (𝐵)], 𝐵 ∈ ℬ(𝐸).
The Campbell measure of the random measure 𝑋𝑡 is the unique finite measure 𝑅 𝜇,𝑡
on 𝐸 × 𝑀 (𝐸) such that
𝑅 𝜇,𝑡 (𝐵 × 𝐴) = Q 𝜇 [𝑋𝑡 (𝐵)1 𝐴 (𝑋𝑡 )], 𝐵 ∈ ℬ(𝐸), 𝐴 ∈ ℬ(𝑀 (𝐸)).
In view of (2.56) we have

∫ ∫
𝑔(𝑥)e−𝜈 ( 𝑓 ) 𝑅 𝜇,𝑡 (d𝑥, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}𝜇(𝑉𝑡 𝑓 ),
𝑔
𝐸 𝑀 (𝐸)
where 𝑓 ∈ 𝐵(𝐸) + and 𝑔 ∈ 𝐵(𝐸). By the existence of regular conditional probabili-

ties, there is a probability kernel 𝐽 𝜇,𝑡 (𝑥, d𝜈) from 𝐸 to 𝑀 (𝐸) such that
𝑅 𝜇,𝑡 (d𝑥, d𝜈) = 𝐼 𝜇,𝑡 (d𝑥)𝐽 𝜇,𝑡 (𝑥, d𝜈), 𝑥 ∈ 𝐸, 𝜈 ∈ 𝑀 (𝐸).

The probability measures {𝐽 𝜇,𝑡 (𝑥, ·) : 𝑥 ∈ 𝐸 } are called Palm distributions of 𝑋𝑡 .

If (𝜂, 𝑌 ) is a random variable on 𝐸 × 𝑀 (𝐸) distributed according to the Campbell
measure 𝑅 𝜇,𝑡 , then 𝜂 is chosen according to the random measure 𝑌 and 𝐽 𝜇,𝑡 (𝑥, ·)
is the conditional distribution of 𝑌 given 𝜂 = 𝑥. See Dawson (1993) and Dawson
and Perkins (1991) for some applications of the Campbell measure and the Palm
distributions in the study of the superprocess.
Example 2.1 was given by Dynkin et al. (1994). Rhyzhov and Skorokhod (1970)
and Watanabe (1969) constructed multi-dimensional/type CB-processes under con-
ditions on the branching mechanism weaker than those of Example 2.5. CB-processes
with countably many types were introduced as super Markov chains in Kyprianou
and Palau (2018). Moment formulas for superprocesses as in Example 2.11 were
established in Dynkin (1989a) and Konno and Shiga (1988). The precise asymptotics
of the moments of spatial branching processes was studied in the recent work of Gon-
zalez et al. (2022+). A construction for super-Brownian motions was given in Ren
(2001) under a weaker admissibility assumption on the killing additive functional. A
super-stable process with infinite mean was constructed in Fleischmann and Sturm
(2004) by a passage to the limit.
The catalyst measure 𝜌(d𝑦) in Example 2.6 can be time dependent. In fact, it can be
replaced by a measure-valued process {𝜌𝑡 : 𝑡 ≥ 0}. The study of superprocesses with
measure-valued catalysts was initiated by Dawson and Fleischmann (1991, 1992).
A binary local branching super-Brownian motion with super-Brownian catalyst was
constructed in Dawson and Fleischmann (1997a). The property of persistence (no
loss of expected mass in the long-time behavior) of the process with underlying
dimensions 𝑑 ≤ 3 was proved in Dawson and Fleischmann (1997a, 1997b) and
Etheridge and Fleischmann (1998). This phenomenon is in contrast to the super-
Brownian motion with Lebesgue catalyst, where persistence only holds in high
dimensions. A construction of catalytic super-Brownian motion via collision local
times was given in Mörters and Vogt (2005). The long-time behavior of a branching
random walk in a random catalytic medium was investigated in Greven et al. (1999).
Engländer (2007) gave a survey of some recent topics in spatial branching processes
in deterministic and random media.
There is another important class of measure-valued Markov processes, the so-
called Fleming–Viot superprocesses. A Fleming–Viot superprocess takes values
of probability measures and describes the evolution of a genetic system involving
mutation, selection and recombination. The Saint-Flour lecture notes of Dawson
(1993) provide a complete survey of the literature before 1992 on both Dawson–
Watanabe and Fleming–Viot superprocesses. For a survey of the latter see also Ethier
and Kurtz (1993). It was conjectured in Ethier and Kurtz (1993) that a Fleming–Viot
superprocess is reversible if and only if its mutation operator is of the uniform jump
type. This was proved in Li et al. (1999); see also Handa (2002) and Schmuland
and Sun (2002). A nice introduction of the theory of superprocesses was given
by Etheridge (2000), where Brownian spatial motion was mainly considered. The
connections between Dawson–Watanabe and Fleming–Viot superprocesses were
investigated in Etheridge and March (1991), Perkins (1992) and Shiga (1990). The
two classes of superprocesses model large population systems in which branching
or splitting occurs. The dual phenomenon is coalescence or coagulation. Bertoin

(2006) gave a comprehensive account of stochastic models involving fragmentation
and coagulation. A kind of generalized Fleming–Viot superprocess arising from
coalescent processes was studied in Bertoin and Le Gall (2003, 2005, 2006). Feng
(2010) provided an up-to-date account of Fleming–Viot superprocesses and Poisson–
Dirichlet type distributions. Durrett (2008) and Ewens (2004) gave comprehensive
coverage of mathematical population genetics.
Chapter 3
One-Dimensional Branching Processes
A one-dimensional CB-process is a Markov process with branching property taking

values in the positive half line. A more general model is the CB-process with im-
migration which deals with the situation where immigrants may come from outer
sources. In this chapter, we first give some characterizations of the extinction prob-
abilities and evolution rates of CB-processes. Then we prove some conditional limit
theorems for the processes that extinguish with strictly positive probability. In par-
ticular, we shall see that a class of CB-processes with immigration can be obtained
from those without immigration by conditioning on non-extinction. The proofs of
those theorems are based on the asymptotic analysis of the cumulant semigroup and
are easier than their discrete-state counterparts given as in Athreya and Ney (1972).
The greater tractability of the CB-processes arises because both their time and state
spaces are smooth, and the distributions which appear are infinitely divisible. In this
sense, the continuous-state models provide a more economical way to establish the
nicest conditional limit theorems for branching processes. We also show that the
CB-process with immigration arises naturally as the scaling limit of a sequence of
discrete Galton–Watson branching processes with immigration. The contents of this
chapter will be helpful to readers who wish to develop their intuition concerning
Dawson–Watanabe superprocesses.
3.1 Continuous-State Branching Processes
In this section we prove some basic properties of the one-dimensional CB-process,

which is a special case of the process considered in Example 2.5. Suppose that 𝜙 is
a branching mechanism defined by
∫ ∞
2
e−𝑧𝜆 − 1 + 𝑧𝜆 𝑚(d𝑧), 𝜆 ≥ 0,

𝜙(𝜆) = 𝑏𝜆 + 𝑐𝜆 + (3.1)
0

66 3 One-Dimensional Branching Processes
where 𝑐 ≥ 0 and 𝑏 are constants and (𝑧 ∧ 𝑧2 )𝑚(d𝑧) is a finite measure on (0, ∞). A
one-dimensional CB-process has the transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by
∫
e−𝜆𝑦 𝑄 𝑡 (𝑥, d𝑦) = e−𝑥𝑣𝑡 (𝜆) , 𝜆 ≥ 0, (3.2)
[0,∞)
where 𝑡 ↦→ 𝑣 𝑡 (𝜆) is the unique positive solution of

∫ 𝑡
𝑣 𝑡 (𝜆) = 𝜆 − 𝜙(𝑣 𝑠 (𝜆))d𝑠, 𝑡 ≥ 0. (3.3)
0
As in the case of Dawson–Watanabe superprocesses, the infinite divisibility of the

transition semigroup (𝑄 𝑡 )𝑡 ≥0 implies that the cumulant semigroup (𝑣 𝑡 )𝑡 ≥0 can be
expressed canonically as
∫ ∞
𝑣 𝑡 (𝜆) = ℎ𝑡 𝜆 + (1 − e−𝜆𝑢 )𝑙 𝑡 (d𝑢), 𝑡 ≥ 0, 𝜆 ≥ 0, (3.4)
0
where ℎ𝑡 ≥ 0 and 𝑢𝑙 𝑡 (d𝑢) is a finite measure on (0, ∞). From (3.3) we see that
𝑡 ↦→ 𝑣 𝑡 (𝜆) is first continuous and then continuously differentiable. Moreover, we
have the backward differential equation:
𝜕
𝑣 𝑡 (𝜆) = −𝜙(𝑣 𝑡 (𝜆)), 𝑣 0 (𝜆) = 𝜆. (3.5)
𝜕𝑡
By (3.5) and the semigroup property 𝑣 𝑟 ◦ 𝑣 𝑡 = 𝑣 𝑟+𝑡 for 𝑟, 𝑡 ≥ 0 we also have the
forward differential equation
𝜕 𝜕
𝑣 𝑡 (𝜆) = −𝜙(𝜆) 𝑣 𝑡 (𝜆), 𝑣 0 (𝜆) = 𝜆. (3.6)
𝜕𝑡 𝜕𝜆
From a moment formula for general superprocesses we have
∫ ∞
𝑦𝑄 𝑡 (𝑥, d𝑦) = 𝑥e−𝑏𝑡 , 𝑡 ≥ 0, 𝑥 ≥ 0. (3.7)
0
We say the CB-process is critical, subcritical or supercritical according as 𝑏 = 0,

≥ 0 or ≤ 0.
Proposition 3.1 For every 𝑡 ≥ 0 the function 𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly increasing on

[0, ∞).
Proof By the continuity of 𝑡 ↦→ 𝑣 𝑡 (𝜆), for any 𝜆0 > 0 there is a 𝑡 0 > 0 such that
𝑣 𝑡 (𝜆0 ) > 0 for 0 ≤ 𝑡 ≤ 𝑡0 . Then (3.2) implies 𝑄 𝑡 (𝑥, {0}) < 1 for 𝑥 > 0 and
0 ≤ 𝑡 ≤ 𝑡 0 , and so 𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly increasing for 0 ≤ 𝑡 ≤ 𝑡 0 . By the semigroup
property of (𝑣 𝑡 )𝑡 ≥0 we infer 𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly increasing for all 𝑡 ≥ 0. □
Corollary 3.2 The transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (3.2) is a Feller semi-

group.
3.1 Continuous-State Branching Processes 67
Proof By Proposition 3.1 for 𝑡 ≥ 0 and 𝜆 > 0 we have 𝑣 𝑡 (𝜆) > 0. From (3.2) we
see the operator 𝑄 𝑡 maps {𝑥 ↦→ e−𝜆𝑥 : 𝜆 > 0} to itself. By the Stone–Weierstrass
theorem, the linear span of {𝑥 ↦→ e−𝜆𝑥 : 𝜆 > 0} is dense in 𝐶0 (R+ ) in the supremum
norm. Then 𝑄 𝑡 maps 𝐶0 (R+ ) to itself. The Feller property of (𝑄 𝑡 )𝑡 ≥0 follows by the
continuity of 𝑡 ↦→ 𝑣 𝑡 (𝜆). □
Proposition 3.3 Suppose that 𝜆 > 0 and 𝜙(𝜆) ≠ 0. Then the equation 𝜙(𝑧) = 0 has
no root between 𝜆 and 𝑣 𝑡 (𝜆). Moreover, we have
∫ 𝜆
𝜙(𝑧) −1 d𝑧 = 𝑡, 𝑡 ≥ 0. (3.8)
𝑣𝑡 (𝜆)
Proof By (3.1) we see 𝜙(0) = 0 and 𝑧 ↦→ 𝜙(𝑧) is a convex function. Since 𝜙(𝜆) ≠ 0
for some 𝜆 > 0 according to the assumption, the equation 𝜙(𝑧) = 0 has at most
one root in (0, ∞). Suppose that 𝜆0 ≥ 0 is a root of 𝜙(𝑧) = 0. Then (3.6) implies
𝑣 𝑡 (𝜆0 ) = 𝜆0 for all 𝑡 ≥ 0. By Proposition 3.1 we have 𝑣 𝑡 (𝜆) > 𝜆 0 for 𝜆 > 𝜆0 and
0 < 𝑣 𝑡 (𝜆) < 𝜆0 for 0 < 𝜆 < 𝜆 0 . Then 𝜆 > 0 and 𝜙(𝜆) ≠ 0 imply there is no root of
𝜙(𝑧) = 0 between 𝜆 and 𝑣 𝑡 (𝜆). From (3.5) we get (3.8). □
Corollary 3.4 Suppose that 𝜙(𝑧0 ) ≠ 0 for some 𝑧 0 > 0. Let 𝜙−1 (0) =
inf{𝑧 ≥ 0 : 𝜙(𝑧) > 0} with the convention inf ∅ = ∞. Then lim𝑡→∞ 𝑣 𝑡 (𝜆) = 𝜙−1 (0)
increasingly for 0 < 𝜆 < 𝜙−1 (0) and decreasingly for 𝜆 > 𝜙−1 (0).
Proof In the case 𝜙−1 (0) = ∞, we have 𝜙(𝑧) < 0 for all 𝑧 > 0. From (3.5) we see that
𝑡 ↦→ 𝑣 𝑡 (𝜆) is increasing. Then (3.8) implies lim𝑡→∞ 𝑣 𝑡 (𝜆) = ∞ for every 𝜆 > 0. In the
case 𝜙−1 (0) < ∞, we have 𝜙(𝜙−1 (0)) = 0. Then (3.5) implies 𝑣 𝑡 (𝜙−1 (0)) = 𝜙−1 (0)
for all 𝑡 ≥ 0. Moreover, it is easy to see that 𝜙(𝑧) < 0 for 0 < 𝑧 < 𝜙−1 (0) and
𝜙(𝑧) > 0 for 𝑧 > 𝜙−1 (0). From (3.8) we see that lim𝑡→∞ 𝑣 𝑡 (𝜆) = 𝜙−1 (0) increasingly
for 0 < 𝜆 < 𝜙−1 (0) and decreasingly for 𝜆 > 𝜙−1 (0). □
Corollary 3.5 Suppose that 𝜙(𝑧0 ) ≠ 0 for some 𝑧0 > 0. Then for any 𝑥 > 0 we have
−1 (0) −1 (0)
lim 𝑄 𝑡 (𝑥, ·) = e−𝑥 𝜙 𝛿0 + (1 − e−𝑥 𝜙 )𝛿∞
𝑡→∞
by weak convergence of probability measures on [0, ∞].

Proof By Theorem 1.14, the space of probability measures on [0, ∞] endowed with
the topology of weak convergence is compact and metrizable; see also Parthasarathy
(1967, p. 45). Let {𝑡 𝑛 } be any positive sequence such that 𝑡 𝑛 → ∞ and 𝑄 𝑡𝑛 (𝑥, ·)
converges to some 𝑄 ∞ (𝑥, ·) weakly as 𝑛 → ∞. By (3.2) and Corollary 3.4, for every
𝜆 > 0 we have
∫ ∫
−𝜆𝑦
e 𝑄 ∞ (𝑥, d𝑦) = lim e−𝜆𝑦 𝑄 𝑡𝑛 (𝑥, d𝑦)
[0,∞] 𝑛→∞ [0,∞]
−𝑥𝑣𝑡𝑛 (𝜆) −1 (0)
= lim e = e−𝑥 𝜙 ,
𝑛→∞
where e−𝜆𝑦 = 0 for 𝑦 = ∞ by convention. It follows that

∫
−1 (0)
𝑄 ∞ (𝑥, {0}) = lim e−𝜆𝑦 𝑄 ∞ (𝑥, d𝑦) = e−𝑥 𝜙
𝜆→∞ [0,∞]
and
∫
−1 (0)
𝑄 ∞ (𝑥, {∞}) = lim (1 − e−𝜆𝑦 )𝑄 ∞ (𝑥, d𝑦) = 1 − e−𝑥 𝜙 .
𝜆→0 [0,∞]
This shows
−1 (0) −1 (0)
𝑄 ∞ (𝑥, ·) = e−𝑥 𝜙 𝛿0 + (1 − e−𝑥 𝜙 )𝛿∞ ,
which is independent of the choice of the sequence {𝑡 𝑛 }. Then 𝑄 𝑡 (𝑥, ·) converges to

𝑄 ∞ (𝑥, ·) weakly as 𝑡 → ∞. □
Clearly, under the condition of Corollary 3.4, we have: (i) 𝜙−1 (0) = 0 if and only
if 𝑏 ≥ 0; (ii) 𝜙−1 (0) > 0 if and only if 𝑏 < 0; (iii) 𝜙−1 (0) = ∞ if and only if 𝜙(𝜆) < 0
for all 𝜆 > 0.
Proposition 3.6 For any 𝑡 ≥ 0 and 𝜆 ≥ 0 let 𝑣 𝑡′ (𝜆) = (𝜕/𝜕𝜆)𝑣 𝑡 (𝜆). Then we have
∫ 𝑡
𝑣 𝑡′ (𝜆) = exp − 𝜙 ′ (𝑣 𝑠 (𝜆))d𝑠 , (3.9)
0
where
∫ ∞
𝜙 ′ (𝜆) = 𝑏 + 2𝑐𝜆 + 𝑧 1 − e−𝑧𝜆 𝑚(d𝑧).

(3.10)
0
Proof Based on (3.3) and (3.5) it is elementary to see that
𝜕 ′ 𝜕 𝜕
𝑣 𝑡 (𝜆) = −𝜙 ′ (𝑣 𝑡 (𝜆))𝑣 𝑡′ (𝜆) = 𝑣 𝑡 (𝜆).
𝜕𝑡 𝜕𝜆 𝜕𝑡
It follows that
𝜕 𝜕
log 𝑣 𝑡′ (𝜆) = 𝑣 𝑡′ (𝜆) −1 𝑣 𝑡′ (𝜆) = −𝜙 ′ (𝑣 𝑡 (𝜆)).

𝜕𝑡 𝜕𝑡
Then we have (3.9) since 𝑣 0′ (𝜆) = 1. □
Since (𝑄 𝑡 )𝑡 ≥0 is a Feller semigroup by Corollary 3.2, the CB-process has a
realization 𝑋 = (Ω, ℱ, ℱ𝑡 , 𝑥(𝑡), Q 𝑥 ) as a Hunt process; see Corollary A.26. Let
𝜏0 = inf{𝑠 ≥ 0 : 𝑥(𝑠) = 0} denote the extinction time of the CB-process. By the
strong Markov property, we have Q 𝑥 {𝑥(𝜏0 + 𝑡) = 0 for all 𝑡 ≥ 0} = 1.
Proposition 3.7 Let 𝜏 = inf{𝑡 ≥ 0 : 𝑥(𝑡) = 0 or 𝑥(𝑡−) = 0}. Then for any 𝑥 ≥ 0 we
have Q 𝑥 {𝜏 = 𝜏0 } = 1.
Proof It is clear that 𝜏 ≤ 𝜏0 . For any 𝑘 ≥ 1 let 𝜏𝑘 = inf{𝑡 ≥ 0 : 𝑥(𝑡) < 1/𝑘 }. Then
𝑥(𝜏𝑘 ) ≤ 1/𝑘 and lim 𝑘→∞ 𝜏𝑘 = 𝜏 increasingly. By the quasi-left continuity, we have
a.s. 𝑥(𝜏) = lim 𝑘→∞ 𝑥(𝜏𝑘 ) = 0. This implies Q 𝑥 {𝜏0 = 𝜏} = 1. □
Theorem 3.8 For every 𝑡 ≥ 0 the limit 𝑣¯ 𝑡 := 𝑣 𝑡 (∞) = ↑ lim𝜆→∞ 𝑣 𝑡 (𝜆) exists in
(0, ∞]. Moreover, the mapping 𝑡 ↦→ 𝑣¯ 𝑡 is decreasing and for any 𝑡 ≥ 0 and 𝑥 > 0 we
have
Q 𝑥 {𝜏0 ≤ 𝑡} = Q 𝑥 {𝑥(𝑡) = 0} = exp{−𝑥 𝑣¯ 𝑡 }. (3.11)
Proof By Proposition 3.1 the limit 𝑣¯ 𝑡 = ↑lim𝜆→∞ 𝑣 𝑡 (𝜆) exists in (0, ∞] for every
𝑡 ≥ 0. For 𝑡 ≥ 𝑟 ≥ 0 we have
𝑣¯ 𝑡 = ↑ lim 𝑣 𝑟 (𝑣 𝑡−𝑟 (𝜆)) = 𝑣 𝑟 ( 𝑣¯ 𝑡−𝑟 ) ≤ 𝑣¯ 𝑟 = ↑ lim 𝑣 𝑟 (𝜆). (3.12)

𝜆→∞ 𝜆→∞
Since zero is a trap for the CB-process, we get (3.11) by letting 𝜆 → ∞ in (3.2). □
The following condition on the branching mechanism 𝜙 is known as Grey’s

condition:
Condition 3.9 There is some constant 𝜃 > 0 such that

∫ ∞
𝜙(𝑧) > 0 for 𝑧 ≥ 𝜃 and 𝜙(𝑧) −1 d𝑧 < ∞.
𝜃
Theorem 3.10 We have 𝑣¯ 𝑡 < ∞ for some and hence all 𝑡 > 0 if and only if Condi-
tion 3.9 holds.
Proof By (3.12) it is easy to see that 𝑣¯ 𝑡 = ↑lim𝜆→∞ 𝑣 𝑡 (𝜆) < ∞ for all 𝑡 > 0 if and
only if this holds for some 𝑡 > 0. If Condition 3.9 holds, we can let 𝜆 → ∞ in (3.8)
to obtain
∫ ∞
𝜙(𝑧) −1 d𝑧 = 𝑡 (3.13)
𝑣¯𝑡
and hence 𝑣¯ 𝑡 < ∞ for 𝑡 > 0. For the converse, suppose that 𝑣¯ 𝑡 < ∞ for some
𝑡 > 0. By (3.5) there exists some 𝜃 > 0 such that 𝜙(𝜃) > 0, for otherwise we
would have 𝑣 𝑡 (𝜆) ≥ 𝜆, yielding a contradiction. Then 𝜙(𝑧) > 0 for all 𝑧 ≥ 𝜃 by the
convexity of the branching mechanism. As in the above we see that (3.13) still holds,
so Condition 3.9 is satisfied. □
Theorem 3.11 Let 𝑣¯ = ↓lim𝑡→∞ 𝑣¯ 𝑡 ∈ [0, ∞]. Then for any 𝑥 > 0 we have
Q 𝑥 {𝜏0 < ∞} = exp{−𝑥 𝑣¯ }. (3.14)
Moreover, we have 𝑣¯ < ∞ if and only if Condition 3.9 holds, and in this case 𝑣¯ is the
largest root of 𝜙(𝑧) = 0.
Proof The first assertion follows immediately from Theorem 3.8. By Theorem 3.10
we have 𝑣¯ 𝑡 < ∞ for some and hence all 𝑡 > 0 if and only if Condition 3.9 holds. This
is clearly equivalent to 𝑣¯ < ∞. From (3.13) it is easy to see that 𝑣¯ is the largest root
of 𝜙(𝑧) = 0. □
Corollary 3.12 Suppose that 𝜙(𝑧0 ) ≠ 0 for some 𝑧 0 > 0. Then: (i) 𝜙−1 (0) = 𝑣¯ = ∞
if 𝜙(𝜆) < 0 for all 𝜆 > 0; (ii) 0 ≤ 𝜙−1 (0) = 𝑣¯ < ∞ if Condition 3.9 holds;
(iii) 0 ≤ 𝜙−1 (0) < 𝑣¯ = ∞ if there is a 𝜃 > 0 such that
∫ ∞
𝜙(𝑧) > 0 for 𝑧 ≥ 𝜃 and 𝜙(𝑧) −1 d𝑧 = ∞.
𝜃
Corollary 3.13 Suppose that Condition 3.9 holds. Then for any 𝑥 > 0 we have
Q 𝑥 {𝜏0 < ∞} = 1 if and only if 𝑏 ≥ 0.
Let (𝑄 ◦𝑡 )𝑡 ≥0 be the restriction to (0, ∞) of the semigroup (𝑄 𝑡 )𝑡 ≥0 . The special

case of the canonical representation (3.4) with ℎ𝑡 = 0 for all 𝑡 > 0 is particularly
interesting. In this case, we have
∫ ∞
𝑣 𝑡 (𝜆) = (1 − e−𝜆𝑢 )𝑙 𝑡 (d𝑢), 𝑡 > 0, 𝜆 ≥ 0. (3.15)
0
Theorem 3.14 The cumulant semigroup admits the representation (3.15) if and only
if
∫ ∞
′
𝜙 (∞) := 𝑏 + 2𝑐 · ∞ + 𝑧 𝑚(d𝑧) = ∞ (3.16)
0
with 0 · ∞ = 0 by convention. If condition (3.16) is satisfied, then (𝑙 𝑡 )𝑡 >0 is an

entrance law for the restricted semigroup (𝑄 ◦𝑡 )𝑡 ≥0 .
Proof From (3.10) it is clear that the limit 𝜙 ′ (∞) = lim𝜆→∞ 𝜙 ′ (𝜆) always exists in
(−∞, ∞]. By (3.4) we have
∫ ∞
𝑣 𝑡′ (𝜆) = ℎ𝑡 + 𝑢e−𝜆𝑢 𝑙 𝑡 (d𝑢), 𝑡 ≥ 0, 𝜆 ≥ 0. (3.17)
0
From (3.9) and (3.17) it follows that

∫ 𝑡
ℎ𝑡 = 𝑣 𝑡′ (∞) = exp − ′
𝜙 ( 𝑣¯ 𝑠 )d𝑠 . (3.18)
0
Then ℎ𝑡 = 0 for any 𝑡 > 0 implies 𝜙 ′ (∞) = ∞. For the converse, assume that
𝜙 ′ (∞) = ∞. If Condition 3.9 holds, by Theorem 3.10 for every 𝑡 > 0 we have
𝑣¯ 𝑡 < ∞, so ℎ𝑡 = 0 by (3.4). If Condition 3.9 does not hold, then 𝑣¯ 𝑡 = ∞ for 𝑡 > 0 by
Theorem 3.10. Then (3.18) implies ℎ𝑡 = 0 for 𝑡 > 0. This proves the first assertion of
the theorem. If (𝑣 𝑡 )𝑡 >0 admits the representation (3.15), we can use the semigroup
property of (𝑣 𝑡 )𝑡 ≥0 to see
∫ ∞ ∫ ∞
−𝜆𝑢
(1 − e )𝑙𝑟+𝑡 (d𝑢) = (1 − e−𝑢𝑣𝑡 (𝜆) )𝑙𝑟 (d𝑢)
0 ∫0 ∞ ∫ ∞
= 𝑙𝑟 (d𝑥) (1 − e−𝜆𝑢 )𝑄 ◦𝑡 (𝑥, d𝑢)
0 0
for 𝑟, 𝑡 > 0 and 𝜆 ≥ 0. Then (𝑙 𝑡 )𝑡 >0 is an entrance law for (𝑄 ◦𝑡 )𝑡 ≥0 . □
Corollary 3.15 If Condition 3.9 holds, the cumulant semigroup admits the repre-
sentation (3.15) and 𝑡 ↦→ 𝑣¯ 𝑡 = 𝑙 𝑡 (0, ∞) is the unique solution of the differential
equation
d
𝑣¯ 𝑡 = −𝜙( 𝑣¯ 𝑡 ), 𝑡>0 (3.19)
d𝑡
with singular initial condition 𝑣¯ 0+ = ∞.
Proof Under Condition 3.9, for every 𝑡 > 0 we have 𝑣¯ 𝑡 < ∞ by Theorem 3.10.
Moreover, the condition and the convexity of 𝜆 ↦→ 𝜙(𝜆) imply 𝜙 ′ (∞) = ∞. Then we
have the representation (3.15) by Theorem 3.14. The semigroup property of (𝑣 𝑡 )𝑡 ≥0
implies 𝑣¯ 𝑡+𝑠 = 𝑣 𝑡 ( 𝑣¯ 𝑠 ) for 𝑡 > 0 and 𝑠 > 0. Then 𝑡 ↦→ 𝑣¯ 𝑡 satisfies (3.19). From (3.13)
it is easy to see 𝑣¯ 0+ = ∞. Suppose that 𝑡 ↦→ 𝑢 𝑡 and 𝑡 ↦→ 𝑣 𝑡 are two solutions to
(3.19) with 𝑢 0+ = 𝑣 0+ = ∞. For any 𝜀 > 0 there exists a 𝛿 > 0 such that 𝑢 𝑠 ≥ 𝑣 𝜀 for
every 0 < 𝑠 ≤ 𝛿. Since both 𝑡 ↦→ 𝑢 𝑠+𝑡 and 𝑡 ↦→ 𝑣 𝜀+𝑡 are solutions to (3.19), we have
𝑢 𝑠+𝑡 ≥ 𝑣 𝜀+𝑡 for 𝑡 ≥ 0 and 0 < 𝑠 ≤ 𝛿 by Proposition 3.1. Then we can let 𝑠 → 0 and
𝜀 → 0 to see 𝑢 𝑡 ≥ 𝑣 𝑡 for 𝑡 > 0. By symmetry we get the uniqueness of the solution
to (3.19). □
Corollary 3.16 Suppose that Condition 3.9 holds. Then for any 𝑡 > 0 the function
𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly increasing and concave on [0, ∞), and 𝑣¯ is the largest solution
of the equation 𝑣 𝑡 (𝜆) = 𝜆. Moreover, we have 𝑣¯ = ↑lim𝑡→∞ 𝑣 𝑡 (𝜆) for 0 < 𝜆 < 𝑣¯ and
𝑣¯ = ↓lim𝑡→∞ 𝑣 𝑡 (𝜆) for 𝜆 > 𝑣¯ .
Proof By Corollary 3.15 we have the canonical representation (3.15) for every
𝑡 > 0. Since 𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly increasing by Proposition 3.1, the measure
𝑙 𝑡 (d𝑢) is non-trivial, so 𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly concave. The equality 𝑣¯ = 𝑣 𝑡 ( 𝑣¯ )
follows by letting 𝑠 → ∞ in 𝑣¯ 𝑡+𝑠 = 𝑣 𝑡 ( 𝑣¯ 𝑠 ), where 𝑣¯ 𝑡+𝑠 ≤ 𝑣¯ 𝑠 . Then 𝑣¯ is clearly
the largest solution to 𝑣 𝑡 (𝜆) = 𝜆. When 𝑏 ≥ 0, we have 𝑣¯ = 0 by Theorem 3.11
and Corollary 3.13. Furthermore, since 𝜙(𝑧) ≥ 0, from (3.5) we see 𝑡 ↦→ 𝑣 𝑡 (𝜆) is
decreasing, and hence ↓lim𝑡→∞ 𝑣 𝑡 (𝜆) = ↓lim𝑡→∞ 𝑣¯ 𝑡 = 0. If 𝑏 < 0 and 0 < 𝜆 < 𝑣¯ ,
we have 𝜆 ≤ 𝑣 𝑡 (𝜆) < 𝑣 𝑡 ( 𝑣¯ ) = 𝑣¯ for all 𝑡 ≥ 0. Then the limit 𝑣 ∞ (𝜆) = ↑lim𝑡 ↑∞ 𝑣 𝑡 (𝜆)
exists. From the relation 𝑣 𝑡 (𝑣 𝑠 (𝜆)) = 𝑣 𝑡+𝑠 (𝜆) we have 𝑣 𝑡 (𝑣 ∞ (𝜆)) = 𝑣 ∞ (𝜆), and
hence 𝑣 ∞ (𝜆) = 𝑣¯ since 𝑣¯ is the unique solution to 𝑣 𝑡 (𝜆) = 𝜆 in (0, ∞). The assertion
for 𝑏 < 0 and 𝜆 > 𝑣¯ can be proved similarly. □
We remark that in Theorem 3.14 one usually cannot extend (𝑙 𝑡 )𝑡 >0 to a 𝜎-

finite entrance law for the semigroup (𝑄 𝑡 )𝑡 ≥0 on R+ . For example, let us assume
Condition 3.9 holds and ( 𝑙¯𝑡 )𝑡 >0 is such an extension. For any 0 < 𝑟 < 𝜀 < 𝑡 we have
∫ ∞ ∫ ∞
¯𝑙 𝑡 ({0}) ≥ 𝑄 𝑡−𝑟 (𝑥, {0})𝑙𝑟 (d𝑥) ≥ e−𝑥 𝑣¯𝑡−𝜀 𝑙𝑟 (d𝑥)
0 ∫ 0
∞
−𝑢 𝑣¯𝑡−𝜀
= 𝑣¯ 𝑟 − (1 − e )𝑙𝑟 (d𝑢) = 𝑣¯ 𝑟 − 𝑣 𝑟 ( 𝑣¯ 𝑡−𝜀 ).
0
The right-hand side tends to infinity as 𝑟 → 0. Then 𝑙¯𝑡 (d𝑥) cannot be a 𝜎-finite
measure on R+ .
Example 3.1 Suppose that there are constants 𝑐 > 0, 0 < 𝛼 ≤ 1 and 𝑏 such that
𝜙(𝜆) = 𝑐𝜆1+𝛼 + 𝑏𝜆. Then Condition 3.9 is satisfied. Let 𝑞 𝛼 (0, 𝑡) = 𝛼𝑡 and, for 𝑏 ≠ 0,
𝑞 𝛼 (𝑏, 𝑡) = 𝑏 −1 (1 − e−𝛼𝑏𝑡 ).
By solving the equation

𝜕
𝑣 𝑡 (𝜆) = −𝑐𝑣 𝑡 (𝜆) 1+𝛼 − 𝑏𝑣 𝑡 (𝜆), 𝑣 0 (𝜆) = 𝜆
𝜕𝑡
we get
e−𝑏𝑡 𝜆
𝑣 𝑡 (𝜆) = 1/𝛼 , 𝑡 ≥ 0, 𝜆 ≥ 0. (3.20)
1 + 𝑐𝑞 𝛼 (𝑏, 𝑡)𝜆 𝛼
Thus 𝑣¯ 𝑡 = 𝑐−1/𝛼 e−𝑏𝑡 𝑞 𝛼 (𝑏, 𝑡) −1/𝛼 for 𝑡 > 0. In particular, if 𝛼 = 1, then (3.15) holds
with
e−𝑏𝑡 n 𝑢 o
𝑙 𝑡 (d𝑢) = exp − d𝑢, 𝑡 > 0, 𝑢 > 0.
𝑐2 𝑞 1 (𝑏, 𝑡) 2 𝑐𝑞 1 (𝑏, 𝑡)
3.2 Long-Time Evolution Rates
In this section we study the long-time asymptotic behavior of the CB-process. This
makes sense only in the event of non-extinction, of course. Let (𝑄 𝑡 )𝑡 ≥0 denote the
transition semigroup defined by (3.2) and (3.3). Let 𝑋 = (Ω, ℱ, ℱ𝑡 , 𝑥(𝑡), Q 𝑥 ) be
a Hunt realization of the CB-process. To avoid triviality, we assume 𝜆 ↦→ 𝜙(𝜆) is
strictly convex throughout this section.
Recall that 𝑣¯ 𝑡 := 𝑣 𝑡 (∞) = ↑lim𝜆→∞ 𝑣 𝑡 (𝜆) ∈ (0, ∞] and 𝑣¯ = ↓lim𝑡→∞ 𝑣¯ 𝑡 ∈ [0, ∞].
By Proposition 3.1 the function 𝜆 ↦→ 𝑣 𝑡 (𝜆) is strictly increasing on [0, ∞) for each
𝑡 ≥ 0. Let 𝑣 ↦→ 𝜂𝑡 (𝑣) denote its inverse, which is a strictly increasing function on
[0, 𝑣¯ 𝑡 ). It is easy to show that 𝜂 𝑠 (𝜂𝑡 (𝑧)) = 𝜂 𝑠+𝑡 (𝑧) for any 𝑠, 𝑡 ≥ 0 and 0 ≤ 𝑧 < 𝑣¯ 𝑠+𝑡 .
By Proposition 3.3, if 0 < 𝜆 < 𝑣¯ 𝑡 , then the equation 𝜙(𝑧) = 0 has no root between 𝜆
and 𝜂𝑡 (𝜆). From (3.8) we get
∫ 𝜂𝑡 (𝜆) ∫ 𝜆
d𝑧 d𝑧
=− = 𝑡. (3.21)
𝜆 𝜙(𝑧) 𝜂𝑡 (𝜆) 𝜙(𝑧)
In view of (3.21), we have lim𝑡→∞ 𝜂𝑡 (𝜆) = 0 decreasingly for 0 < 𝜆 < 𝜙−1 (0).
3.2 Long-Time Evolution Rates 73
Theorem 3.17 Let 0 < 𝜆 < 𝑣¯ and define 𝑊𝑡 = 𝜂𝑡 (𝜆)𝑥(𝑡) for 𝑡 ≥ 0. Then 𝑡 ↦→ e−𝑊𝑡
is an (ℱ𝑡 )-martingale and
Q 𝑥 [e−𝜃𝑊𝑡 ] = e−𝑥 𝑓𝑡 ( 𝜃) , 𝑡 ≥ 0, 𝑥 ≥ 0, 𝜃 ≥ 0, (3.22)
where 𝑓𝑡 (𝜃) = 𝑣 𝑡 (𝜃𝜂𝑡 (𝜆)). If 𝜂𝑡 (𝜆) and 𝜃𝜂𝑡 (𝜆) belong to (0, 𝜙−1 (0)), we have
∫ 𝑓𝑡 ( 𝜃) ∫ 𝜃 𝜂𝑡 (𝜆)
d𝑧 d𝑧
= . (3.23)
𝜆 𝜙(𝑧) 𝜂𝑡 (𝜆) 𝜙(𝑧)
Proof For any 𝑠, 𝑡 ≥ 0 we can use the Markov property of {𝑥(𝑡) : 𝑡 ≥ 0} to get
Q 𝑥 [e−𝑊𝑠+𝑡 |ℱ𝑠 ] = Q 𝑥 [e−𝜂𝑠+𝑡 (𝜆) 𝑥 (𝑠+𝑡) |ℱ𝑠 ] = e−𝑣𝑡 ( 𝜂𝑠+𝑡 (𝜆)) 𝑥 (𝑠) = e−𝜂𝑠 (𝜆) 𝑥 (𝑠) .
Then 𝑡 ↦→ e−𝑊𝑡 is an (ℱ𝑡 )-martingale. By similar calculations we get (3.22). If 𝜂𝑡 (𝜆)

and 𝜃𝜂𝑡 (𝜆) belong to (0, 𝜙−1 (0)), then 𝜙(𝑧) = 0 has no root between 𝜂𝑡 (𝜆) and
𝜃𝜂𝑡 (𝜆). Observe that
∫ 𝑓𝑡 ( 𝜃) ∫ 𝜂𝑡 (𝜆) ∫ 𝜃 𝜂𝑡 (𝜆) ∫ 𝑣𝑡 ( 𝜃 𝜂𝑡 (𝜆))
d𝑧 d𝑧 d𝑧 d𝑧
= + + .
𝜆 𝜙(𝑧) 𝜆 𝜙(𝑧) 𝜂𝑡 (𝜆) 𝜙(𝑧) 𝜃 𝜂𝑡 (𝜆) 𝜙(𝑧)
Then (3.23) follows by (3.8) and (3.21). □
Proposition 3.18 Suppose that 𝑏 < 0 and 0 < 𝜆 < 𝜙−1 (0). Then∫ ∞𝜂𝑡 (𝜆) = 𝐾e +
𝑏𝑡
𝑜(e ) as 𝑡 → ∞ for some constant 𝐾 = 𝐾 (𝜆) > 0 if and only if 1 𝑧 log 𝑧𝑚(d𝑧) <
𝑏𝑡
∞.
Proof We first note that 𝜙(𝑧) = 𝑏𝑧 + 𝑜(𝑧) as 𝑧 → 0. From (3.21) it follows that
∫ 𝜆
𝑏 1 𝜂𝑡 (𝜆) 𝜂𝑡 (𝜆)
− d𝑧 = −𝑏𝑡 + log = log 𝑏𝑡 ,
𝜂𝑡 (𝜆) 𝜙(𝑧) 𝑧 𝜆 𝜆e
where the integrand is positive because of the convexity of 𝑧 ↦→ 𝜙(𝑧). Then 𝑡 ↦→

e−𝑏𝑡 𝜂𝑡 (𝜆) increases, and it remains bounded if and only if
∫ 𝜆
𝑏 1
− d𝑧 < ∞,
0 𝜙(𝑧) 𝑧
which is equivalent to
∫ 𝜆
𝜙(𝑧) − 𝑏𝑧
d𝑧 < ∞.
0 𝑧2
By (3.1) the value on the left-hand side is equal to
∫ 𝜆 ∫ ∞ 1
∫ ∞
−𝑧𝑢
𝑐𝜆 + d𝑧 e − 1 + 𝑧𝑢 2 𝑚(d𝑢) = 𝑐𝜆 + 𝑢ℎ𝜆 (𝑢)𝑚(d𝑢),
0 0 𝑧 0
where
∫ 𝜆 ∫ 𝜆𝑢
1 d𝑧 d𝑦
ℎ𝜆 (𝑢) = (e−𝑧𝑢 − 1 + 𝑧𝑢) = (e−𝑦 − 1 + 𝑦)
𝑢 0 𝑧2 0 𝑦2
is equivalent to 𝜆𝑢/2 as 𝑢 → 0 and equivalent to log 𝑢 as 𝑢 → ∞. Then we have the

desired result. □
Theorem 3.19 Suppose that 𝑏 < 0 and 0 < 𝜆 < 𝜙−1 (0). Let 𝑊𝑡 = 𝜂𝑡 (𝜆)𝑥(𝑡) for
−1
𝑡 ≥ 0. Then the limit 𝑊 := lim𝑡→∞ 𝑊𝑡 exists a.s. and Q 𝑥 {𝑊 = 0} = e−𝑥 𝜙 (0) for
any 𝑥 > 0.
Proof By Theorem 3.17 and martingale theory, the limit 𝑌 := lim𝑡→∞ e−𝑊𝑡 a.s.
exists; see, e.g., Dellacherie and Meyer (1982, p. 72). Recall that 𝜂𝑡 (𝜆) → 0 de-
creasingly as 𝑡 → ∞. Then for any 𝜃 > 0 we get from (3.23) that
∫ 𝑓𝑡 ( 𝜃) ∫ 𝜃 𝜂𝑡 (𝜆) ∫ 𝜃 𝜂𝑡 (𝜆)
d𝑧 d𝑧 d𝑧 1
lim = lim = lim = log 𝜃,
𝑡→∞ 𝜆 𝜙(𝑧) 𝑡→∞ 𝜂𝑡 (𝜆) 𝜙(𝑧) 𝑡→∞ 𝜂𝑡 (𝜆) 𝑏𝑧 𝑏
so the limit 𝑓 (𝜃) := lim𝑡→∞ 𝑓𝑡 (𝜃) exists and

∫ 𝑓 ( 𝜃)
d𝑧 1
= log 𝜃.
𝜆 𝜙(𝑧) 𝑏
This equality implies lim 𝜃→0 𝑓 (𝜃) = 0 and lim 𝜃→∞ 𝑓 (𝜃) = 𝜙−1 (0). By (3.22) and
the dominated convergence theorem, for any 𝑥 > 0 we have
Q 𝑥 [𝑌 𝜃 ] = lim Q 𝑥 [e−𝜃𝑊𝑡 ] = lim e−𝑥 𝑓𝑡 ( 𝜃) = e−𝑥 𝑓 ( 𝜃) .

𝑡→∞ 𝑡→∞
It follows that
Q 𝑥 {𝑌 = 0} = lim Q 𝑥 [1 − 𝑌 𝜃 ] = lim [1 − e−𝑥 𝑓 ( 𝜃) ] = 0

𝜃→0 𝜃→0
and
−1 (0)
Q 𝑥 {𝑌 = 1} = lim Q 𝑥 [𝑌 𝜃 ] = lim e−𝑥 𝑓 ( 𝜃) = e−𝑥 𝜙 .
𝜃→∞ 𝜃→∞
Then the desired result follows with 𝑊 = − log 𝑌 . □

∫∞
Corollary 3.20 Suppose that 𝑏 < 0 and 1
𝑧 log 𝑧𝑚(d𝑧) < ∞. Then the limit
−1 (0)
𝑍 := lim𝑡→∞ e𝑏𝑡 𝑥(𝑡) exists a.s. and Q 𝑥 {𝑍 = 0} = e−𝑥 𝜙 for any 𝑥 > 0.
Theorem 3.19 and Corollary 3.20 characterize the long-time evolution rate of the
supercritical branching CB-process. In particular, Corollary 3.20 gives a necessary
and sufficient condition for the exponential evolution rate. To get similar results in the
critical and subcritical case, we consider a special form of the branching mechanism.
3.3 Immigration and Conditioned Processes 75
If 𝑐 = 0 and if 𝑧𝑚(d𝑧) is a finite measure on (0, ∞), we can rewrite (3.1) as

∫ ∞
1 − e−𝑧𝜆 𝑚(d𝑧),

𝜙(𝜆) = 𝑏 1 𝜆 − (3.24)
0
where
∫ ∞
𝑏1 = 𝑏 + 𝑧𝑚(d𝑧). (3.25)
0
In this case, we have 𝜙(𝜆) = 𝑏 1 𝜆 + 𝑜(𝜆) as 𝜆 → ∞, so Theorem 3.11 implies 𝑣¯ = ∞.

The following results can be proved by arguments similar to those in the supercritical
case.
Proposition 3.21 Suppose that 𝜙 is given by (3.24) and (3.25) with 𝑏 ≥ 0. For any
fixed 𝜆 > 0 we have 𝜂𝑡 (𝜆) = 𝐾e𝑏1 𝑡 + 𝑜(e𝑏1 𝑡 ) as 𝑡 → ∞ for some constant 𝐾 > 0 if
∫1
and only if 0 𝑧 log(1/𝑧)𝑚(d𝑧) < ∞.
Theorem 3.22 Suppose that 𝜙 is given by (3.24) and (3.25) with 𝑏 ≥ 0. Fix 𝜆 > 0
and let 𝑊𝑡 = 𝜂𝑡 (𝜆)𝑥(𝑡) for 𝑡 ≥ 0. Then the limit 𝑊 := lim𝑡→∞ 𝑊𝑡 exists a.s. and
Q 𝑥 {𝑊 = 0} = 0 for any 𝑥 > 0.
Corollary 3.23 Suppose that 𝜙 is given by (3.24) and (3.25) with 𝑏 ≥ 0 and
∫1
0
𝑧 log(1/𝑧)𝑚(d𝑧) < ∞. Then the limit 𝑍 := lim𝑡→∞ e𝑏1 𝑡 𝑥(𝑡) a.s. exists and
Q 𝑥 {𝑍 = 0} = 0 for any 𝑥 > 0.
3.3 Immigration and Conditioned Processes
We first consider a generalization of the CB-process. Let (𝑄 𝑡 )𝑡 ≥0 be the transition

semigroup defined by (3.2) and (3.3). Suppose that 𝜓 ∈ ℐ is a function with the
representation
∫ ∞
1 − e−𝑧𝜆 𝑛(d𝑧),

𝜓(𝜆) = 𝛽𝜆 + 𝑧 ≥ 0, (3.26)
0
where 𝛽 ≥ 0 is a constant and (1 ∧ 𝑧)𝑛(d𝑧) is a finite measure on (0, ∞). By

Theorems 1.36 and 1.38 one may see that
∫ ∫ 𝑡
−𝜆𝑦
e 𝛾𝑡 (d𝑦) = exp − 𝜓(𝑣 𝑠 (𝜆))d𝑠 , 𝜆≥0 (3.27)
[0,∞) 0
defines a family of infinitely divisible probability measures (𝛾𝑡 )𝑡 ≥0 on [0, ∞). Then
we can define the probability measures
𝛾
𝑄 𝑡 (𝑥, ·) := 𝑄 𝑡 (𝑥, ·) ∗ 𝛾𝑡 (·), 𝑡, 𝑥 ≥ 0. (3.28)
It is easily seen that

∫ ∫ 𝑡
−𝜆𝑦 𝛾
e 𝑄 𝑡 (𝑥, d𝑦) = exp − 𝑥𝑣 𝑡 (𝜆) − 𝜓(𝑣 𝑠 (𝜆))d𝑠 . (3.29)
[0,∞) 0
𝛾
Moreover, the kernels (𝑄 𝑡 )𝑡 ≥0 form a Feller transition semigroup on R+ . A Markov
process is called a continuous-state branching process with immigration (CBI-
process) with branching mechanism 𝜙 and immigration mechanism 𝜓 if it has
𝛾
transition semigroup (𝑄 𝑡 )𝑡 ≥0 . The intuitive meaning of the CBI-process is clear
from (3.28), that is, the immigration at the time interval (0, 𝑡] results in the dis-
𝛾
tribution 𝛾𝑡 = 𝑄 𝑡 (0, ·). In particular, if 𝑧𝑛(d𝑧) is a finite measure on (0, ∞), we
have
∫ ∞ ∫ 𝑡
𝑦𝑄 𝑡 (𝑥, d𝑦) = 𝑥e−𝑏𝑡 + 𝜓 ′ (0+) e−𝑏𝑡 d𝑠,
𝛾
(3.30)
0 0
where
∫ ∞
𝜓 ′ (0+) = 𝛽 + 𝑧𝑛(d𝑧). (3.31)
0
Theorem 3.24 Suppose that 𝑏 ≥ 0 and 𝜙(𝜆) ≠ 0 for all 𝜆 > 0. Then the CBI-process
𝛾
with transition semigroup (𝑄 𝑡 )𝑡 ≥0 is ergodic if and only if
∫ 𝜆
𝜓(𝑧)
d𝑧 < ∞ for some 𝜆 > 0. (3.32)
0 𝜙(𝑧)
In this case, the unique stationary distribution 𝜂 of the process is given by, for 𝜆 ≥ 0,
∫ ∞ ∫ 𝜆
𝜓(𝑧)
𝐿 𝜂 (𝜆) = exp − 𝜓(𝑣 𝑠 (𝜆))d𝑠 = exp − d𝑧 . (3.33)
0 0 𝜙(𝑧)
Proof Since 𝜙(𝜆) ≥ 0 for all 𝜆 ≥ 0, from (3.5) we see 𝑡 ↦→ 𝑣 𝑡 (𝜆) is decreasing.
Then (3.8) implies lim𝑡→∞ 𝑣 𝑡 (𝜆) = 0. By (3.29) we have
∫ ∫ ∞
−𝜆𝑦 𝛾
lim e 𝑄 𝑡 (𝑥, d𝑦) = exp − 𝜓(𝑣 𝑠 (𝜆))d𝑠 (3.34)
𝑡→∞ [0,∞) 0
for every 𝜆 ≥ 0. A further application of (3.5) gives

∫ 𝑡 ∫ 𝜆
𝜓(𝑧)
𝜓(𝑣 𝑠 (𝜆))d𝑠 = d𝑧.
0 𝑣𝑡 (𝜆) 𝜙(𝑧)
It follows that
∫ ∞ ∫ 𝜆
𝜓(𝑧)
𝜓(𝑣 𝑠 (𝜆))d𝑠 = d𝑧,
0 0 𝜙(𝑧)
which is a continuous function of 𝜆 ≥ 0 if and only if (3.32) holds. In this case,

we see by (3.34) and Theorem 1.21 that (3.33) defines a probability measure 𝜂 and
𝛾
𝑄 𝑡 (𝑥, ·) → 𝜂 weakly for every 𝑥 ≥ 0 as 𝑡 → ∞. This proves the desired result. □
Corollary 3.25 Suppose that 𝑏 >∫0. Then the CBI-process with transition semigroup
𝛾 ∞
(𝑄 𝑡 )𝑡 ≥0 is ergodic if and only if 1 log 𝑧𝑛(d𝑧) < ∞.
Proof We have 𝜙(𝑧) = 𝑏𝑧 + 𝑜(𝑧) as 𝑧 → 0. Thus (3.32) holds if and only if

∫ 𝜆
𝜓(𝑧)
d𝑧 < ∞ for some 𝜆 > 0,
0 𝑧
which is equivalent to
∞ ∞
1 − e−𝑦
∫ 𝜆 ∫ ∫ ∫ 𝜆𝑢
d𝑧
1 − e−𝑧𝑢 𝑛(d𝑢) =

𝑛(d𝑢) d𝑦 < ∞
0 𝑧 0 0 0 𝑦
∫∞
for some 𝜆 > 0. The latter holds if and only if 1
log 𝑧𝑛(d𝑧) < ∞. Then we have
the result by Theorem 3.24. □
The fact that the CBI-process may have a non-trivial stationary distribution makes
it a more interesting model in many respects than the CB-process without immigra-
tion.
Example 3.2 Suppose that 𝑐 > 0, 0 < 𝛼 ≤ 1 and 𝑏 are constants and let 𝜙(𝜆) =
𝑐𝜆1+𝛼 + 𝑏𝜆 for 𝜆 ≥ 0. In this case the cumulant semigroup (𝑣 𝑡 )𝑡 ≥0 is given by (3.20).
Let 𝛽 ≥ 0 and let 𝜓(𝜆) = 𝛽𝜆 𝛼 for 𝜆 ≥ 0. We can use (3.29) to define the transition
𝛾
semigroup (𝑄 𝑡 )𝑡 ≥0 . It is easy to show that
∫
1
e−𝜆𝑦 𝑄 𝑡 (𝑥, d𝑦) = −𝑥𝑣𝑡 (𝜆)
𝛾
𝛽/𝑐 𝛼 e , 𝜆 ≥ 0. (3.35)
[0,∞) 1 + 𝑐𝑞 𝛼 (𝑏, 𝑡)𝜆 𝛼
Example 3.3 In the special case of 𝛼 = 1, the CBI-process {𝑦(𝑡) : 𝑡 ≥ 0} with

𝛾
transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by (3.35) is a diffusion process. This special
CBI-process solves the stochastic differential equation
√︁
d𝑦(𝑡) = 2𝑐𝑦(𝑡)d𝐵(𝑡) + (𝛽 − 𝑏𝑦(𝑡))d𝑡, 𝑡 ≥ 0, (3.36)
where {𝐵(𝑡) : 𝑡 ≥ 0} is a standard Brownian motion; see, e.g., Ikeda and Watanabe
(1989, p. 235) and Shiga and Watanabe (1973). Let 𝐶 2 (R+ ) denote the set of bounded
continuous real functions on R+ with bounded continuous derivatives up to the second
order. Then this diffusion process has generator 𝐴 determined by
d2 d
𝐴 𝑓 (𝑥) = 𝑐 2
𝑓 (𝑥) + (𝛽 − 𝑏𝑥) 𝑓 (𝑥), 𝑓 ∈ 𝐶 2 (R+ ). (3.37)
d𝑥 d𝑥
It is known as the Cox–Ingersoll–Ross model (CIR-model) in mathematical finance.

In particular, for 𝛽 = 0 the solution of (3.36) is called Feller’s branching diffusion.
Recall that (𝑄 ◦𝑡 )𝑡 ≥0 is the restriction to (0, ∞) of the semigroup (𝑄 𝑡 )𝑡 ≥0 . It is

easy to check that 𝑄 𝑡𝑏 (𝑥, d𝑦) := e𝑏𝑡 𝑥 −1 𝑦𝑄 ◦𝑡 (𝑥, d𝑦) defines a Markov semigroup on
(0, ∞). Let 𝑞 𝑡 (𝜆) = e𝑏𝑡 𝑣 𝑡 (𝜆) and let 𝑞 𝑡′ (𝜆) = (𝜕/𝜕𝜆)𝑞 𝑡 (𝜆). Recall that 𝜆 ↦→ 𝜙 ′ (𝜆)
is defined by (3.10). From (3.9) we have
∫ 𝑡
′ ′
𝑞 𝑡 (𝜆) = exp − 𝜙0 (𝑣 𝑠 (𝜆))d𝑠 , (3.38)
0
where 𝜙0′ (𝑧) = 𝜙 ′ (𝑧) − 𝑏. By differentiating both sides of (3.2) we see

∫ ∞
e−𝜆𝑦 𝑄 𝑡𝑏 (𝑥, d𝑦) = exp{−𝑥𝑣 𝑡 (𝜆)}𝑞 𝑡′ (𝜆), 𝜆 ≥ 0. (3.39)
0
By (3.39) it is easy to extend (𝑄 𝑡𝑏 )𝑡 ≥0 to a Feller semigroup on [0, ∞). From (3.38)

we have
∫ ∫ 𝑡
e−𝜆𝑦 𝑄 𝑡𝑏 (𝑥, d𝑦) = exp − 𝑥𝑣 𝑡 (𝜆) − 𝜙0′ (𝑣 𝑠 (𝜆))d𝑠 . (3.40)
[0,∞) 0
This is clearly a special case of the semigroup defined by (3.29).
Theorem 3.26 Let (ℎ𝑡 , 𝑙 𝑡 )𝑡 ≥0 be defined by the canonical representation (3.4). Then
for any 𝑡 ≥ 0 we have
𝑄 𝑡𝑏 (0, d𝑦) = e𝑏𝑡 ℎ𝑡 𝛿0 (d𝑦) + e𝑏𝑡 𝑦𝑙 𝑡 (d𝑦), 𝑦 ≥ 0. (3.41)
Proof Clearly, the probability measure 𝑄 𝑡𝑏 (0, d𝑦) has Laplace transform 𝑞 𝑡′ (𝜆). By
(3.4) and the definition of 𝑞 𝑡 (𝜆) we have
∫ ∞
1 − e−𝜆𝑢 e𝑏𝑡 𝑙 𝑡 (d𝑢),

𝑞 𝑡 (𝜆) = e𝑏𝑡 ℎ𝑡 𝜆 +
0
and hence
∫ ∞
𝑞 𝑡′ (𝜆) = e𝑏𝑡 ℎ𝑡 + 𝑢e−𝜆𝑢 e𝑏𝑡 𝑙 𝑡 (d𝑢). (3.42)
0
Then (3.41) follows. □
Corollary 3.27 For any 𝑡 > 0 the probability measure 𝑄 𝑡𝑏 (0, ·) is supported by
(0, ∞) if and only if 𝜙 ′ (∞) = ∞. In this case, we have 𝑄 𝑡𝑏 (0, d𝑦) = 𝑦e𝑏𝑡 𝑙 𝑡 (d𝑦) for
𝑦 > 0, where (𝑙 𝑡 )𝑡 >0 is defined by (3.15).
Theorem 3.28 Suppose that 𝑏 > 0. Then for every 𝜆 ≥ 0 the limit 𝑞 ′ (𝜆) := ↓lim𝑡→∞
𝑞 𝑡′ (𝜆) exists and is given by
∫ ∞
′ ′
𝑞 (𝜆) = exp − 𝜙0 (𝑣 𝑠 (𝜆))d𝑠 , 𝜆 ≥ 0. (3.43)
0
Moreover,
∫∞ the CBI-process with transition semigroup (𝑄 𝑡𝑏 )𝑡 ≥0 is ergodic if and only
if 1 𝑧 log 𝑧𝑚(d𝑧) < ∞. In this case, the unique stationary distribution 𝜂 of the
process has Laplace transform 𝐿 𝜂 = 𝑞 ′ given by (3.43).
Proof The first assertion is immediate by (3.38). In view of (3.40), the other two
assertions follow from Theorem 3.24 and Corollary 3.25. □
Corollary 3.29 Let 𝑞 ′ (𝜆) be defined by (3.43). Then the following properties are
equivalent:
∫∞ (i) 𝑞 ′ (0+) = 𝑞 ′ (0) = 1; (ii) 𝑞 ′ (𝜆) > 0 for some and hence all 𝜆 > 0;
(iii) 1 𝑧 log 𝑧𝑚(d𝑧) < ∞.
∫∞
Corollary 3.30 Suppose that 𝑏 > 0, 𝜙 ′ (∞) = ∞ and 1 𝑧 log 𝑧𝑚(d𝑧) < ∞. Then
the unique stationary distribution 𝜂 of the CBI-process with transition semigroup
(𝑄 𝑡𝑏 )𝑡 ≥0 is supported by (0, ∞).
Proof Under the conditions, by Corollary 3.27 the probability measure 𝑄 𝑡𝑏 (0, ·) is
supported by (0, ∞) for 𝑡 > 0. Then 𝑞 𝑡′ (∞) = 0 by (3.39). In view of (3.38) and
(3.43), we have 𝐿 𝜂 (∞) = 𝑞 ′ (∞) = 0, which implies the desired result. □
Now let 𝑋 = (Ω, ℱ, ℱ𝑡 , 𝑥(𝑡), Q 𝑥 ) be a Hunt realization of the CB-process with

transition semigroup (𝑄 𝑡 )𝑡 ≥0 . Let 𝜏0 := inf{𝑠 ≥ 0 : 𝑥(𝑠) = 0} denote the extinction
time of 𝑋.
Theorem 3.31 Suppose that 𝑏 ≥ 0 and Condition 3.9 holds. Then for any 𝑇 ≥ 𝑡 ≥ 0
and 𝑥 > 0, the distribution of 𝑥(𝑡) under Q 𝑥 {·|𝑇 + 𝑟 < 𝜏0 } converges as 𝑟 → ∞ to
𝑄 𝑡𝑏 (𝑥, ·).
Proof By Theorem 3.8 and the Markov property of {𝑥(𝑡) : 𝑡 ≥ 0}, for any 𝑟 > 0 we
have
Q 𝑥 e−𝜆𝑥 (𝑡) 1 {𝑇+𝑟 <𝜏0 }

−𝜆𝑥 (𝑡)
Q𝑥 e |𝑇 + 𝑟 < 𝜏0 =
Q 𝑥 {𝑇 + 𝑟 < 𝜏0 }
Q 𝑥 e−𝜆𝑥 (𝑡) 1 {𝑇 <𝜏0 } Q 𝑥 (𝑇) {𝑟 < 𝜏0 }

=
(1 − e−𝑥 𝑣¯𝑇+𝑟 )
−𝜆𝑥 (𝑡)
(1 − e−𝑥 (𝑇) 𝑣¯𝑟 )

Q𝑥 e
= ,
(1 − e−𝑥𝑣𝑇 ( 𝑣¯𝑟 ) )
where we have used the relation 𝑣¯ 𝑇+𝑟 = 𝑣 𝑇 ( 𝑣¯ 𝑟 ). Recall that 𝑣 𝑇′ (0) = e−𝑏𝑇 . By
Theorem 3.11 and Corollary 3.13 it is easy to see that lim𝑟→∞ 𝑣¯ 𝑟 = 0. Then, by
(3.7),
lim Q 𝑥 e−𝜆𝑥 (𝑡) |𝑇 + 𝑟 < 𝜏0 = 𝑥 −1 e𝑏𝑇 Q 𝑥 [e−𝜆𝑥 (𝑡) 𝑥(𝑇)]

𝑟→∞
= 𝑥 −1 e𝑏𝑡 Q 𝑥 [e−𝜆𝑥 (𝑡) 𝑥(𝑡)].
This gives the desired convergence result. □
Theorem 3.32 Let 𝑇 > 0 and 𝑥 > 0. Then P𝑏,𝑇 −1 𝑏𝑇

𝑥 (d𝜔) = 𝑥 e 𝑥(𝜔, 𝑇) Q 𝑥 (d𝜔)
defines a probability measure on (Ω, ℱ𝑇 ), under which {(𝑥(𝑡), ℱ𝑡 ) : 0 ≤ 𝑡 ≤ 𝑇 } is
a Markov process with transition semigroup (𝑄 𝑡𝑏 )𝑡 ≥0 given by (3.40).
Proof Clearly, the measure P𝑏,𝑇

𝑥 is carried by {𝑥(𝑇) > 0} ∈ ℱ𝑇 . Then we have
P𝑏,𝑇
𝑥 {𝑥(𝑡) > 0} = 1 for every 0 ≤ 𝑡 ≤ 𝑇. Let 0 ≤ 𝑟 ≤ 𝑡 ≤ 𝑇 and let 𝐹 be a
bounded ℱ𝑟 -measurable random variable. For any 𝑓 ∈ 𝐵(R+ ), by (3.7) and the
Markov property under Q 𝑥 we have
−1 𝑏𝑇

P𝑏,𝑇
𝑥 [𝐹 𝑓 (𝑥(𝑡))] = 𝑥 e Q 𝑥 𝐹 𝑓 (𝑥(𝑡))𝑥(𝑇)
= 𝑥 −1 e𝑏𝑡 Q 𝑥 𝐹 𝑓 (𝑥(𝑡))𝑥(𝑡)

= 𝑥 −1 e𝑏𝑟 Q 𝑥 𝐹𝑄 𝑡−𝑟
𝑏
𝑓 (𝑥(𝑟))𝑥(𝑟)
= 𝑥 −1 e𝑏𝑇 Q 𝑥 𝐹𝑄 𝑡−𝑟
𝑏
𝑓 (𝑥(𝑟))𝑥(𝑇)

= P𝑏,𝑇
𝑥
𝑏
𝐹𝑄 𝑡−𝑟 𝑓 (𝑥(𝑟)) .
Then {(𝑥(𝑡), ℱ𝑡 ) : 0 ≤ 𝑡 ≤ 𝑇 } under P𝑏,𝑇

𝑥 is a Markov process with transition
semigroup (𝑄 𝑡𝑏 )𝑡 ≥0 . □
By a modification of the proof of Theorem 3.31 we have the following:
Theorem 3.33 Suppose that 𝑏 ≥ 0 and Condition 3.9 holds. Let 𝑥 > 0 and 𝑇 ≥ 0.
Then for any bounded ℱ𝑇 -measurable random variable 𝐹 we have
lim Q 𝑥 [𝐹 |𝑇 + 𝑟 < 𝜏0 ] = P𝑏,𝑇

𝑥 (𝐹).
𝑟→∞
The above theorem shows that in the critical and subcritical cases the probability
measure P𝑏,𝑇
𝑥 is intuitively the law conditioned on large extinction times. Some more
conditional limit theorems of the CB-process will be given in the next section.
3.4 More Conditional Limit Theorems
Throughout this section, we assume Condition 3.9 is satisfied. Let us consider

a Hunt realization 𝑋 = (Ω, ℱ, ℱ𝑡 , 𝑥(𝑡), Q 𝑥 ) of the transition semigroup (𝑄 𝑡 )𝑡 ≥0
defined by (3.2) and (3.3). Then 𝑣¯ 𝑡 := 𝑣 𝑡 (∞) = ↑lim𝜆→∞ 𝑣 𝑡 (𝜆) ∈ (0, ∞) for 𝑡 >
0 by Theorem 3.10 and 𝑣¯ := ↓ lim𝑡→∞ 𝑣¯ 𝑡 ∈ [0, ∞) by Theorem 3.11. Let 𝜏0 :=
inf{𝑠 ≥ 0 : 𝑥(𝑠) = 0} denote the extinction time. Recall that (𝑄 ◦𝑡 )𝑡 ≥0 denotes the
restriction to (0, ∞) of the semigroup (𝑄 𝑡 )𝑡 ≥0 .
3.4 More Conditional Limit Theorems 81
Theorem 3.34 Suppose that 𝑏 > 0. Then the limit 𝑔(𝜆) := ↑lim𝑡→∞ 𝑣¯ −1
𝑡 𝑣 𝑡 (𝜆) exists
for every 𝜆 ≥ 0 and 0 = 𝑔(0) = 𝑔(0+) ≤ 𝑔(𝜆) ≤ 𝑔(∞) = 1. Consequently, 𝑣¯ −1 𝑡 𝑙𝑡
converges as 𝑡 → ∞ to a probability measure 𝜋0 on (0, ∞) with Laplace transform
𝐿 𝜋0 (𝜆) = 1 − 𝑔(𝜆).
Proof Let 𝑔𝑡 (𝜆) = 𝑣¯ −1 −1
𝑡 𝑣 𝑡 (𝜆) and ℎ 𝑡 (𝜆) = 𝜆 𝑣 𝑡 (𝜆) for 𝜆 ≥ 0. Then 0 ≤ 𝑔𝑡 (𝜆) ≤ 1
and
𝑔𝑡+𝑠 (𝜆) = 𝑣 𝑠 ( 𝑣¯ 𝑡 ) −1 𝑣 𝑠 (𝑣 𝑡 (𝜆)) = ℎ 𝑠 ( 𝑣¯ 𝑡 ) −1 ℎ 𝑠 (𝑣 𝑡 (𝜆))𝑔𝑡 (𝜆) (3.44)
for 𝑠, 𝑡 > 0. Since 𝑣 𝑡 (0) = 0 and 𝜆 ↦→ 𝑣 𝑡 (𝜆) is a concave function, we have

ℎ𝑡′ (𝜆) = 𝜆−2 [𝑣 𝑡′ (𝜆)𝜆 − 𝑣 𝑡 (𝜆)] ≤ 0, so 𝜆 ↦→ ℎ𝑡 (𝜆) is decreasing. Thus 𝑡 ↦→ 𝑔𝑡 (𝜆)
is increasing by (3.44). Consequently, the limit 𝑔(𝜆) = ↑lim𝑡→∞ 𝑔𝑡 (𝜆) exists and
0 = 𝑔(0) ≤ 𝑔(𝜆) ≤ 𝑔(∞) = 1. Observe also that
𝑔𝑡 (𝑣 𝑠 (𝜆)) = 𝑣¯ −1 −1 −1
𝑡 𝑣 𝑡+𝑠 (𝜆) = 𝑣¯ 𝑡+𝑠 𝑣 𝑡+𝑠 (𝜆) 𝑣¯ 𝑡 𝑣 𝑠 ( 𝑣¯ 𝑡 ) = 𝑔𝑡+𝑠 (𝜆)ℎ 𝑠 ( 𝑣¯ 𝑡 ). (3.45)
By Theorem 3.11 we have lim𝑡→∞ 𝑣¯ 𝑡 = 0, so lim𝑡→∞ ℎ 𝑠 ( 𝑣¯ 𝑡 ) = 𝑣 𝑠′ (0) = e−𝑏𝑠 . Taking

𝑡 → ∞ in (3.45) gives
𝑔(𝑣 𝑠 (𝜆)) = e−𝑏𝑠 𝑔(𝜆), 𝜆 ≥ 0, 𝑠 ≥ 0. (3.46)
Then we must have 𝑔(0+) = 𝑔(0) = 0. From the relation

∫ ∞
lim e−𝜆𝑢 𝑣¯ −1 −1
𝑡 𝑙 𝑡 (d𝑢) = 1 − lim 𝑣¯ 𝑡 𝑣 𝑡 (𝜆) = 1 − 𝑔(𝜆)
𝑡→∞ 0 𝑡→∞
we see that 𝑣¯ −1
𝑡 𝑙 𝑡 converges as 𝑡 → ∞ to a probability measure 𝜋0 on [0, ∞) with
Laplace transform 1 − 𝑔(𝜆). Since 𝑔(∞) = 1, we have 𝜋0 ({0}) = 0. □
Theorem 3.35 Suppose that 𝑏 > 0. Then for any 0 ≤ 𝜆 ≤ ∞, the limit 𝑞(𝜆) :=
↓lim𝑡→∞ 𝑞 𝑡 (𝜆) exists (with 𝑞 𝑡 (∞) = e𝑏𝑡 𝑣¯ 𝑡 by convention).
∫∞ Moreover, we have 𝑞(𝜆) >
0 for some and hence all 0 < 𝜆 ≤ ∞ if and only if 1 𝑧 log 𝑧𝑚(d𝑧) < ∞.
Proof By Theorem 3.28 and the dominated convergence theorem it is easy to see
𝑞(𝜆) = ↓lim𝑡→∞ 𝑞 𝑡 (𝜆) for all 0 ≤ 𝜆 < ∞, where
∫ 𝜆
𝑞(𝜆) = 𝑞 ′ (𝑢)d𝑢.
0
This convergence can be extended to 𝜆 = ∞ by Theorem 3.10. Since 𝑞(∞) ≥ 𝑞(𝜆)

for all 0 < 𝜆 < ∞, the second assertion is immediate by Corollary 3.29. □
Corollary 3.36 Suppose that 𝑏 >∫ 0. Then e𝑏𝑡 𝑙 𝑡 converges as 𝑡 → ∞ to 𝑞(∞)𝜋0 ,
∞
which is non-trivial if and only if 1 𝑧 log 𝑧𝑚(d𝑧) < ∞.
Theorem 3.37 Suppose that 𝑏 > 0. Then for 𝑟 ≥ 0 and 𝑥 > 0 the distribution of
𝑥(𝑡) under Q 𝑥 {·|𝑟 + 𝑡 < 𝜏0 } converges as 𝑡 → ∞ to a probability measure 𝜋𝑟 on
(0, ∞) independent of 𝑥. Moreover, 𝜋0 is also the limit distribution of 𝑣¯ −1
𝑡 𝑙 𝑡 given by
Theorem 3.34 and 𝜋0 𝑄 ◦𝑡 = e−𝑏𝑡 𝜋0 for all 𝑡 ≥ 0.
Proof For 𝑟 > 0 we can use calculations similar to those in the proof of Theorem 3.31
to see
e−𝑥𝑣𝑡 (𝜆) − e−𝑥𝑣𝑡 (𝜆+𝑣¯𝑟 )
Q 𝑥 [e−𝜆𝑥 (𝑡) |𝑟 + 𝑡 < 𝜏0 ] = . (3.47)
1 − e−𝑥 𝑣¯𝑟+𝑡
By letting 𝑟 → 0 we obtain
e−𝑥𝑣𝑡 (𝜆) − e−𝑥 𝑣¯𝑡 1 − e−𝑥𝑣𝑡 (𝜆)

Q 𝑥 [e−𝜆𝑥 (𝑡) |𝑡 < 𝜏0 ] = = 1 − .
1 − e−𝑥 𝑣¯𝑡 1 − e−𝑥 𝑣¯𝑡
Let 𝜋0 be the probability measure on (0, ∞) given by Theorem 3.34. It follows that
lim Q 𝑥 [e−𝜆𝑥 (𝑡) |𝑡 < 𝜏0 ] = 1 − lim 𝑣¯ −1

𝑡 𝑣 𝑡 (𝜆) = 𝐿 𝜋0 (𝜆), (3.48)
𝑡→∞ 𝑡→∞
so the distribution of 𝑥(𝑡) under Q 𝑥 {·|𝑡 < 𝜏0 } converges to 𝜋0 . In view of (3.46) we

have
∫ ∞ ∫ ∞
−𝑣𝑡 (𝜆)𝑢
1 − e−𝜆𝑢 e−𝑏𝑡 𝜋0 (d𝑢),

1−e 𝜋0 (d𝑢) =
0 0
and hence 𝜋0 𝑄 ◦𝑡 = e−𝑏𝑡 𝜋0 . On the other hand, as 𝑡 → ∞ the right-hand side of (3.47)
is equivalent to
−1
𝑣¯ 𝑟+𝑡 (𝑣 𝑡 (𝜆 + 𝑣¯ 𝑟 ) − 𝑣 𝑡 (𝜆)) = 𝑣 𝑡 ( 𝑣¯ 𝑟 ) −1 (𝑣 𝑡 (𝜆 + 𝑣¯ 𝑟 ) − 𝑣 𝑡 (𝜆)).
Using the canonical representation (3.15) we may write this as

∫ ∞ −1 ∫ ∞
1 − e−𝑣¯𝑟 𝑢 𝑙 𝑡 (d𝑢) e−𝜆𝑢 1 − e−𝑣¯𝑟 𝑢 𝑙 𝑡 (d𝑢),

0 0
which converges as 𝑡 → ∞ to
∫ ∞ −1 ∫ ∞
−𝑣¯𝑟 𝑢
e−𝜆𝑢 1 − e−𝑣¯𝑟 𝑢 𝜋0 (d𝑢),

1−e 𝜋0 (d𝑢) (3.49)
0 0
giving the Laplace transform of a probability 𝜋𝑟 on (0, ∞). □
∫ ∞ 3.38 Suppose that 𝑏 > 0. Let 𝜋0 be given by Theorem 3.34. Then we

Corollary
have 0 𝑢𝜋0 (d𝑢) = 𝑞(∞) −1 . Consequently, 𝜋0 has finite mean if and only if
∫∞
1
𝑧 log 𝑧𝑚(d𝑧) < ∞.
Proof By Theorem 3.34 the measure 𝜋0 has Laplace transform 1 − 𝑔(𝜆). Letting
𝜆 → ∞ in (3.46) we have 𝑔( 𝑣¯ 𝑠 ) = e−𝑏𝑠 . By Theorem 3.11 and Corollary 3.13 we
have lim𝑠→∞ 𝑣¯ 𝑠 = 0. It follows that
𝑔 ′ (0) = lim 𝑣¯ −1 −1 −𝑏𝑠

𝑠 𝑔( 𝑣¯ 𝑠 ) = lim 𝑣¯ 𝑠 e = lim 𝑞 𝑠 (∞) −1 = 𝑞(∞) −1 ,
𝑠→∞ 𝑠→∞ 𝑠→∞
which together with Theorem 3.35 gives the desired conclusion. □

There are counterparts of the above conditional limit theorems in the supercritical
case. In fact, there is a symmetry in the limit theorems between the subcritical and
supercritical processes if we use suitable conditioning. In the strictly supercritical
case, we have 𝑏 < 0 and
Q 𝑥 [e−𝜆𝑥 (𝑡) |𝜏0 < ∞] = e−𝑥𝑤𝑡 (𝜆) , 𝜆 ≥ 0, (3.50)
where 𝑤 𝑡 (𝜆) = 𝑣 𝑡 (𝜆 + 𝑣¯ ) − 𝑣¯ . Setting 𝜓(𝜆) = 𝜙(𝜆 + 𝑣¯ ) one may see that 𝑤 𝑡 (𝜆)
satisfies
𝜕
𝑤 𝑡 (𝜆) = −𝜓(𝑤 𝑡 (𝜆)), 𝑤 0 (𝜆) = 𝜆. (3.51)
𝜕𝑡
Recall that 𝑣¯ > 0 is the largest root of 𝜙(𝑧) = 0. Then it is simple to check that
𝜓(𝜆) = 𝜙(𝜆 + 𝑣¯ ) − 𝜙( 𝑣¯ ) has the representation (3.1) with parameters 𝑏 𝜓 := 𝜙 ′ ( 𝑣¯ ) >
0, 𝑐 𝜓 := 𝑐 and 𝑚 𝜓 (d𝑧) := e−𝑣𝑧 ¯ 𝑚(d𝑧). Thus (3.50) implies that {𝑥(𝑡) : 𝑡 ≥ 0}
conditioned on 𝜏0 < ∞ is a strictly subcritical CB-process with cumulant semigroup

(𝑤 𝑡 )𝑡 ≥0 . By Corollary 3.16 we have 𝑣 𝑡 ( 𝑣¯ ) = 𝑣¯ , so 𝑤 𝑡 (𝜆) = 𝑣 𝑡 (𝜆 + 𝑣¯ ) − 𝑣 𝑡 ( 𝑣¯ ) has the
representation (3.15) with canonical measure e−𝑣𝑢 ¯ 𝑙 (d𝑢) for 𝑡 > 0.
𝑡
Theorem 3.39 Suppose that 𝑏 < 0. Then for any 𝑡 ≥ 0 and 𝑥 > 0 the distribution
of 𝑥(𝑡) under Q 𝑥 {·|𝑟 + 𝑡 < 𝜏0 < ∞} converges as 𝑟 → ∞ to a probability measure
𝑄¯ 𝑡𝑏 (𝑥, ·) on (0, ∞) given by
∫ ∞ ∫ 𝑡
−𝜆𝑦 ¯ 𝑏 ′
e 𝑄 𝑡 (𝑥, d𝑦) = exp − 𝑥𝑤 𝑡 (𝜆) − 𝜓0 (𝑤 𝑠 (𝜆))d𝑠 ,
0 0
where 𝜓0′ (𝑧) = 𝜙 ′ (𝑧+ 𝑣¯ )−𝑏 𝜓 . Moreover, 𝑄¯ 𝑡𝑏 (𝑥, ·) converges as 𝑡 → ∞ to a probability

measure 𝜂 on (0, ∞).
Proof The first assertion follows from Theorem 3.31. Since Condition 3.9 is as-
sumed, we have 𝜙 ′ (∞) = ∞. Then the second assertion is a consequence of Theo-
rem 3.28 and Corollary 3.30. □
Similarly, from Theorem 3.37 we derive the following:
Theorem 3.40 Suppose that 𝑏 < 0. Then for 𝑟 ≥ 0 and 𝑥 > 0 the distribution of
𝑥(𝑡) under Q 𝑥 {·|𝑟 + 𝑡 < 𝜏0 < ∞} converges as 𝑡 → ∞ to a probability measure 𝜋𝑟
on (0, ∞) which is independent of 𝑥. Moreover, 𝜋0 (d𝑢) is also the limit distribution
of ( 𝑣¯ 𝑡 − 𝑣¯ ) −1 e−𝑣𝑢
¯ 𝑙 (d𝑢).
𝑡
We now consider the critical CB-process. In this case, we shall see that suitable
conditioning of the process may lead to some universal limit laws independent of
the explicit form of the branching mechanism.
Theorem 3.41 Suppose that 𝑏 = 0 and 𝜎 2 := 𝜙 ′′ (0) < ∞. Then as 𝑡 → ∞ we have

1 1 1 1
− → 𝜎2
𝑡 𝑣 𝑡 (𝜆) 𝜆 2
uniformly in 0 < 𝜆 ≤ ∞ with the convention 1/∞ = 0. In particular, we have

𝑡𝑣 𝑡 (𝜆) → 2/𝜎 2 for 0 < 𝜆 ≤ ∞ as 𝑡 → ∞.
Proof Since Condition 3.9 holds, we have 𝜎 2 > 0. For 0 < 𝜆 ≤ ∞ and 𝑡 > 0, we
may use the backward equation (3.5) to see that
∫ ∫
1 1 1 1 𝑡 1 𝜕 1 𝑡 𝜙(𝑣 𝑠 (𝜆))
− =− 𝑣 𝑠 (𝜆)d𝑠 = d𝑠. (3.52)
𝑡 𝑣 𝑡 (𝜆) 𝜆 𝑡 0 𝑣 𝑠 (𝜆) 2 𝜕𝑠 𝑡 0 𝑣 𝑠 (𝜆) 2
By l’Hôpital’s rule,
lim 𝜙(𝑧)/𝑧2 = lim 𝜙 ′′ (𝑧)/2 = 𝜎 2 /2. (3.53)

𝑧↓0 𝑧↓0
But by Theorem 3.11 and Corollary 3.13, we have lim𝑡→∞ 𝑣¯ 𝑡 = 0, and hence
lim𝑡→∞ 𝑣 𝑡 (𝜆) = 0 uniformly on 0 < 𝜆 ≤ ∞. Then the assertion follows from
(3.52) and (3.53). □
Corollary 3.42 Suppose that 𝑏 = 0 and 𝜎 2 := 𝜙 ′′ (0) < ∞. Then for any 𝜆 ≥ 0 we
have
lim 𝑣 ′ (𝜆/𝑡) = (1 + 𝜎 2 𝜆/2) −2 .

𝑡→∞ 𝑡
Proof For 𝜆 = 0 the above limit relation holds trivially. For 𝜆 > 0 we can use
(3.5) and (3.6) to get 𝑣 𝑡′ (𝜆/𝑡) = 𝜙(𝜆/𝑡) −1 𝜙(𝑣 𝑡 (𝜆/𝑡)). Then the result follows by
Theorem 3.41. □
Theorem 3.43 Suppose that 𝑏 = 0 and 𝜎 2 := 𝜙 ′′ (0) < ∞. Let {𝑦(𝑡) : 𝑡 ≥ 0}

be a Markov process with transition semigroup (𝑄 𝑡𝑏 )𝑡 ≥0 given by (3.40). Then
the distribution of 𝑦(𝑡)/𝑡 converges as 𝑡 → ∞ to the one on (0, ∞) with density
2
4𝜎 −4 𝑥e−2𝑥/𝜎 .
Proof In this critical case, we have 𝑞 𝑡′ (𝜆) = 𝑣 𝑡′ (𝜆). Since lim𝑡→∞ 𝑣 𝑡 (𝜆/𝑡) = 0, by
(3.39) and Corollary 3.42 we see that
∫
1
lim e−𝜆𝑦/𝑡 𝑄 𝑡𝑏 (𝑥, d𝑦) = lim 𝑣 𝑡′ (𝜆/𝑡) = ,
𝑡→∞ [0,∞) 𝑡→∞ (1 + 𝜎 2 𝜆/2) 2
which is the Laplace transform of the desired limit distribution. □

Theorem 3.44 Suppose that 𝑏 = 0 and 𝜎 2 := 𝜙 ′′ (0) < ∞. Then for any fixed 𝑟 ≥ 0
and 𝑥 > 0 we have
2
lim Q 𝑥 {𝑥(𝑡)/𝑡 > 𝑧|𝑟 + 𝑡 < 𝜏0 } = e−2𝑧/𝜎 , 𝑧 ≥ 0. (3.54)
𝑡→∞
Proof For any 𝑡 > 0 we get from (3.47) that
e−𝑥𝑣𝑡 (𝜆/𝑡) − e−𝑥𝑣𝑡 (𝜆/𝑡+𝑣¯𝑟 )

Q 𝑥 e−𝜆𝑥 (𝑡)/𝑡 |𝑟 + 𝑡 < 𝜏0 =

,
1 − e−𝑥 𝑣¯𝑟+𝑡
which is still correct for 𝑟 = 0 if we understand 𝑣¯ 0 = ∞. The right-hand side is
equivalent to
−1
𝑣¯ 𝑟+𝑡 (𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑟 ) − 𝑣 𝑡 (𝜆/𝑡))
as 𝑡 → ∞. By Theorem 3.41 we have
lim 𝑡 𝑣¯ 𝑟+𝑡 = 2/𝜎 2 and lim 𝑡𝑣 𝑡 (𝜆/𝑡) = (1/𝜆 + 𝜎 2 /2) −1 . (3.55)

𝑡→∞ 𝑡→∞
From the uniform convergence we get
𝜎2

1 1 1 1
lim = lim − = .
𝑡→∞ 𝑡𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑟 ) 𝑡→∞ 𝑡 𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑟 ) 𝜆/𝑡 + 𝑣¯ 𝑟 2
Then it follows immediately that
𝜎2 2

1 1
lim Q 𝑥 e−𝜆𝑥 (𝑡)/𝑡 |𝑟 + 𝑡 < 𝜏0 =

− = .
𝑡→∞ 2 𝜎 2 1/𝜆 + 𝜎 2 /2 1 + 𝜎 2 𝜆/2
The right-hand side gives the Laplace transform of the desired limit distribution. □
Theorem 3.45 Suppose that 𝑏 = 0 and 𝜎 2 := 𝜙 ′′ (0) < ∞. Then for any 𝑥 > 0 and
𝑎 ≥ 0 the distribution of 𝑥(𝑡)/𝑡 under Q 𝑥 {·|(1 + 𝑎)𝑡 < 𝜏0 } converges as 𝑡 → ∞ to
the one on (0, ∞) with density
2 2
2𝜎 −2 (1 + 𝑎)e−2𝑥/𝜎 [1 − e−2𝑥/𝑎 𝜎 ] (3.56)
with e−∞ = 0 by convention.

Proof For any 𝑡 > 0 we use (3.47) to get
e−𝑥𝑣𝑡 (𝜆/𝑡) − e−𝑥𝑣𝑡 (𝜆/𝑡+𝑣¯𝑎𝑡 )

Q 𝑥 e−𝜆𝑥 (𝑡)/𝑡 |(1 + 𝑎)𝑡 < 𝜏0 =

1 − e−𝑥 𝑣¯ (1+𝑎) 𝑡
under the convention 𝑣¯ 0 = ∞. The right-hand side is equivalent to
𝑣¯ −1
(1+𝑎)𝑡 (𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑎𝑡 ) − 𝑣 𝑡 (𝜆/𝑡))
as 𝑡 → ∞. By (3.55) and the uniform convergence stated in Theorem 3.41 we have


1 2 1 1 1
𝜎 = lim −
2 𝑡→∞ 𝑡 𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑎𝑡 ) 𝜆/𝑡 + 𝑣¯ 𝑎𝑡

1 1
= lim −
𝑡→∞ 𝑡𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑎𝑡 ) 𝜆 + 𝑡 𝑣¯ 𝑎𝑡
1 1
= lim − .
𝑡→∞ 𝑡𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑎𝑡 ) 𝜆 + 2/𝑎𝜎 2
It follows that
−1
𝜎2 2 + 𝑎𝜎 2 𝜆

1
lim 𝑡𝑣 𝑡 (𝜆/𝑡 + 𝑣¯ 𝑎𝑡 ) = + = .
𝑡→∞ 2 𝜆 + 2/𝑎𝜎 2 𝜎 2 (1 + 𝑎 + 𝑎𝜎 2 𝜆/2)
Then one shows easily

1+𝑎
lim Q 𝑥 e−𝜆𝑥 (𝑡)/𝑡 |(1 + 𝑎)𝑡 < 𝜏0 =

,
𝑡→∞ (1 + 𝜎 2 𝜆/2)(1 + 𝑎 + 𝑎𝜎 2 𝜆/2)
which is the Laplace transform of the distribution with density (3.56). □
3.5 Scaling Limits of Discrete Processes
Let 𝑔 and ℎ be two probability generating functions. Suppose that {𝜉 𝑛,𝑖 : 𝑛, 𝑖 =

1, 2, . . .} and {𝜂 𝑛 : 𝑛 = 1, 2, . . .} are independent families of positive integer-valued
i.i.d. random variables with distributions given by 𝑔 and ℎ, respectively. Given
another positive integer-valued random variable 𝑦(0) independent of {𝜉 𝑛,𝑖 } and
{𝜂 𝑛 }, we define inductively
𝑦 (𝑛−1)
∑︁
𝑦(𝑛) = 𝜉 𝑛,𝑖 + 𝜂 𝑛 , 𝑛 = 1, 2, . . . . (3.57)
𝑖=1
It is easy to show that {𝑦(𝑛) : 𝑛 = 0, 1, 2, . . .} is a discrete-time positive integer-

valued Markov chain with transition matrix 𝑄(𝑖, 𝑗) determined by
∞
∑︁
𝑄(𝑖, 𝑗)𝑧 𝑗 = 𝑔(𝑧) 𝑖 ℎ(𝑧), |𝑧| ≤ 1. (3.58)
𝑗=0
The random variable 𝑦(𝑛) can be thought of as the number of individuals in gen-
eration 𝑛 ≥ 0 of an evolving particle system. After one unit time, each of the 𝑦(𝑛)
particles splits independently of others into a random number of offspring according
to the distribution given by 𝑔 and a random number of immigrants are added to the
system according to the probability law given by ℎ. The 𝑛-step transition matrix
𝑄 𝑛 (𝑖, 𝑗) of {𝑦(𝑛) : 𝑛 = 0, 1, 2, . . .} is given by
3.5 Scaling Limits of Discrete Processes 87
∞
∑︁ 𝑛
Ö
𝑄 𝑛 (𝑖, 𝑗)𝑧 𝑗 = 𝑔 𝑛 (𝑧) 𝑖 ℎ(𝑔 𝑗−1 (𝑧)), |𝑧| ≤ 1, (3.59)
𝑗=0 𝑗=1
where 𝑔 𝑛 (𝑧) is defined by 𝑔 𝑛 (𝑧) = 𝑔(𝑔 𝑛−1 (𝑧)) successively with 𝑔 0 (𝑧) = 𝑧. We call
any positive integer-valued Markov chain with transition probabilities given by (3.58)
or (3.59) a Galton–Watson branching process with immigration (GWI-process) with
parameters (𝑔, ℎ). If 𝑔 ′ (1−) < ∞ and ℎ ′ (1−) < ∞, then the first-moment of the
discrete probability distribution {𝑄 𝑛 (𝑖, 𝑗) : 𝑗 = 0, 1, 2, . . .} is given by
∞
∑︁ 𝑛
∑︁
𝑗𝑄 𝑛 (𝑖, 𝑗) = 𝑖𝑔 ′ (1−) 𝑛 + ℎ ′ (1−)𝑔 ′ (1−) 𝑗−1 , (3.60)
𝑗=1 𝑗=1
which can be obtained by differentiating both sides of (3.59). In the special case
where ℎ(𝑧) ≡ 1, we simply call {𝑦(𝑛) : 𝑛 = 0, 1, 2, . . .} a Galton–Watson branching
process (GW-process).
Suppose that for each integer 𝑘 ≥ 1 we have a GWI-process {𝑦 𝑘 (𝑛) : 𝑛 ≥ 0} with
parameters (𝑔 𝑘 , ℎ 𝑘 ). Let 𝑧 𝑘 (𝑛) = 𝑦 𝑘 (𝑛)/𝑘. Then {𝑧 𝑘 (𝑛) : 𝑛 ≥ 0} is a Markov chain
with state space 𝐸 𝑘 := {0, 1/𝑘, 2/𝑘, . . .} and 𝑛-step transition probability 𝑄 𝑛𝑘 (𝑥, d𝑦)
determined by
∫ 𝑛
Ö
e−𝜆𝑦 𝑄 𝑛𝑘 (𝑥, d𝑦) = 𝑔 𝑘𝑛 (e−𝜆/𝑘 ) 𝑘 𝑥 ℎ(𝑔 𝑘 (e−𝜆/𝑘 )),
𝑗−1
𝜆 ≥ 0. (3.61)
𝐸𝑘 𝑗=1
Suppose that {𝛾 𝑘 } is a positive real sequence such that 𝛾 𝑘 → ∞ increasingly as

𝑘 → ∞. Let ⌊𝛾 𝑘 𝑡⌋ denote the integer part of 𝛾 𝑘 𝑡 ≥ 0. We are interested in the
asymptotic behavior of the continuous-time process {𝑧 𝑘 ( ⌊𝛾 𝑘 𝑡⌋) : 𝑡 ≥ 0} as 𝑘 → ∞.
For any 𝑧 ≥ 0 define
𝐻 𝑘 (𝑧) = 𝛾 𝑘 [1 − ℎ 𝑘 (e−𝑧/𝑘 )] (3.62)
and
𝐺 𝑘 (𝑧) = 𝑘𝛾 𝑘 [𝑔 𝑘 (e−𝑧/𝑘 ) − e−𝑧/𝑘 ]. (3.63)
For convenience of statement of the results, we formulate the following conditions:
Condition 3.46 There is a function 𝜓 on [0, ∞) such that 𝐻 𝑘 (𝑧) → 𝜓(𝑧) uniformly
on [0, 𝑎] for every 𝑎 ≥ 0 as 𝑘 → ∞.
Condition 3.47 The sequence {𝐺 𝑘 } is uniformly Lipschitz on [0, 𝑎] for every 𝑎 ≥ 0

and there is a function 𝜙 on [0, ∞) such that 𝐺 𝑘 (𝑧) → 𝜙(𝑧) uniformly on [0, 𝑎] for
every 𝑎 ≥ 0 as 𝑘 → ∞.
Proposition 3.48 If Condition 3.46 holds, the limit function 𝜓 has the representation
(3.26). If Condition 3.47 holds, then 𝜙 has the representation (3.1).
Proof The representation (3.26) for 𝜓 follows by a modification of the proof of

Theorem 1.46. Since 𝜙 is locally Lipschitz, by Proposition 1.48 it suffices to show
the function has the representation (1.41). This could be done by modifying the
proofs of Theorems 1.46 and 1.47. Here we give a derivation of the representation
by considering the sequence
𝜙 𝑘 (𝑧) = 𝑘𝛾 𝑘 [𝑔 𝑘 (1 − 𝑧/𝑘) − (1 − 𝑧/𝑘)], 0 ≤ 𝑧 ≤ 𝑘.
Fix the constant 𝑎 ≥ 0. By the mean-value theorem, for 𝑘 ≥ 𝑎 and 0 ≤ 𝑧 ≤ 𝑎 we

have
𝐺 𝑘 (𝑧) − 𝜙 𝑘 (𝑧) = 𝑘𝛾 𝑘 [𝑔 𝑘′ (𝜂 𝑘 ) − 1] (e−𝑧/𝑘 − 1 + 𝑧/𝑘), (3.64)
where
1 − 𝑎/𝑘 ≤ 1 − 𝑧/𝑘 ≤ 𝜂 𝑘 ≤ e−𝑧/𝑘 ≤ 1.
Choose 𝑘 0 ≥ 𝑎 so that e−2𝑎/𝑘0 ≤ 1− 𝑎/𝑘 0 . Then for 𝑘 ≥ 𝑘 0 we have e−2𝑎/𝑘 ≤ 1− 𝑎/𝑘

and hence
𝛾 𝑘 |𝑔 𝑘′ (𝜂 𝑘 ) − 1| ≤ sup 𝛾 𝑘 |𝑔 𝑘′ (e−𝜆/𝑘 ) − 1|.

0≤𝜆≤2𝑎
Since {𝐺 𝑘 } is uniformly Lipschitz on [0, 2𝑎], the sequence
𝐺 ′𝑘 (𝑧) = 𝛾 𝑘 e−𝑧/𝑘 [1 − 𝑔 𝑘′ (e−𝑧/𝑘 )]
is uniformly bounded on [0, 2𝑎]. Thus {𝛾 𝑘 |𝑔 𝑘′ (𝜂 𝑘 ) − 1| : 𝑘 ≥ 𝑘 0 } is a bounded

sequence and (3.64) implies
𝜙(𝑧) = lim 𝐺 𝑘 (𝑧) = lim 𝜙 𝑘 (𝑧).

𝑘→∞ 𝑘→∞
Then we can use Theorem 1.47 to see 𝜙 has the representation (1.41). □
We shall work with the Laplace transform of the process {𝑧 𝑘 ( ⌊𝛾 𝑘 𝑡⌋) : 𝑡 ≥ 0}. In
⌊𝛾 𝑡 ⌋
view of (3.61), given 𝑧 𝑘 (0) = 𝑥 the conditional distribution 𝑄 𝑘 𝑘 (𝑥, ·) of 𝑧 𝑘 ( ⌊𝛾 𝑘 𝑡⌋)
on 𝐸 𝑘 is determined by
∫
⌊𝛾 𝑡 ⌋
e−𝜆𝑦 𝑄 𝑘 𝑘 (𝑥, d𝑦)
𝐸𝑘
∫ ⌊𝛾𝑘 𝑡⌋
𝛾𝑘
= exp − 𝑥𝑣 𝑘 (𝑡, 𝜆) − ¯
𝐻 𝑘 (𝑣 𝑘 (𝑠, 𝜆))d𝑠 , (3.65)
0
where
⌊𝛾𝑘 𝑡 ⌋
𝑣 𝑘 (𝑡, 𝜆) = −𝑘 log 𝑔 𝑘 (e−𝜆/𝑘 ) (3.66)
and
𝐻¯ 𝑘 (𝜆) = −𝛾 𝑘 log ℎ 𝑘 (e−𝜆/𝑘 ), 𝜆 ≥ 0.
Lemma 3.49 Suppose that the sequence {𝐺 𝑘 } defined by (3.63) is uniformly Lips-
chitz on [0, 1]. Then there are constants 𝐵 ≥ 0 and 𝑁 ≥ 1 such that 𝑣 𝑘 (𝑡, 𝜆) ≤ 𝜆e 𝐵𝑡
for every 𝑡, 𝜆 ≥ 0 and 𝑘 ≥ 𝑁.
Proof Let 𝑏 𝑘 = 𝐺 ′𝑘 (0+) for 𝑘 ≥ 1. Since {𝐺 𝑘 } is uniformly Lipschitz on [0, 1],
the sequence {𝑏 𝑘 } is bounded. Let 𝐵 ≥ 0 be a constant such that 2|𝑏 𝑘 | ≤ 𝐵 for all
⌊𝛾 𝑡 ⌋
𝑘 ≥ 1. In view of (3.65), there is a probability kernel 𝑃 𝑘 𝑘 (𝑥, d𝑦) on 𝐸 𝑘 such that
∫
⌊𝛾 𝑡 ⌋
e−𝜆𝑦 𝑃 𝑘 𝑘 (𝑥, d𝑦) = exp{−𝑥𝑣 𝑘 (𝑡, 𝜆)}, 𝜆 ≥ 0. (3.67)
𝐸𝑘
From (3.63) we have 𝑏 𝑘 = 𝛾 𝑘 [1 − 𝑔 𝑘′ (1−)]. It is not hard to obtain

∫
⌊𝛾 𝑡 ⌋
𝑏 𝑘 ⌊𝛾𝑘 𝑡 ⌋
𝑦𝑃 𝑘 𝑘 (𝑥, d𝑦) = 𝑥𝑔 𝑘′ (1−) ⌊𝛾𝑘 𝑡 ⌋ = 𝑥 1 − .
𝐸𝑘 𝛾𝑘
Since 𝛾 𝑘 → ∞ as 𝑘 → ∞, there is an 𝑁 ≥ 1 such that

𝛾 𝛾
𝑏 𝑘 𝐵𝑘 𝐵 𝐵𝑘
0 ≤ 1− ≤ 1+ ≤ e, 𝑘 ≥ 𝑁.
𝛾𝑘 2𝛾 𝑘
It follows that, for 𝑡 ≥ 0 and 𝑘 ≥ 𝑁,
∫ n𝐵 o
⌊𝛾 𝑡 ⌋
𝑦𝑃 𝑘 𝑘 (𝑥, d𝑦) ≤ 𝑥 exp ⌊𝛾 𝑘 𝑡⌋ ≤ 𝑥e 𝐵𝑡 . (3.68)
𝐸𝑘 𝛾𝑘
Then the desired estimate follows from (3.67), (3.68) and Jensen’s inequality. □
Theorem 3.50 Suppose that Condition 3.47 is satisfied. Let (𝑡, 𝜆) ↦→ 𝑣 𝑡 (𝜆) be the
unique locally bounded positive solution of (3.3). Then for every 𝑎 ≥ 0 we have
𝑣 𝑘 (𝑡, 𝜆) → 𝑣 𝑡 (𝜆) uniformly on [0, 𝑎] 2 as 𝑘 → ∞.
Proof It suffices to show 𝑣 𝑘 (𝑡, 𝜆) converges uniformly on [0, 𝑎] 2 for every 𝑎 ≥ 0
and the limit solves (3.3). Let
𝐺¯ 𝑘 (𝑧) = 𝑘𝛾 𝑘 log 𝑔 𝑘 (e−𝑧/𝑘 )e𝑧/𝑘 ,

𝑧 ≥ 0.
For any integer 𝑛 ≥ 0 we may write
log 𝑔 𝑘𝑛+1 (e−𝜆/𝑘 ) = log 𝑔 𝑘 (𝑔 𝑘𝑛 (e−𝜆/𝑘 ))𝑔 𝑘𝑛 (e−𝜆/𝑘 ) −1 + log 𝑔 𝑘𝑛 (e−𝜆/𝑘 )

= (𝑘𝛾 𝑘 ) −1 𝐺¯ 𝑘 − 𝑘 log 𝑔 𝑘𝑛 (e−𝜆/𝑘 ) + log 𝑔 𝑘𝑛 (e−𝜆/𝑘 ).

From this and (3.66) it follows that
𝑣 𝑘 (𝑡 + 𝛾 𝑘−1 , 𝜆) = 𝑣 𝑘 (𝑡, 𝜆) − 𝛾 𝑘−1 𝐺¯ 𝑘 (𝑣 𝑘 (𝑡, 𝜆)), 𝑡 ≥ 0.

By applying the above equation to 𝑡 = 0, 1/𝛾 𝑘 , . . . , ( ⌊𝛾 𝑘 𝑡⌋ − 1)/𝛾 𝑘 and adding the

resulting equations we obtain
⌊𝛾
∑︁𝑘𝑡 ⌋
𝛾 𝑘−1 𝐺¯ 𝑘 𝑣 𝑘 (𝛾 𝑘−1 (𝑖 − 1), 𝜆) .

𝑣 𝑘 (𝑡, 𝜆) = 𝜆 −
𝑖=1
Then we have
∫ 𝑡
𝑣 𝑘 (𝑡, 𝜆) = 𝜆 + 𝜀 𝑘 (𝑡, 𝜆) − 𝐺¯ 𝑘 (𝑣 𝑘 (𝑠, 𝜆))d𝑠, (3.69)
0
where
𝜀 𝑘 (𝑡, 𝜆) = 𝑡 − 𝛾 𝑘−1 ⌊𝛾 𝑘 𝑡⌋ 𝐺¯ 𝑘 𝑣 𝑘 (𝛾 𝑘−1 ⌊𝛾 𝑘 𝑡⌋, 𝜆) .

It is elementary to see
𝐺¯ 𝑘 (𝑧) = 𝑘𝛾 𝑘 log 1 + (𝑘𝛾 𝑘 ) −1 𝐺 𝑘 (𝑧)e𝑧/𝑘 .

Let 𝐵 ≥ 0 and 𝑁 ≥ 1 be chosen as in Lemma 3.49. Under Condition 3.47 one can
show 𝐺¯ 𝑘 (𝑧) → 𝜙(𝑧) uniformly on every bounded interval. Then for any 0 < 𝜀 ≤ 1
we can enlarge the constant 𝑁 ≥ 1 so that
| 𝐺¯ 𝑘 (𝑧) − 𝜙(𝑧)| ≤ 𝜀, 0 ≤ 𝑧 ≤ 𝑎e 𝐵𝑎 , 𝑘 ≥ 𝑁. (3.70)
It follows that
|𝜀 𝑘 (𝑡, 𝜆)| ≤ 𝛾 𝑘−1 𝑀, 0 ≤ 𝑡, 𝜆 ≤ 𝑎, (3.71)
where
𝑀 =1+ sup |𝜙(𝑧)|.

0≤𝑧 ≤𝑎e 𝐵𝑎
For 𝑛 ≥ 𝑘 ≥ 𝑁 let
𝐾 𝑘,𝑛 (𝑡, 𝜆) = sup |𝑣 𝑛 (𝑠, 𝜆) − 𝑣 𝑘 (𝑠, 𝜆)|.

0≤𝑠 ≤𝑡
By (3.69), (3.70) and (3.71) we obtain

∫ 𝑡
𝐾 𝑘,𝑛 (𝑡, 𝜆) ≤ 2(𝛾 𝑘−1 𝑀 + 𝜀𝑎) + 𝐿 𝐾 𝑘,𝑛 (𝑠, 𝜆)d𝑠, 0 ≤ 𝑡, 𝜆 ≤ 𝑎,
0
where 𝐿 = sup0≤𝑧 ≤𝑎e𝐵𝑎 |𝜙 ′ (𝑧)|. By Gronwall’s inequality,
𝐾 𝑘,𝑛 (𝑡, 𝜆) ≤ 2(𝛾 𝑘−1 𝑀 + 𝜀𝑎)e 𝐿𝑡 , 0 ≤ 𝑡, 𝜆 ≤ 𝑎.
Then 𝑣 𝑘 (𝑡, 𝜆) → some 𝑣 𝑡 (𝜆) uniformly on [0, 𝑎] 2 as 𝑘 → ∞. In view of (3.71) and

(3.69) we have (3.3). □
Let 𝐷 ( [0, ∞), R+ ) denote the space of càdlàg paths from [0, ∞) to R+ furnished
with the Skorokhod topology. The main limit theorem of this section is the following:
Theorem 3.51 Suppose that Conditions 3.46 and 3.47 are satisfied. Let {𝑦(𝑡) : 𝑡 ≥
𝛾
0} be a càdlàg CBI-process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (3.29).
If 𝑧 𝑘 (0) converges to 𝑦(0) in distribution, then {𝑧 𝑘 ( ⌊𝛾 𝑘 𝑡⌋) : 𝑡 ≥ 0} converges to
{𝑦(𝑡) : 𝑡 ≥ 0} in distribution on 𝐷 ( [0, ∞), R+ ).
Proof For 𝜆 > 0 and 𝑥 ≥ 0 set 𝑒 𝜆 (𝑥) = e−𝜆𝑥 . We denote by 𝐷 1 the linear span of
{𝑒 𝜆 : 𝜆 > 0}. It is easy to see that 𝐷 1 is an algebra strongly separating the points of
R+ in the sense of Ethier and Kurtz (1986, pp. 112–113). Let 𝐶0 (R+ ) be the space
of continuous functions on R+ vanishing at infinity. Then 𝐷 1 is uniformly dense in
𝐶0 (R+ ) by the Stone–Weierstrass theorem; see, e.g., Hewitt and Stromberg (1965,
pp. 98–99). By Proposition 3.1 it is easy to see that the function 𝑡 ↦→ 𝑣 𝑡 (𝜆) is locally
bounded away from zero. Under Condition 3.46 we have 𝐻¯ 𝑘 (𝑧) → 𝜓(𝑧) uniformly
on every bounded interval. Then one can use (3.29), (3.65) and Theorem 3.50 to
show
⌊𝛾𝑘 𝑡 ⌋ 𝛾
lim sup 𝑄 𝑘 𝑒 𝜆 (𝑥) − 𝑄 𝑡 𝑒 𝜆 (𝑥) = 0
𝑘→∞ 𝑥 ∈𝐸𝑘
for every 𝑡 ≥ 0. It follows that

⌊𝛾𝑘 𝑡 ⌋ 𝛾
lim sup 𝑄 𝑘 𝑓 (𝑥) − 𝑄 𝑡 𝑓 (𝑥) = 0
𝑘→∞ 𝑥 ∈𝐸𝑘
for every 𝑡 ≥ 0 and 𝑓 ∈ 𝐶0 (R+ ). By Ethier and Kurtz (1986, p. 226 and pp. 233–234)
we conclude that {𝑧 𝑘 ( ⌊𝛾 𝑘 𝑡⌋) : 𝑡 ≥ 0} converges to the CBI-process {𝑦(𝑡) : 𝑡 ≥ 0}
in distribution on 𝐷 ( [0, ∞), R+ ). □
The theorem above gives an interpretation of the CBI-process as the limit of a

sequence of rescaled GWI-processes. The following examples describe some typical
situations where Conditions 3.46 and 3.47 are satisfied.
Example 3.4 Suppose that ℎ is a probability generating function such that 𝛽 :=

ℎ ′ (1−) < ∞. Let 𝛾 𝑘 = 𝑘 and ℎ 𝑘 (𝑧) = ℎ(𝑧). Then the sequence 𝐻 𝑘 (𝑧) defined by
(3.62) converges to 𝛽𝑧 as 𝑘 → ∞.
Example 3.5 For any 0 < 𝛼 ≤ 1 let 𝛾 𝑘 = 𝑘 𝛼 and ℎ 𝑘 (𝑧) = 1 − (1 − 𝑧) 𝛼 . Then the
sequence 𝐻 𝑘 (𝑧) defined by (3.62) converges to 𝑧 𝛼 as 𝑘 → ∞.
Example 3.6 Suppose that 𝑔 is a probability generating function such that 𝑔 ′ (1−) = 1
and 𝑐 := 𝑔 ′′ (1−)/2 < ∞. Let 𝛾 𝑘 = 𝑘 and 𝑔 𝑘 (𝑧) = 𝑔(𝑧). By Taylor’s expansion one
sees that the sequence 𝐺 𝑘 (𝑧) defined by (3.63) converges to 𝑐𝑧2 as 𝑘 → ∞.
Example 3.7 For any 1 ≤ 𝛼 ≤ 2 let 𝛾 𝑘 = 𝛼𝑘 𝛼−1 and 𝑔 𝑘 (𝑧) = 𝑧 + 𝛼−1 (1 − 𝑧) 𝛼 . Then
the sequence 𝐺 𝑘 (𝑧) defined by (3.63) converges to 𝑧 𝛼 as 𝑘 → ∞.
We now give some applications of Theorem 3.51 to the characterizations of

local times. Let 𝑋 0 = (Ω, ℱ, ℱ𝑡 , 𝑋𝑡0 , P 𝑥 ) be a standard one-dimensional Brownian
motion. Given any constant 𝑎 ∈ R we define 𝑋𝑡𝑎 = 𝑋𝑡0 − 𝑎𝑡 for 𝑡 ≥ 0. Then
𝑋 𝑎 = (Ω, ℱ, ℱ𝑡 , 𝑋𝑡𝑎 , P 𝑥 ) is a Brownian motion with drift −𝑎. It is well known that
there is a positive continuous two-parameter process {𝑙 𝑎 (𝑡, 𝑦) : 𝑡 ≥ 0, 𝑦 ∈ R} such
that
∫ 𝑡 ∫
1 𝐴 (𝑋𝑠𝑎 )d𝑠 = 2𝑙 𝑎 (𝑡, 𝑦)d𝑦, 𝐴 ∈ ℬ(R).
0 𝐴
The process {2𝑙 𝑎 (𝑡, 𝑦) : 𝑡 ≥ 0, 𝑦 ∈ R} is the local time of {𝑋𝑡𝑎 : 𝑡 ≥ 0}. Let
𝜏𝑥𝑎 = inf{𝑡 > 0 : 𝑋𝑡𝑎 = 𝑥} denote the hitting time of 𝑥 ∈ R by the Brownian motion
with drift. By a 𝛿-downcrossing of {𝑋𝑡𝑎 : 𝑡 ≥ 0} at 𝑦 ∈ R before time 𝑇 > 0 we
mean an interval [𝑢, 𝑣] ⊂ [0, 𝑇) such that 𝑋𝑢𝑎 = 𝑦 + 𝛿, 𝑋𝑣𝑎 = 𝑦 and 𝑦 < 𝑋𝑡𝑎 < 𝑦 + 𝛿
for all 𝑢 < 𝑡 < 𝑣.
We first consider the special case 𝑎 = 0. It is well known that P 𝑥 {𝑙 0 (𝑡, 𝑦) → ∞
as 𝑡 → ∞} = 1 for all 𝑥, 𝑦 ∈ R. Then for every 𝑢 ≥ 0 we have P 𝑥 -a.s.
𝜎 0 (𝑢) := inf{𝑡 ≥ 0 : 𝑙 0 (𝑡, 0) ≥ 𝑢} < ∞.
The following theorem is the well-known Ray–Knight theorem on Brownian local

times.
Theorem 3.52 For any 𝑥 ≥ 0, under the probability law P 𝑥 we have:
(1) {𝑙 0 (𝜎 0 (𝑢), −𝑡) : 𝑡 ≥ 0} and {𝑙 0 (𝜎 0 (𝑢), 𝑥 + 𝑡) : 𝑡 ≥ 0} are CB-processes with

branching mechanism 𝜙(𝑧) = 𝑧 2 ;
(2) {𝑙 0 (𝜎 0 (𝑢), 𝑡) : 0 ≤ 𝑡 ≤ 𝑥} is a CBI-process with branching mechanism 𝜙(𝑧) = 𝑧 2
and immigration mechanism 𝜓(𝑧) = 𝑧.
0
Proof (1) Let 𝜉 𝑘 denote the number of (1/𝑘)-downcrossings at 𝑥 before time 𝜏𝑥−1/𝑘 .
0
By the property of independent increments of {𝑋𝑡 : 𝑡 ≥ 0} we have
∞
∑︁ 𝑧𝑖 1
P0 [𝑧 𝜉𝑘 ] = = , |𝑧| ≤ 1.
𝑖=0
2𝑖+1 2−𝑧
For 𝑘 ≥ 1 and 𝑖 ≥ 0 let 𝑍 𝑘 (𝑖) denote the number of (1/𝑘)-downcrossings of

{𝑋𝑡0 : 𝑡 ≥ 0} at 𝑥 𝑖 = 𝑥 + 𝑖/𝑘 before time 𝜎 0 (𝑢). It is easy to see that 𝑍 𝑘 (𝑖 + 1) is the
sum of 𝑍 𝑘 (𝑖) independent copies of 𝜉 𝑘 . Thus {𝑍 𝑘 (𝑖) : 𝑖 = 0, 1, . . .} is a GW-process
determined by the probability generating function
1
𝑔(𝑧) = , |𝑧| ≤ 1. (3.72)
2−𝑧
By the approximation of the local time by downcrossing numbers, for every 𝑡 ≥ 0
we have 𝑍 𝑘 ( ⌊𝑘𝑡⌋)/𝑘 → 𝑙 0 (𝜎 0 (𝑢), 𝑥 + 𝑡) in probability as 𝑘 → ∞; see, e.g, Revuz
and Yor (1999, p. 227). On the other hand, it is easy to show
𝜙(𝑧) := lim 𝑘 2 [𝑔(e−𝑧/𝑘 ) − e−𝑧/𝑘 ] = 𝑧 2 .

𝑘→∞
By Theorem 3.51 one can see {𝑙 0 (𝜎 0 (𝑢), 𝑥 + 𝑡) : 𝑡 ≥ 0} is a CB-process with

branching mechanism 𝜙(𝑧) = 𝑧 2 . The result for {𝑙 0 (𝜎 0 (𝑢), −𝑡) : 𝑡 ≥ 0} follows in a
similar way.
(2) This is similar to the first part of the proof, so we only give a sketch. For
𝑘 ≥ 1 and 0 ≤ 𝑖 ≤ ⌊𝑘𝑥⌋ let 𝑌𝑘 (𝑖) denote the number of (1/𝑘)-downcrossings of
{𝑋𝑡0 : 𝑡 ≥ 0} at 𝑧𝑖 = 𝑖/𝑘 before time 𝜎 0 (𝑢). One can see that 𝑌𝑘 (𝑖 +1) −1 is the sum of
𝑌𝑘 (𝑖) independent copies of 𝜉 𝑘 . Then {𝑌𝑘 (𝑖) : 𝑖 = 0, 1, . . . , ⌊𝑘𝑥⌋} is a GWI-process
determined by the pair of generating functions (𝑔, ℎ), where 𝑔(𝑧) is given by (3.72)
and ℎ(𝑧) = 𝑧. For any 0 ≤ 𝑡 ≤ 𝑥 we have 𝑌𝑘 ( ⌊𝑘𝑡⌋)/𝑘 → 𝑙 0 (𝜎 0 (𝑢), 𝑡) in probability
as 𝑘 → ∞. Then the result follows by Theorem 3.51. □
Let {2𝑙 (𝑡, 𝑦) : 𝑡 ≥ 0, 𝑦 ≥ 0} denote the local time of the reflecting Brownian
motion {|𝑋𝑡0 | : 𝑡 ≥ 0}. Then {𝑙 (𝑡, 𝑦) : 𝑡 ≥ 0, 𝑦 ≥ 0} is a positive continuous
two-parameter process such that
∫ 𝑡 ∫
1 𝐴 (|𝑋𝑠0 |)d𝑠 = 2 𝑙 (𝑡, 𝑦)d𝑦, 𝐴 ∈ ℬ(R+ ).
0 𝐴
For any 𝑥 ≥ 0 and 𝑢 ≥ 0 we have P 𝑥 -a.s.
𝜎(𝑢) := inf{𝑡 ≥ 0 : 𝑙 (𝑡, 0) ≥ 𝑢} < ∞.
By modifying the arguments in the proof of Theorem 3.52 one can show the follow-
ing:
Theorem 3.53 For any 𝑥 ≥ 0, under the probability law P 𝑥 we have:
(1) {𝑙 (𝜎(𝑢), 𝑥 + 𝑡) : 𝑡 ≥ 0} is a CB-process with branching mechanism 𝜙(𝑧) = 𝑧2 ;

(2) {𝑙 (𝜎(𝑢), 𝑡) : 0 ≤ 𝑡 ≤ 𝑥} is a CBI-process with branching mechanism 𝜙(𝑧) = 𝑧2
and immigration mechanism 𝜓(𝑧) = 𝑧.
We next consider the case 𝑎 > 0. In this case we have P 𝑥 {𝜏0𝑎 < ∞} = 1 for every
𝑥 > 0. For 𝛿 > 0 and |𝑥| ≤ 𝛿 let 𝑢 𝛿 (𝑥) = P 𝑥 {𝜏−𝑎𝛿 < 𝜏𝛿𝑎 }. Then 𝑥 ↦→ 𝑢 𝛿 (𝑥) solves
the differential equation
1 ′′
𝑢 (𝑥) − 𝑎𝑢 ′ (𝑥) = 0, |𝑥| ≤ 𝛿
2
with boundary conditions 𝑢(𝛿) = 0 and 𝑢(−𝛿) = 1. By solving the above boundary
value problem we find
e2𝑎 𝛿 − e2𝑎𝑥
𝑢 𝛿 (𝑥) = , |𝑥| ≤ 𝛿. (3.73)
e2𝑎 𝛿 − e−2𝑎 𝛿
The following theorem slightly generalizes the Ray–Knight theorem.
Theorem 3.54 Suppose that 𝑎 > 0 and 𝑥 > 0. Then under P 𝑥 we have:
(1) {𝑙 𝑎 (𝜏0𝑎 , 𝑥+𝑡) : 𝑡 ≥ 0} is a CB-process with branching mechanism 𝜙(𝑧) = 𝑧 2 +2𝑎𝑧;

(2) {𝑙 𝑎 (𝜏0𝑎 , 𝑡) : 0 ≤ 𝑡 ≤ 𝑥} is a CBI-process with branching mechanism 𝜙(𝑧) =
𝑧2 + 2𝑎𝑧 and immigration mechanism 𝜓(𝑧) = 𝑧.
Proof The arguments are modifications of those in the proof of Theorem 3.52, so
we only describe the difference. For 𝑘 ≥ 1 and 𝑖 ≥ 0 let 𝑍 𝑘 (𝑖) denote the number
of (1/𝑘)-downcrossings of {𝑋𝑡𝑎 : 𝑡 ≥ 0} at 𝑥𝑖 = 𝑥 + 𝑖/𝑘 before time 𝜏0𝑎 . Then
{𝑍 𝑘 (𝑖) : 𝑖 = 0, 1, . . .} is a GW-process corresponding to the generating function
∞
∑︁ 𝑝𝑘
𝑔 𝑘 (𝑧) = 𝑝 𝑘 (𝑞 𝑘 𝑧) 𝑖 = , |𝑧| ≤ 1, (3.74)
𝑖=0
1 − 𝑞𝑘 𝑧
where 𝑝 𝑘 = 𝑢 1/𝑘 (0) and 𝑞 𝑘 = 1 − 𝑝 𝑘 . From (3.73) we get
e2𝑎/𝑘 − 1 1 𝑎 1
𝑝𝑘 = = + + 𝑜
e2𝑎/𝑘 − e−2𝑎/𝑘 2 2𝑘 𝑘
and
1 − e−2𝑎/𝑘 1 𝑎 1
𝑞𝑘 = = − + 𝑜
e2𝑎/𝑘 − e−2𝑎/𝑘 2 2𝑘 𝑘
as 𝑘 → ∞. Then we use (3.74) to see
𝜙(𝑧) := lim 𝑘 2 [𝑔 𝑘 (e−𝑧/𝑘 ) − e−𝑧/𝑘 ]

𝑘→∞
𝑘 2 [1 − e−𝑧/𝑘 − 𝑞 𝑘 (1 − e−2𝑧/𝑘 )]
= lim
𝑘→∞ 1 − 𝑞 𝑘 e−𝑧/𝑘
2
= 𝑧 + 2𝑎𝑧.
For 𝑡 ≥ 0 we have 𝑍 𝑘 ( ⌊𝑘𝑡⌋)/𝑘 → 𝑙 𝑎 (𝜏0𝑎 , 𝑥 + 𝑡) in probability as 𝑘 → ∞. Thus the

assertion (1) follows by Theorem 3.51. Similarly one obtains (2). □
The convergence of rescaled GW-processes to diffusion processes was first studied by

Feller (1951). Jiřina (1958) introduced CB-processes in both discrete and continuous
times. Lamperti (1967a) showed that the continuous-time processes are weak limits
of rescaled GW-processes; see also Aliev and Shchurenkov (1983) and Grimvall
(1974). The convergence of rescaled GWI-processes to CBI-processes has been
discussed by a number of authors, see, e.g., Aliev (1985), Kawazu and Watanabe
(1971) and Li (2006) among others.
The “if” part of Theorem 3.14 was proved in Silverstein (1967/8). It seems the
“only if” part is a new result. Most of the other results on extinction probabilities
and growth rates in Sections 3.1 and 3.2 can be found in Grey (1974). It is simple
to check that if {𝑋𝑡 : 𝑡 ≥ 0} is a Dawson–Watanabe superprocess with conservative
underlying spatial motion and spatially constant branching mechanism, then the total
mass {𝑋𝑡 (1) : 𝑡 ≥ 0} is a CB-process. The properties of local extinction and growth
rate for superprocesses were studied in Engländer and Kyprianou (2004), Liu et
al. (2009) and Pinsky (1995, 1996). A zero-one law on the local extinction for a
super-Brownian motion was given in Zhou (2008). See also Engländer (2007) and
the references therein.
Theorem 3.24 and Corollary 3.25 were given in Pinsky (1972). A similar result for
Ornstein–Uhlenbeck type processes was proved in Sato and Yamazato (1984). For
finite-dimensional affine Markov processes, a sufficient condition for the ergodicity
in weak convergence was proved by Jin et al. (2020), which covers partially the results
of Pinsky (1972) and Sato and Yamazato (1984). The necessity of the condition of
Jin et al. (2020) was still an open problem.
The transformation of probability laws given in Theorem 3.32 is standard in the
theory of Markov processes; see, e.g., Sharpe (1988, p. 296). Most other results in
Sections 3.3 and 3.4 can be found in Li (2000). The result of Theorem 3.37 was
already expected by Pakes (1988, p. 86); see also Pakes and Trajstman (1985). A
number of conditional limit theorems for Galton–Watson processes were proved
in Pakes (1999) by introducing some general conditioning events. Theorems 3.44
and 3.45 treat the two simplest special cases of the conditional events of Pakes (1999).
Some of the results in Section 3.4 were proved in Lambert (2007) by different
methods; see also Kyprianou and Pardo (2008). A conditional limit theorem for
generalized diffusion processes was proved in Li et al. (2003). Let 𝑋 = {𝑋 (𝑡) : 𝑡 ≥ 0}
be such a process with initial state 𝑋 (0) = 𝑥 > 0, hitting time 𝜏𝑋 (0) at the origin and
speed measure 𝑚 regularly varying at infinity with exponent 1/𝛼−1 > 0. They proved
that, for a suitable function 𝑢(𝑐), the probability law of {𝑢(𝑐) −1 𝑋 (𝑐𝑡) : 0 < 𝑡 ≤ 1}
converges as 𝑐 → ∞ to the conditioned 2(1 − 𝛼)-dimensional Bessel excursion on
natural scale and that the latter is equivalent to the 2(1 − 𝛼)-dimensional Bessel
meander up to a scale transformation. In particular, the distribution of 𝑢(𝑐) −1 𝑋 (𝑐)
converges to the Weibull distribution:
(1 − 𝛼)𝑥 1/𝛼−1 exp{−𝛼(1 − 𝛼)𝑥 1/𝛼 }d𝑥, 𝑥 > 0.
From the conditional limit theorem they also derive a limit theorem for some regen-
erative processes associated with 𝑋.
For the sake of simplicity, we have assumed the branching mechanism is given
by (3.1). Proposition 3.48 and Theorem 3.51 suggest that the class of CBI-processes
with transition semigroups given by (3.29) essentially includes all possible rescaling
limits of GWI-processes with finite first-moments. One may consider a more general
branching mechanism 𝜙 defined by (1.41) or (1.43). By the result of Silverstein
(1967/8), in this case for every 𝜆 > 0 there is a unique strictly positive solution
𝑡 ↦→ 𝑣 𝑡 (𝜆) to (3.5); see also Kawazu and Watanabe (1971). Let 𝑣 𝑡 (0) = lim𝜆→0 𝑣 𝑡 (𝜆)
𝛾
for 𝑡 ≥ 0. Then one can also define the transition semigroups (𝑄 𝑡 )𝑡 ≥0 and (𝑄 𝑡 )𝑡 ≥0 by
(3.2) and (3.29), respectively, but they are not necessarily conservative. For instance,
we have 𝑄 𝑡 (𝑥, [0, ∞)) = exp{−𝑥𝑣 𝑡 (0)}. It was shown in Kawazu and Watanabe
(1971) that 𝑣 𝑡 (0) = 0 for all 𝑡 ≥ 0 if and only if
∫
1
d𝑧 = ∞. (3.75)
0+ 0 ∨ (−𝜙(𝑧))
Clearly, the above condition holds for 𝜙(𝜆) ≡ 𝜆 log 𝜆. A CB-process with this
branching mechanism is known as Neveu’s CB-process, which was used by Neveu
(1992) in the study of the generalized random energy models of Derrida (1985) and
Ruelle (1987).
Conditions 3.46 and 3.47 were essentially given in Aliev (1985) and Aliev and
Shchurenkov (1983). Slightly different forms of the two conditions can be found in
Li (2006). The proof of Theorem 3.50 follows Aliev and Shchurenkov (1983). The
convergence in distribution on the path space 𝐷 ( [0, ∞), R+ ) of Theorem 3.51 was
established in Li (2006) by proving the convergence of the generators of the rescaled
GWI-processes; see also Ma (2009). Theorem 3.52 was originally proved by Knight
(1963) and Ray (1963). There are many generalizations of the Ray–Knight theorem;
see, e.g., Borodin and Salminen (1996).
A kind of convolution among stochastic processes with state space [0, ∞) was
introduced by Shiga and Watanabe (1973). Using this convolution, they defined the
notion of an infinitely decomposable process. They showed that a Markov process is
infinitely decomposable if and only if it is a CBI-process, which includes the squared
Bessel diffusion as a typical example. This special case was investigated much further
by Pitman and Yor (1982). In particular, they constructed a path-valued random field
{𝑌𝑥𝑑 : 𝑥 ≥ 0, 𝑑 ≥ 0} with independent increments, where 𝑌𝑥𝑑 = {𝑌𝑥𝑑 (𝑡) : 𝑡 ≥ 0} is a
squared Bessel diffusion process with initial value 𝑥 and with generator 𝐴 determined
by
d2 d
𝐴 𝑓 (𝑥) = 2𝑥 2
𝑓 (𝑥) + 𝑑 𝑓 (𝑥), 𝑓 ∈ 𝐶 2 [0, ∞).
d𝑥 d𝑥
Their construction was given by some Poisson random measures based on excursion
laws. See Revuz and Yor (1999) for a compact theory of squared Bessel diffusions.
The genealogical structures of Galton–Watson branching processes are repre-
sented by Galton–Watson trees. Those trees can be coded by two kinds of discrete
paths called height functions and contour functions. By the result of Aldous (1993),
a sequence of suitably rescaled critical Galton–Watson trees converges to the so-
called continuum random tree coded by a Brownian excursion. The basic idea of the
Ray–Knight theorem is to code the genealogical structures of Feller’s branching dif-
fusion by the Brownian paths. A discrete time–space counterpart of the Ray–Knight
theorem was given by Dwass (1975), who characterized the crossing numbers at
different levels by random walks in terms Galton–Watson processes. Le Gall and
Le Jan (1998a) proposed an approach of coding the genealogy of a general subcritical
branching CB-process using a spectrally positive Lévy process, which corresponds
to the reflecting Brownian motion in the case of Feller’s branching diffusion. A key
contribution of Le Gall and Le Jan (1998a) is an explicit expression for the height
process as a functional of the Lévy process whose Laplace exponent is precisely the
branching mechanism. This suggests that many problems concerning the genealo-
gies of CB-processes can be restated and solved in terms of spectrally positive Lévy
processes, for which there is a rich literature; see, e.g., Bertoin (1996) and Sato
(1999).
In view of Theorem 3.51, one may want to look for limit theorems of branching
models involving genealogical structures. Some limit theorems of this type were
established in Duquesne and Le Gall (2002) in terms of height processes and contour
processes. Pitman (2006) studied various combinatorial models of random partitions
and trees, and the asymptotics of these models related to stochastic processes. See
Aldous (1991a, 1991b, 1993) for the early work in the subject. The method of
Gromov–Hausdorff distance was developed in Evans et al. (2006) and Evans and
Winter (2006) to study the asymptotic behavior of random trees when the number of
vertices goes to infinity. Evans (2008) and Winter (2007) gave surveys of the relevant
backgrounds and applications; see also Le Gall (2005). The genealogical structures
of catalytic branching models were studied in Greven et al. (2009).
If (𝑣 𝑡 )𝑡 >0 admits the representation (3.15), then each 𝑙 𝑡 (d𝑢) is a diffuse measure
on (0, ∞); see Bertoin and Le Gall (2000). CBI-processes were used by Bertoin
and Le Gall (2000, 2006) in studying the coalescent processes with multiple colli-
sions of Pitman (1999) and Sagitov (1999). See also Limic and Sturm (2006) and
Schweinsberg (2000, 2003) for some related results. Using the results for self-similar
CBI-processes, Patie (2009) gave a characterization of the density of the law of an
exponential functional associated to some one-sided Lévy processes.
A natural generalization of the CBI-process is described as follows. Let 𝑚 ≥ 0
and 𝑛 ≥ 0 be integers and define 𝐷 = R+𝑚 × R𝑛 and 𝑈 = C−𝑚 × (𝑖R) 𝑛 , where
C− = {𝑎 + 𝑖𝑏 : 𝑎 ≤ 0, 𝑏 ∈ R} and 𝑖R = {𝑖𝑏 : 𝑏 ∈ R}. Let (·, ·) denote the duality
between 𝐷 and 𝑈. A transition semigroup (𝑃𝑡 )𝑡 ≥0 on 𝐷 is called an affine semigroup
if its characteristic function has the representation
∫
e ( 𝑦,𝑢) 𝑃𝑡 (𝑥, d𝑦) = exp{(𝑥, 𝜓(𝑡, 𝑢)) + 𝜙(𝑡, 𝑢)}, 𝑢 ∈ 𝑈, (3.76)
𝐷
where 𝑢 ↦→ 𝜓(𝑡, 𝑢) is a continuous mapping of 𝑈 into itself and 𝑢 ↦→ 𝜙(𝑡, 𝑢) is a

continuous function on 𝑈 satisfying 𝜙(𝑡, 0) = 0. A Markov process in 𝐷 is called
an affine process if it has affine transition semigroup. The process reduces to an
𝑚-dimensional CBI-process when 𝑛 = 0. The CIR-model was first used by Cox et al.
(1985) to model the stochastic evolution of interest rates. General affine processes
have been used widely in mathematical finance; see Duffie et al. (2003) and the
references therein.
The affine semigroup defined by (3.76) is called regular if it is stochastically
continuous and the right derivatives 𝜓𝑡′ (0, 𝑢) and 𝜙𝑡′ (0, 𝑢) exist for all 𝑢 ∈ 𝑈 and
are continuous at 𝑢 = 0. A number of characterizations of regular affine processes
were given in Duffie et al. (2003). By a result of Kawazu and Watanabe (1971),
a stochastically continuous CBI-process is automatically regular. The regularity of

affine processes was studied in Dawson and Li (2006) under a moment assumption.
The regularity problem was settled in Keller-Ressel et al. (2011), where it was proved
that any stochastically continuous affine process is regular.
Chapter 4
Branching Particle Systems
Branching particle systems arise from applications in a number of subjects. Typical

examples of those systems are biological populations in isolated regions, families of
neutrons in nuclear reactions, cosmic-ray showers and so on. In this chapter, we show
that suitable scaling limits of those particle systems lead to the Dawson–Watanabe
superprocesses in finite-dimensional distributions, giving intuitive interpretations
for the superprocesses. To show the ideas in a simple and clear way, we shall first
develop the results in detail for local branching particle systems. After that we show
how the argument can be modified to general non-local branching models.
4.1 Particle Systems with Local Branching
In this section, we introduce a special class of branching particle systems, which

can be regarded as the discrete-state counterpart of the local branching Dawson–
Watanabe superprocesses. Let 𝐸 be a Lusin topological space and let 𝑁 (𝐸) denote
the space of integer-valued finite measures on 𝐸. Let 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) be a
Borel right process in 𝐸 with conservative transition semigroup (𝑃𝑡 )𝑡 ≥0 . We assume
the sample path {𝜉𝑡 : 𝑡 ≥ 0} is right continuous in both the original and Ray
topologies and has left limits {𝜉𝑡− : 𝑡 > 0} in the Ray–Knight completion 𝐸¯ of 𝐸.
Let 𝛾 ≥ 0 be a constant. Suppose that 𝑔 ∈ 𝐵(𝐸 × [−1, 1]) and 𝑔(𝑥, ·) is a probability
generating function for each 𝑥 ∈ 𝐸, that is,
∞
∑︁
𝑔(𝑥, 𝑧) = 𝑝 𝑘 (𝑥)𝑧 𝑘 , |𝑧| ≤ 1,
𝑘=0
Í∞
where 𝑝 𝑘 (𝑥) ≥ 0 and 𝑘=0 𝑝 𝑘 (𝑥) = 1. Moreover, we assume
∞
∑︁
sup 𝑔 𝑧′ (𝑥, 1−) = sup 𝑘 𝑝 𝑘 (𝑥) < ∞. (4.1)
𝑥 ∈𝐸 𝑥 ∈𝐸 𝑘=1

100 4 Branching Particle Systems
Let 𝑔(𝑥, 𝑧) = 1 for 𝑥 ∈ 𝐸¯ \ 𝐸 and |𝑧| ≤ 1. We consider a particle system on 𝐸

characterized by the following properties:
(1) The particles in 𝐸 move independently according to the law given by the transi-
tion probabilities of 𝜉.
(2) For a particle which is alive at time 𝑟 ≥ 0 and follows the path {𝜉 𝑠 : 𝑠 ≥ 𝑟 }, the
conditional probability of survival in the time interval [𝑟, 𝑡) is exp{−(𝑡 − 𝑟)𝛾}.
(3) When a particle following the path {𝜉 𝑠 : 𝑠 ≥ 𝑟 } dies at time 𝑡 > 𝑟, it gives
birth to a random number of offspring at 𝜉𝑡 ∈ 𝐸 according to the probability
distribution given by the generating function 𝑔(𝜉𝑡− , ·). The offspring then start
to move from their common birth site.
In addition, we assume that the lifetimes and the branchings of different particles are
independent. By a branching particle system with parameters (𝜉, 𝛾, 𝑔) we mean the
measure-valued process {𝑋𝑡 : 𝑡 ≥ 0}, where 𝑋𝑡 (𝐵) denotes the number of particles
in 𝐵 ∈ ℬ(𝐸) that are alive at time 𝑡 ≥ 0. A construction of the branching particle
system with initial value 𝜎 ∈ 𝑁 (𝐸) is given as follows.
Let 𝒜 be the set of all finite strings of the form 𝛼 = 𝑛0 𝑛1 · · · 𝑛𝑙 ( 𝛼) for integers
𝑙 (𝛼) ≥ 0 and 𝑛𝑖 ≥ 1. We provide 𝒜 with the arboreal ordering. Then 𝑚 0 𝑚 1 · · · 𝑚 𝑝 ≺
𝑛0 𝑛1 · · · 𝑛𝑞 if and only if 𝑝 ≤ 𝑞 and 𝑚 0 = 𝑛0 , 𝑚 1 = 𝑛1 , . . . , 𝑚 𝑝 = 𝑛 𝑝 . The particles
will be labeled by the strings in 𝛼 ∈ 𝒜. The integer 𝑙 (𝛼) is interpreted as the
generation number of the particle with label 𝛼 ∈ 𝒜. Then this particle has exactly
𝑙 (𝛼) predecessors, which we denote respectively by 𝛼 \ 1, 𝛼 \ 2, . . ., 𝛼 \ 𝑙 (𝛼). For
example, if 𝛼 = 12436, then 𝛼 \ 1 = 1243 and 𝛼 \ 3 = 12. Suppose we are given a
probability space (𝑊, 𝒢, P) on which the following family of independent random
elements are defined:
{𝜉 𝛼 (𝑥), 𝑆 𝛼 , 𝜂 𝛼 (𝑥) : 𝛼 ∈ 𝒜, 𝑥 ∈ 𝐸 }, (4.2)
where each 𝜉 𝛼 (𝑥) = {𝜉 𝛼 (𝑥, 𝑡) : 𝑡 ≥ 0} is a Markov process with transition semigroup

(𝑃𝑡 )𝑡 ≥0 and 𝜉 𝛼 (𝑥, 0) = 𝑥, each 𝑆 𝛼 is an exponential random variable with parameter
𝛾, and each 𝜂 𝛼 (𝑥) is an integer-valued random variable with distribution defined by
the probability generating function 𝑔(𝑥, ·).
Given a finite set {𝑥1 , . . . , 𝑥 𝑛 } ⊂ 𝐸, the branching particle system {𝑋𝑡𝜎 : 𝑡 ≥ 0}
Í𝑛
with initial state 𝜎 = 𝑖=1 𝛿 𝑥𝑖 is constructed as follows. Let 𝜕 be a point that is not
in 𝐸. For all labels 𝛼 ∈ 𝒜 we shall define the birth times 𝛽 𝛼 , birth places 𝑏 𝛼 , death
times 𝜁 𝛼 and trajectories 𝜉 𝛼 = {𝜉 𝛼 (𝑡) : 𝑡 ≥ 0} of the corresponding particles in an
inductive way. If 𝛼 = 𝑛0 ∈ 𝒜 has generation number 𝑙 (𝛼) = 0, we define the birth
time and place by
n0 if 𝑛0 ≤ 𝑛, n𝑥
𝑛0 if 𝑛0 ≤ 𝑛,
𝛽𝑛0 = and 𝑏 𝑛0 =
∞ if 𝑛0 > 𝑛 𝜕 if 𝑛0 > 𝑛.
The death time is defined by 𝜁 𝑛0 = 𝛽𝑛0 + 𝑆 𝑛0 and the trajectory by

n 𝜉 (𝑏 , 𝑡 − 𝛽 ) if 𝛽𝑛0 ≤ 𝑡 < ∞,
𝑛0 𝑛0 𝑛0
𝜉 𝑛0 (𝑡) =
𝜕 if 0 ≤ 𝑡 < 𝛽𝑛0 .
4.1 Particle Systems with Local Branching 101
Suppose now the birth times, birth places, death times and trajectories are already
defined for the particles in the (𝑘 − 1)-th generation. For 𝛼 = 𝑛0 𝑛1 · · · 𝑛𝑙 ( 𝛼) ∈ 𝒜 with
generation number 𝑙 (𝛼) = 𝑘 ≥ 1, we define the birth time and place of the particle
by
n𝜁
( 𝛼\1) if 𝑛 𝑘 ≤ 𝜂 ( 𝛼\1) (𝜉 ( 𝛼\1) (𝜁 ( 𝛼\1) −)),
𝛽𝛼 =
∞ if 𝑛 𝑘 > 𝜂 ( 𝛼\1) (𝜉 ( 𝛼\1) (𝜁 ( 𝛼\1) −))
and
( 𝛼\1) (𝜁 ( 𝛼\1) ) if 𝑛 𝑘 ≤ 𝜂 ( 𝛼\1) (𝜉 ( 𝛼\1) (𝜁 ( 𝛼\1) −)),

n𝜉
𝑏𝛼 =
𝜕 if 𝑛 𝑘 > 𝜂 ( 𝛼\1) (𝜉 ( 𝛼\1) (𝜁 ( 𝛼\1) −)).
The death time of the particle is defined by 𝜁 𝛼 = 𝛽 𝛼 + 𝑆 𝛼 and the trajectory by

n 𝜉 (𝑏 , 𝑡 − 𝛽 ) if 𝛽 𝛼 ≤ 𝑡 < ∞,
𝛼 𝛼 𝛼
𝜉 𝛼 (𝑡) =
𝜕 if 0 ≤ 𝑡 < 𝛽 𝛼 .
Now the branching particle system generated by the initial mass 𝜎 is constructed as
∑︁
𝑋𝑡𝜎 = 1 [𝛽 𝛼 ,𝜁 𝛼 ) (𝑡)𝛿 𝜉𝛼 (𝑡) , 𝑡 ≥ 0. (4.3)
𝛼∈𝒜
At this moment, it is not clear if 𝑋𝑡𝜎 (𝐸) is a.s. finite, so we think of {𝑋𝑡𝜎 : 𝑡 ≥ 0}
as a process taking values in 𝑁 (𝐸)∪{Δ}, where Δ denotes infinity. The independence
of the family (4.2) implies
P exp{−𝑋𝑡𝜎 ( 𝑓 )} = exp{−𝜎(𝑢 𝑡 )}, 𝑓 ∈ 𝐵(𝐸) ++ , (4.4)
where
𝑢 𝑡 (𝑥) ≡ 𝑢 𝑡 (𝑥, 𝑓 ) = − log P exp{−𝑋𝑡𝑥 ( 𝑓 )}
and {𝑋𝑡𝑥 : 𝑡 ≥ 0} is a system with 𝑋0𝑥 = 𝛿 𝑥 . Here and in the sequel, we make the
convention that Δ( 𝑓 ) = ∞ for 𝑓 ∈ 𝐵(𝐸) ++ . Moreover, we have the following renewal
equation:
∫ 𝑡
−𝑢𝑡 ( 𝑥) −𝛾𝑡− 𝑓 ( 𝜉𝑡 )
𝛾e−𝛾𝑠 P 𝑥 𝑔(𝜉 𝑠 , e−𝑢𝑡−𝑠 ( 𝜉𝑠 ) ) d𝑠.

e = P 𝑥 [e ]+ (4.5)
0
This follows as we think about the Laplace functional of the random measure 𝑋𝑡𝑥
produced by a single particle that starts moving from the point 𝑥 ∈ 𝐸. Suppose the
particle is labeled by 𝛼 ∈ 𝒜 with 𝑙 (𝛼) = 0. Then it has birth time 𝛽 𝛼 = 0, birth
place 𝑏 𝛼 = 𝑥, death time 𝜁 𝛼 = 𝑆 𝛼 and trajectory 𝜉 𝛼 = {𝜉 𝛼 (𝑥, 𝑡) : 𝑡 ≥ 0}. In view
of (4.4), the Laplace functional of 𝑋𝑡𝑥 is given by the left-hand side of (4.5). By the
independence of 𝜁 𝛼 and 𝜉 𝛼 we have
n o
P 1 {𝜁 𝛼 >𝑡 } e−𝑋𝑡 ( 𝑓 ) = P 1 {𝜁 𝛼 >𝑡 } P e−𝑋𝑡 ( 𝑓 ) 𝜁 𝛼 , 𝜉 𝛼
𝑥 𝑥
n o
= P 1 {𝜁 𝛼 >𝑡 } e− 𝑓 ( 𝜉𝛼 ( 𝑥,𝑡)) = P 𝑥 [e−𝛾𝑡− 𝑓 ( 𝜉𝑡 ) ],
where the expectations related to {𝑋𝑡𝑥 : 𝑡 ≥ 0} and {𝜉 𝛼 (𝑥, 𝑡) : 𝑡 ≥ 0} are taken

on the probability space (𝑊, 𝒢, P) and the one related to {𝜉𝑡 : 𝑡 ≥ 0} is taken on
(Ω, ℱ, P 𝑥 ). This gives the first term on the right-hand side of (4.5). By property (3),
if it happens that 0 < 𝜁 𝛼 ≤ 𝑡, then the particle dies at 𝜉 𝛼 (𝑥, 𝜁 𝛼 −) and gives birth to
a random number of offspring at 𝜉 𝛼 (𝑥, 𝜁 𝛼 ) according to the probability law given
by the generating function 𝑔(𝜉 𝛼 (𝑥, 𝜁 𝛼 −), ·). With those considerations we compute
P 1 {0<𝜁 𝛼 ≤𝑡 } e−𝑋𝑡 ( 𝑓 )
𝑥
n o
= P 1 {0<𝜁 𝛼 ≤𝑡 } P e−𝑋𝑡 ( 𝑓 ) 𝜁 𝛼 , 𝜉 𝛼
𝑥
∑︁∞
−𝑘𝑢𝑡−𝜁 𝛼 ( 𝜉 𝛼 ( 𝑥,𝜁 𝛼 ))
= P 1 {0<𝜁 𝛼 ≤𝑡 } 𝑝 𝑘 (𝜉 𝛼 (𝑥, 𝜁 𝛼 −))e
h 𝑘=1
i
= P 1 {0<𝜁 𝛼 ≤𝑡 } 𝑔 𝜉 𝛼 (𝑥, 𝜁 𝛼 −), e−𝑢𝑡−𝜁 𝛼 ( 𝜉𝛼 ( 𝑥,𝜁 𝛼 ))
∫ 𝑡
−𝛾𝑠 −𝑢𝑡−𝑠 ( 𝜉𝑠 )
= P𝑥 𝛾e 𝑔 𝜉 𝑠− , e d𝑠 ,
0
where we used again the independence of 𝜁 𝛼 and {𝜉 𝛼 (𝑥, 𝑡) : 𝑡 ≥ 0}. This leads to the
second term on the right-hand side of (4.5) because 𝜉 𝑠− ≠ 𝜉 𝑠 for at most countably
many 𝑠 > 0. By Proposition 2.9 the solution (𝑡, 𝑥) ↦→ e−𝑢𝑡 ( 𝑥) of (4.5) also solves
∫ 𝑡
e−𝑢𝑡 ( 𝑥) = P 𝑥 e− 𝑓 ( 𝜉𝑡 ) + 𝛾P 𝑥 𝑔(𝜉 𝑠 , e−𝑢𝑡−𝑠 ( 𝜉𝑠 ) ) − e−𝑢𝑡−𝑠 ( 𝜉𝑠 ) d𝑠.

(4.6)
0
Then it is easy to see that
𝑣(𝑡, 𝑥) = 1 − exp{−𝑢 𝑡 (𝑥)} (4.7)
is a solution of
∫ 𝑡
𝑣(𝑡, 𝑥) = P 𝑥 1 − e− 𝑓 ( 𝜉𝑡 ) +

𝛾P 𝑥 1 − 𝑣(𝑡 − 𝑠, 𝜉 𝑠 )]d𝑠
∫ 𝑡 0

− 𝛾P 𝑥 𝑔(𝜉 𝑠 , 1 − 𝑣(𝑡 − 𝑠, 𝜉 𝑠 ))]d𝑠. (4.8)
0
The arguments above actually proved the existence of the solution (𝑡, 𝑥) ↦→ 𝑣(𝑡, 𝑥) to
(4.8). The uniqueness of the solution follows by a standard application of Gronwall’s
inequality.
Proposition 4.1 We have P{𝑋𝑡𝜎 ∈ 𝑁 (𝐸)} = 1 and
P[𝑋𝑡𝜎 ( 𝑓 )] = 𝜎(𝑃𝑡𝑏 𝑓 ), 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸), (4.9)
where 𝑃𝑡𝑏 𝑓 is defined by (2.37) with 𝑏(𝑥) = 𝛾 [1 − 𝑔 𝑧′ (𝑥, 1−)] for 𝑥 ∈ 𝐸.

4.1 Particle Systems with Local Branching 103
Proof We first assume 𝑓 ∈ 𝐵(𝐸) ++ . For any 𝑘 ≥ 1 we have
𝑤 𝑘 (𝑡, 𝑥) := P[1 − e−𝑋𝑡

𝑥( 𝑓 /𝑘)
] = 1 − e−𝑢𝑡 ( 𝑥, 𝑓 /𝑘) . (4.10)
From (4.8) we get

∫ 𝑡
− 𝑓 ( 𝜉𝑡 )/𝑘

𝑤 𝑘 (𝑡, 𝑥) = P 𝑥 1 − e − P 𝑥 𝜙(𝜉 𝑠 , 𝑤 𝑘 (𝑡 − 𝑠, 𝜉 𝑠 ))]d𝑠, (4.11)
0
where
𝜙(𝑥, 𝑧) = 𝛾 [𝑔(𝑥, 1 − 𝑧) − (1 − 𝑧)].
It is easy to see that
𝜙(𝑥, 𝑧) ≥ 𝜙 ′ (𝑥, 0+)𝑧 = 𝑏(𝑥)𝑧, 𝑥 ∈ 𝐸, 0 ≤ 𝑧 ≤ 1.
Then (4.11) implies

∫ 𝑡
∥𝑤 𝑘 (𝑡, ·) ∥ ≤ 𝑘 −1 ∥ 𝑓 ∥ + ∥𝑏∥ ∥𝑤 𝑘 (𝑠, ·) ∥d𝑠,
0
so an application of Gronwall’s inequality shows ∥𝑤 𝑘 (𝑡, ·) ∥ ≤ 𝑘 −1 ∥ 𝑓 ∥e ∥𝑏 ∥𝑡 . From

(4.10) one sees that 𝑘𝑤 𝑘 (𝑡, 𝑥) is increasing in 𝑘 ≥ 1. Thus the limit 𝜋𝑡 (𝑥) :=
lim 𝑘→∞ 𝑘𝑤 𝑘 (𝑡, 𝑥) exists and solves
∫ 𝑡 ∫
𝜋𝑡 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝑏(𝑦)𝜋 𝑠 (𝑦)𝑃𝑡−𝑠 (𝑥, d𝑦),
0 𝐸
so 𝜋𝑡 (𝑥) = 𝑃𝑡𝑏 𝑓 (𝑥). From (4.10) it follows that
P[𝑋𝑡𝑥 ( 𝑓 )] = lim P[𝑘 (1 − e−𝑋𝑡

𝑥( 𝑓 /𝑘)
)] = 𝑃𝑡𝑏 𝑓 (𝑥).
𝑘→∞
Similarly, from (4.4) we get (4.9) for 𝑓 ∈ 𝐵(𝐸) ++ . In particular,
P[𝑋𝑡𝜎 (1)] = 𝜎(𝑃𝑡𝑏 1) < ∞,
which implies P{𝑋𝑡𝜎 ∈ 𝑁 (𝐸)} = 1. The extension of (4.9) to 𝑓 ∈ 𝐵(𝐸) is immedi-

ate. □
From the assumptions on the family (4.2) it follows that {𝑋𝑡𝜎 : 𝑡 ≥ 0} is a Markov
process in 𝑁 (𝐸). By (4.4) the process has transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜎, d𝜈) = exp{−𝜎(𝑢 𝑡 )}, 𝑓 ∈ 𝐵(𝐸) + , (4.12)
𝑁 (𝐸)
where (𝑡, 𝑥) ↦→ 𝑢 𝑡 (𝑥) is determined by (4.7) and (4.8).

4.2 Scaling Limits of Local Branching Systems
In this section, we prove a scaling limit theorem for a sequence of branching particle
systems, which leads to a superprocess with local branching. The limit theorem gives
interpretations for the parameters of the superprocess. For each integer 𝑘 ≥ 1, let
{𝑌𝑘 (𝑡) : 𝑡 ≥ 0} be a branching particle system with parameters (𝜉, 𝛾 𝑘 , 𝑔 𝑘 ) and let
𝑋 𝑘 (𝑡) = 𝑘 −1𝑌𝑘 (𝑡). It is easy to see that {𝑋 𝑘 (𝑡) : 𝑡 ≥ 0} is a Markov process in
𝑁 𝑘 (𝐸) := {𝜈 ∈ 𝑀 (𝐸) : 𝑘 𝜈 ∈ 𝑁 (𝐸)}.
Let Q𝜈(𝑘) denote the conditional law given 𝑋 𝑘 (0) = 𝜈 ∈ 𝑁 𝑘 (𝐸). Let (𝑡, 𝑥, 𝑓 ) ↦→
𝑢 𝑡 (𝑘, 𝑥, 𝑓 ) be defined by (4.7) and (4.8) with (𝛾, 𝑔) replaced by (𝛾 𝑘 , 𝑔 𝑘 ). From
(4.12) we have
Q𝜈(𝑘) exp − ⟨𝑋 𝑘 (𝑡), 𝑓 ⟩ = exp − ⟨𝜈, 𝑢 𝑘 (𝑡)⟩ ,

(4.13)
where 𝑢 𝑘 (𝑡, 𝑥) = 𝑘𝑢 𝑡 (𝑘, 𝑥, 𝑓 /𝑘). By the discussions in the first section, we can also
define 𝑢 𝑘 (𝑡, 𝑥) by
𝑣 𝑘 (𝑡, 𝑥) = 𝑘 [1 − exp{−𝑢 𝑘 (𝑡, 𝑥)/𝑘 }] (4.14)
and the evolution equation

∫ 𝑡
− 𝑓 ( 𝜉𝑡 )/𝑘

𝑣 𝑘 (𝑡, 𝑥) = 𝑘P 𝑥 1 − e − P 𝑥 𝜙 𝑘 (𝜉 𝑠 , 𝑣 𝑘 (𝑡 − 𝑠, 𝜉 𝑠 )) d𝑠, (4.15)
0
where
𝜙 𝑘 (𝑥, 𝑧) = 𝑘𝛾 𝑘 [𝑔 𝑘 (𝑥, 1 − 𝑧/𝑘) − (1 − 𝑧/𝑘)], 0 ≤ 𝑧 ≤ 𝑘. (4.16)
Condition 4.2 For each 𝑎 ≥ 0 the sequence {𝜙 𝑘 (𝑥, 𝑧)} is Lipschitz with respect
to 𝑧 uniformly on 𝐸 × [0, 𝑎] and 𝜙 𝑘 (𝑥, 𝑧) converges to some 𝜙(𝑥, 𝑧) uniformly on
𝐸 × [0, 𝑎] as 𝑘 → ∞.
Proposition 4.3 If Condition 4.2 is satisfied, the limit function 𝜙 has the represen-
tation (2.49).
Proof By applying Corollary 1.49 for fixed 𝑥 ∈ 𝐸 we get the representation (2.49),
where 𝑐(𝑥) ≥ 0 and 𝑏(𝑥) are constants, and (𝑢 ∧ 𝑢 2 )𝑚(𝑥, d𝑢) is a finite measure on
(0, ∞). By the dominated convergence theorem we can differentiate both sides of
(2.49) with respect to 𝑧 ≥ 0 to obtain
∫ ∞
′
𝑢 1 − e−𝑧𝑢 𝑚(𝑥, d𝑢),

𝜙 (𝑥, 𝑧) = 𝑏(𝑥) + 2𝑐(𝑥)𝑧 + (4.17)
0
which is bounded on the set 𝐸 × [0, 𝑎] for every 𝑎 ≥ 0. Then 𝜙(𝑥, 𝑧) is Lipschitz
in 𝑧 uniformly on 𝐸 × [0, 𝑎] for each 𝑎 ≥ 0. In particular, 𝑥 ↦→ 𝑏(𝑥) = 𝜙 ′ (𝑥, 0+) is
bounded on 𝐸. By taking 𝑧 = 1 in (4.17) we see that
4.2 Scaling Limits of Local Branching Systems 105
∫ ∞
𝑥 ↦→ 𝑐(𝑥) + (𝑢 ∧ 𝑢 2 )𝑚(𝑥, d𝑢)
0
is bounded on 𝐸. By applying the dominated convergence theorem again, for any

𝑎 > 0 and 𝜆 ≥ 0 we have
∫ ∞
′′
𝜙 (𝑥, 𝑎 + 𝜆) = 2𝑐(𝑥) + e−𝜆𝑢 𝑢 2 e−𝑎𝑢 𝑚(𝑥, d𝑢) (4.18)
0
and
∫ ∞
(3)
𝜙 (𝑥, 𝑎 + 𝜆) = − e−𝜆𝑢 𝑢 3 e−𝑎𝑢 𝑚(𝑥, d𝑢).
0
Then the finite measure 𝑢 3 e−𝑎𝑢 𝑚(𝑥, d𝑢) has Laplace transform 𝜆 ↦→ −𝜙 (3) (𝑥, 𝑎 + 𝜆).
By Theorem 1.23 we see 𝑢 3 e−𝑎𝑢 𝑚(𝑥, d𝑢) is a finite kernel from 𝐸 to (0, ∞), so
𝑚(𝑥, d𝑢) is a 𝜎-finite kernel from 𝐸 to (0, ∞). Now (4.18) implies that 𝑥 ↦→ 𝑐(𝑥) is
measurable and hence (4.17) implies 𝑥 ↦→ 𝑏(𝑥) is measurable. □
Proposition 4.4 For any function 𝜙 with the representation (2.49) there is a sequence
{𝜙 𝑘 } in the form of (4.16) satisfying Condition 4.2.
Proof To simplify the formulations we decompose the function 𝜙 into two parts. Let
𝜙0 (𝑥, 𝑧) = 𝜙(𝑥, 𝑧) − 𝑏(𝑥)𝑧. We first define
∫ ∞
𝛾0,𝑘 = 1 + 2𝑘 ∥𝑐∥ + sup 𝑢(1 − e−𝑘𝑢 )𝑚(𝑥, d𝑢)
𝑥 ∈𝐸 0
and
−1
𝑔0,𝑘 (𝑥, 𝑧) = 𝑧 + 𝑘 −1 𝛾0,𝑘 𝜙0 (𝑥, 𝑘 (1 − 𝑧)), 𝑥 ∈ 𝐸, |𝑧| ≤ 1.
It is easy to see that 𝑧 ↦→ 𝑔0,𝑘 (𝑥, 𝑧) is an analytic function in (−1, 1) satisfying

𝑔0,𝑘 (𝑥, 1) = 1 and
d𝑛
𝑔0,𝑘 (𝑥, 0) ≥ 0, 𝑥 ∈ 𝐸, 𝑛 ≥ 0.
d𝑧 𝑛
Therefore 𝑔0,𝑘 (𝑥, ·) is a probability generating function. Let 𝜙0,𝑘 be defined by (4.16)
with (𝛾 𝑘 , 𝑔 𝑘 ) replaced by (𝛾0,𝑘 , 𝑔0,𝑘 ). Then 𝜙0,𝑘 (𝑥, 𝑧) = 𝜙0 (𝑥, 𝑧) for 0 ≤ 𝑧 ≤ 𝑘.
This completes the proof if ∥𝑏∥ = 0. In the case ∥𝑏∥ > 0, we set
1 𝑏(𝑥) 1 𝑏(𝑥) 2
𝑔1,𝑘 (𝑥, 𝑧) = 1+ + 1− 𝑧 .
2 ∥𝑏∥ 2 ∥𝑏∥
Let 𝛾1,𝑘 = ∥𝑏∥ and let 𝜙1,𝑘 (𝑥, 𝑧) be defined by (4.16) with (𝛾 𝑘 , 𝑔 𝑘 ) replaced by
(𝛾1,𝑘 , 𝑔1,𝑘 ). Then we have
1
∥𝑏∥ − 𝑏(𝑥) 𝑧 2 .

𝜙1,𝑘 (𝑥, 𝑧) = 𝑏(𝑥)𝑧 +
2𝑘
Finally, let 𝛾 𝑘 = 𝛾0,𝑘 + 𝛾1,𝑘 and 𝑔 𝑘 = 𝛾 𝑘−1 (𝛾0,𝑘 𝑔0,𝑘 + 𝛾1,𝑘 𝑔1,𝑘 ). Then the sequence
𝜙 𝑘 (𝑥, 𝑧) defined by (4.16) is equal to 𝜙0,𝑘 (𝑥, 𝑧) + 𝜙1,𝑘 (𝑥, 𝑧), which satisfies the
required condition. □
Proposition 4.5 If Condition 4.2 holds, then for each 𝑇 ≥ 0 both 𝑣 𝑘 (𝑡, 𝑥) and 𝑢 𝑘 (𝑡, 𝑥)
converge uniformly on [0, 𝑇] × 𝐸 to the unique locally bounded positive solution
(𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) of the evolution equation
∫ 𝑡 ∫
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙(𝑦, 𝑉𝑡−𝑠 𝑓 (𝑦))𝑃𝑠 (𝑥, d𝑦). (4.19)
0 𝐸
Proof By Proposition 2.20, there is a unique locally bounded positive solution

𝑡 ↦→ 𝑉𝑡 𝑓 to (4.19). Let
d h d i
𝑏 𝑘 (𝑥) = 𝜙 𝑘 (𝑥, 0+) = 𝛾 𝑘 1 − 𝑔 𝑘 (𝑥, 1−) , 𝑥 ∈ 𝐸.
d𝑧 d𝑧
The uniformly local Lipschitz assumption on {𝜙 𝑘 } implies
𝐵 := sup ∥𝑏 𝑘 ∥ < ∞.
𝑘 ≥1
We may then extend the definition of 𝜙 𝑘 by setting
d
𝜙 𝑘 (𝑥, 𝑧) = 𝜙 𝑘 (𝑥, 𝑘) + 𝜙 𝑘 (𝑥, 𝑘−) (𝑧 − 𝑘), 𝑥 ∈ 𝐸, 𝑧 > 𝑘.
d𝑧
Since 𝑧 ↦→ 𝜙 𝑘 (𝑥, 𝑧) is a convex function, we have −𝜙 𝑘 (𝑥, 𝑧) ≤ 𝐵𝑧 for all 𝑧 ≥ 0.
Then the convergence of 𝑣 𝑘 (𝑡, 𝑥, 𝑓 ) is true by Proposition 2.16. The convergence of
𝑢 𝑘 (𝑡, 𝑥, 𝑓 ) follows by the relation (4.14). □
Let 𝜇 ∈ 𝑀 (𝐸) and let Q (𝑘)

( 𝜇)
denote the conditional law given that 𝑌𝑘 (0) = 𝑘 𝑋 𝑘 (0)
is a Poisson random measure on 𝐸 with intensity 𝑘 𝜇. By (4.13) and Theorem 1.26
it is not hard to show that
Q (𝑘)

( 𝜇)
exp − ⟨𝑋 𝑘 (𝑡), 𝑓 ⟩ = exp − ⟨𝜇, 𝑣 𝑘 (𝑡)⟩ . (4.20)
By Theorem 2.21 the solution of (4.19) defines a cumulant semigroup (𝑉𝑡 )𝑡 ≥0 .
Theorem 4.6 If Condition 4.2 is satisfied, then the finite-dimensional distributions of

{𝑋 𝑘 (𝑡) : 𝑡 ≥ 0} under Q (𝑘)
( 𝜇)
converge to those of the (𝜉, 𝜙)-superprocess {𝑋𝑡 : 𝑡 ≥ 0}
with initial value 𝑋0 = 𝜇.
Proof Let Q 𝜇 denote the conditional law of the (𝜉, 𝜙)-superprocess {𝑋𝑡 : 𝑡 ≥ 0}
given 𝑋0 = 𝜇. To get the desired convergence of the finite-dimensional distributions
of {𝑋 𝑘 (𝑡) : 𝑡 ≥ 0} it suffices to prove
𝑛
n ∑︁ o 𝑛
n ∑︁ o
lim Q (𝑘)
( 𝜇)
exp − ⟨𝑋 𝑘 (𝑡 𝑖 ), 𝑓 𝑖 ⟩ = Q 𝜇 exp − ⟨𝑋 𝑡𝑖 , 𝑓 𝑖 ⟩ (4.21)
𝑘→∞
𝑖=1 𝑖=1
4.2 Scaling Limits of Local Branching Systems 107
for all {𝑡 1 < · · · < 𝑡 𝑛 } ⊂ [0, ∞) and { 𝑓1 , . . . , 𝑓𝑛 } ⊂ 𝐵(𝐸) + and use Theorem 1.25.
For 𝑛 = 1 this follows by Proposition 4.5. Now suppose (4.21) holds when 𝑛 is
replaced by 𝑛 − 1. For any 𝑛 ≥ 2 the Markov property of {𝑋 𝑘 (𝑡) : 𝑡 ≥ 0} implies that
𝑛
n ∑︁ o
Q (𝑘)
( 𝜇)
exp − ⟨𝑋 𝑘 (𝑡 𝑖 ), 𝑓 𝑖 ⟩
𝑖=1
𝑛−1
n ∑︁ o
= Q ((𝑘)
𝜇)
exp − ⟨𝑋 𝑘 (𝑡 𝑖 ), 𝑓 𝑖 ⟩ − ⟨𝑋 𝑘 (𝑡 𝑛−1 ), 𝑢 𝑘 (Δ𝑡 𝑛 )⟩ , (4.22)
𝑖=1
where Δ𝑡 𝑛 = 𝑡 𝑛 − 𝑡 𝑛−1 . Let 𝐵 ≥ 0 and 𝑏 𝑘 ∈ 𝐵(𝐸) be defined as in the proof of

Proposition 4.5. For 𝑓 ∈ 𝐵(𝐸) + one uses Proposition 4.1 and a property of the
Poisson random measure to see
Q (𝑘)
( 𝜇)
[⟨𝑋 𝑘 (𝑡), 𝑓 ⟩] = Q ((𝑘)
𝜇)
[⟨𝑌𝑘 (0), 𝑃𝑡𝑏𝑘 ( 𝑓 /𝑘)⟩] = ⟨𝜇, 𝑃𝑡𝑏𝑘 𝑓 ⟩ ≤ e 𝐵𝑡 ⟨𝜇, 𝑃𝑡 𝑓 ⟩.
It then follows that

h n ∑︁ 𝑛−1 o
Q (𝑘)

( 𝜇)
exp − ⟨𝑋 𝑘 (𝑡 𝑖 ), 𝑓 𝑖 ⟩ exp − ⟨𝑋 𝑘 (𝑡 𝑛−1 ), 𝑢 𝑘 (Δ𝑡 𝑛 )⟩
𝑖=1 i

− exp − ⟨𝑋 𝑘 (𝑡 𝑛−1 ), 𝑉Δ𝑡𝑛 𝑓𝑛 ⟩
hD Ei
≤ Q (𝑘)
( 𝜇)
𝑋 (𝑡
𝑘 𝑛−1 ), |𝑢 𝑘 (Δ𝑡 𝑛 ) − 𝑉 𝑓
Δ𝑡𝑛 𝑛 |
D E
𝐵𝑡𝑛−1
≤ e 𝜇, 𝑃𝑡𝑛−1 |𝑢 𝑘 (Δ𝑡 𝑛 ) − 𝑉Δ𝑡𝑛 𝑓𝑛 | .
By Proposition 4.5, the right-hand side goes to zero as 𝑘 → ∞. Since (4.21) holds
when 𝑛 is replaced by 𝑛 − 1, we have
𝑛
n ∑︁ o
lim Q (𝑘)
( 𝜇)
exp − ⟨𝑋 𝑘 (𝑡𝑖 ), 𝑓𝑖 ⟩
𝑘→∞
𝑖=1
𝑛−1
n ∑︁ o
= lim Q ((𝑘)
𝜇)
exp − ⟨𝑋 𝑘 (𝑡𝑖 ), 𝑓𝑖 ⟩ − ⟨𝑋 𝑘 (𝑡 𝑛−1 ), 𝑉Δ𝑡𝑛 𝑓𝑛 ⟩
𝑘→∞
𝑖=1
n 𝑛−1
∑︁ o
= Q 𝜇 exp − ⟨𝑋𝑡𝑖 , 𝑓𝑖 ⟩ − ⟨𝑋𝑡𝑛−1 , 𝑉Δ𝑡𝑛 𝑓𝑛 ⟩
𝑖=1
n 𝑛
∑︁ o
= Q 𝜇 exp − ⟨𝑋𝑡𝑖 , 𝑓𝑖 ⟩ ,
𝑖=1
so (4.21) follows by induction on 𝑛 ≥ 1. □
The above theorem gives the heuristical interpretations for the parameters of the
superprocess. That is, the process 𝜉 gives the law of migration of the “particles”
and 𝜙 arises from the branching rate and the generating function determining the
distribution of the offspring production.
In the remainder of this section, we consider the special case where (𝐸, 𝑑) is a
complete separable metric space. Let 𝐷 𝐸 := 𝐷 ([0, ∞), 𝐸) be the space of càdlàg
paths from [0, ∞) to 𝐸. We fix a metric 𝑞 on 𝐷 𝐸 for the Skorokhod topology.
By definition, a stopped path is a pair (𝑤, 𝑧), where 𝑧 ≥ 0 and 𝑤 ∈ 𝐷 𝐸 satisfies
𝑤(𝑡) = 𝑤(𝑡 ∧ 𝑧) for all 𝑡 ≥ 0. Let 𝑆 be the set of all stopped paths and let 𝜌 be the
metric on 𝑆 defined by
𝜌((𝑤 1 , 𝑧1 ), (𝑤 2 , 𝑧2 )) = |𝑧1 − 𝑧 2 | + 𝑞(𝑤 1 , 𝑤 2 ).
Then (𝑆, 𝜌) is a complete separable metric space. Let 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) be a

càdlàg Borel right process in 𝐸 satisfying:
Condition 4.7 For every 𝜀 > 0 we have

n o
lim sup P 𝑥 sup 𝑑 (𝑥, 𝜉 𝑠 ) ≥ 𝜀 = 0.
𝑡→0 𝑥 ∈𝐸 0≤𝑠 ≤𝑡
Let (𝑢, 𝑦) ∈ 𝑆 and let 𝑏 ≥ 𝑎 ≥ 0 be constants satisfying 𝑎 ≤ 𝑦. With those pa-

rameters we define a probability measure 𝑅 𝑎,𝑏 ((𝑢, 𝑦), d(𝑤, 𝑧)) on 𝑆 by the following
prescriptions:
(1) 𝑅 𝑎,𝑏 ((𝑢, 𝑦), d(𝑤, 𝑧))-a.s. 𝑧 = 𝑏 and 𝑤(𝑡) = 𝑢(𝑡) for 0 ≤ 𝑡 ≤ 𝑎;
(2) the law of {𝑤(𝑎 + 𝑡) : 0 ≤ 𝑡 ≤ 𝑏 − 𝑎} under 𝑅 𝑎,𝑏 ((𝑢, 𝑦), d(𝑤, 𝑧)) coincides with
that of {𝜉𝑡 : 0 ≤ 𝑡 ≤ 𝑏 − 𝑎} under P𝑢(𝑎) .
For 𝑠 > 0 and 𝑦 ≥ 0 let 𝛽 = {𝛽𝑡 : 𝑡 ≥ 0} be a reflecting standard Brownian motion
starting at 𝛽0 = 𝑦 and let 𝛾𝑠 (d𝑎, d𝑏) be the distribution of (inf 0≤𝑟 ≤𝑠 𝛽𝑟 , 𝛽𝑠 ) on R+2 .
𝑦
The reflection principle gives that
(𝑦 + 𝑏 − 2𝑎) 2

𝑦 2(𝑦 + 𝑏 − 2𝑎)
𝛾𝑠 (d𝑎, d𝑏) = √ exp − 1 {0<𝑎<𝑏∧𝑦 } d𝑎d𝑏
2𝜋𝑠3 2𝑠
(𝑦 + 𝑏) 2

2
+√ exp − 1 {0<𝑏 } 𝛿0 (d𝑎)d𝑏.
2𝜋𝑠 2𝑠
A Markov process with state space 𝑆 is called a 𝜉-Brownian snake if it has transition
semigroup (𝑄 𝑠 ) 𝑠 ≥0 defined by
∫
𝑦
𝑄 𝑠 ((𝑢, 𝑦), d(𝑤, 𝑧)) = 𝛾𝑠 (d𝑎, d𝑏)𝑅 𝑎,𝑏 ((𝑢, 𝑦), d(𝑤, 𝑧)). (4.23)
R2+
The semigroup property of (𝑄 𝑠 ) 𝑠 ≥0 follows from the Markov properties of the

processes 𝛽 and 𝜉. Suppose that {(𝜂 𝑠 , 𝜁 𝑠 ) : 𝑠 ≥ 0} is a realization of the
𝜉-Brownian snake. Then, heuristically, the process {𝜂 𝑠 (𝑡) : 𝑡 ≥ 0} is a realization of
{𝜉𝑡∧𝜁𝑠 : 𝑡 ≥ 0} ending at time 𝜁 𝑠 ≥ 0. The ending time {𝜁 𝑠 : 𝑠 ≥ 0} evolves as
a reflecting Brownian. When 𝜁 𝑠 decreases, the path {𝜂 𝑠 (𝑡) : 0 ≤ 𝑡 ≤ 𝜁 𝑠 } is erased
from its final point, and when 𝜁 𝑠 increases this path is extended according to the law
of 𝜉.
4.3 General Branching Particle Systems 109
Example 4.1 Let 𝑥 ∈ 𝐸 and {(𝜂 𝑠 , 𝜁 𝑠 ) : 𝑠 ≥ 0} be a 𝜉-Brownian snake started with

(𝑤 0 , 0), where 𝑤 0 (𝑡) = 𝑥 for all 𝑡 ≥ 0. Then 𝜂 𝑠 (0) = 𝑥 for all 𝑠 ≥ 0 and {𝜁 𝑠 : 𝑠 ≥ 0}
is a reflecting Brownian motion with 𝜁0 = 0. Using Condition 4.7 it is easy to
show 𝑠 ↦→ (𝜂 𝑠 , 𝜁 𝑠 ) is right continuous in probability at 𝑠 = 0. Then the process
{(𝜂 𝑠 , 𝜁 𝑠 ) : 𝑠 ≥ 0} is continuous in probability by Lemma 1 of Le Gall (1999, p. 56).
Let {2𝑙 𝑠 (𝑦) : 𝑠 ≥ 0, 𝑦 ≥ 0} be the local time of {𝜁 𝑠 : 𝑠 ≥ 0}. For any 𝑢 ≥ 0 let
𝜎(𝑢) = inf{𝑠 ≥ 0 : 𝑙 𝑠 (0) ≥ 𝑢}.
For 𝑘 ≥ 1 let [𝑎 1 (𝑡), 𝑏 1 (𝑡)], . . ., [𝑎 𝑛𝑡 (𝑡), 𝑏 𝑛𝑡 (𝑡)] be the excursion intervals of the
stopped path {𝜁 𝑠 : 0 ≤ 𝑠 ≤ 𝜎(𝑢)} above 𝑡 ≥ 0 with height > 1/𝑘. This means that
[𝑎 𝑖 (𝑡), 𝑏 𝑖 (𝑡)] ⊂ [0, 𝜎(𝑢)], 𝜁 𝑎𝑖 (𝑡) = 𝜁 𝑏𝑖 (𝑡) = 𝑡, 𝜁 𝑠 > 𝑡 for 𝑎 𝑖 (𝑡) < 𝑠 < 𝑏 𝑖 (𝑡) and
sup{𝜁 𝑠 : 𝑎 𝑖 (𝑡) < 𝑠 < 𝑏 𝑖 (𝑡)} > 𝑡 + 1/𝑘.
By an observation of Le Gall (1993), the measure-valued process

𝑛𝑡
∑︁
𝑌𝑘 (𝑡) = 𝛿 𝜂𝑎𝑖 (𝑡 ) (𝑡) , 𝑡≥0
𝑖=1
is a branching particle system with parameters (𝜉, 𝑔, 2𝑘) in the sense of Section 4.1,
where 𝑔(𝑧) = 1/2 + 𝑧 2 /2. Note that 𝑛0 is a Poisson random variable with mean 𝑘𝑢
by Itô’s excursion theory. Then the continuity in probability of the process 𝑠 ↦→ 𝜂 𝑠
and the approximation of the Brownian local time by upcrossing numbers imply
𝑘 −1𝑌𝑘 (𝑡) → 𝑋𝑡 as 𝑘 → ∞ for a random measure 𝑋𝑡 on 𝐸 defined by
∫ 𝜎 (𝑢)
𝑋𝑡 ( 𝑓 ) = 𝑓 (𝜂 𝑠 (𝑡))d𝑙 𝑠 (𝑡), 𝑓 ∈ 𝐵(𝐸), (4.24)
0
where d𝑙 𝑠 (𝑡) denotes the integration with respect to the increasing function 𝑠 ↦→ 𝑙 𝑠 (𝑡).
By Theorem 4.6 we conclude {𝑋𝑡 : 𝑡 ≥ 0} is a Dawson–Watanabe superprocess
with spatial motion 𝜉 and binary local branching mechanism 𝜙(𝑧) = 𝑧 2 . This gives
a representation of the superprocess in terms of the 𝜉-Brownian snake. When 𝐸 is a
singleton, the representation reduces to the first result of Theorem 3.53.
4.3 General Branching Particle Systems
In this section, we consider a model of branching particle systems that generalizes the
system introduced in Section 4.1. The high-density limits of these systems will lead
to Dawson–Watanabe superprocesses with decomposable branching mechanisms.
Let 𝐸 be a Lusin topological space and let 𝑁 (𝐸) denote the space of integer-valued
finite measures on 𝐸. Let 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) be a Borel right process with state
space 𝐸 and conservative transition semigroup (𝑃𝑡 )𝑡 ≥0 . We assume the sample path
{𝜉𝑡 : 𝑡 ≥ 0} is right continuous in both the original and the Ray topologies and has
¯ Let {𝐾 (𝑡) : 𝑡 ≥ 0} be a
left limits {𝜉𝑡− : 𝑡 > 0} in the Ray–Knight completion 𝐸.
continuous admissible additive functional of 𝜉. Let 𝛼 ∈ 𝐵(𝐸) + and let 𝐹 (𝑥, d𝜈) be
a Markov kernel from 𝐸 to 𝑁 (𝐸) such that
∫
sup 𝜈(1)𝐹 (𝑥, d𝜈) < ∞. (4.25)
𝑥 ∈𝐸 𝑁 (𝐸)
For 𝑥 ∈ 𝐸¯ \ 𝐸 let 𝐹 (𝑥, d𝜈) be the unit mass at 𝛿 𝑥 . A general branching particle
system is characterized by the following properties:
(1) The particles in 𝐸 move independently according to the law given by the transi-
tion probabilities of 𝜉.
(2) For a particle which is alive at time 𝑟 ≥ 0 and follows the path {𝜉 𝑠 :
𝑠 ≥ 𝑟 },∫ 𝑡 the conditional probability of survival in the time interval [𝑟, 𝑡) is
exp{− 𝑟 𝛼(𝜉 𝑠 )𝐾 (d𝑠)}.
(3) When a particle following the path {𝜉 𝑠 : 𝑠 ≥ 𝑟 } dies at time 𝑡 > 𝑟, it gives
birth to a random number of offspring in 𝐸 according to the probability kernel
𝐹 (𝜉𝑡− , d𝜈). The offspring then start to move from their birth places.
We also assume that the lifetimes and the branchings of different particles are
independent. Let 𝑋𝑡 (𝐵) denote the number of particles in 𝐵 ∈ ℬ(𝐸) that are alive
at time 𝑡 ≥ 0. If we assume 𝑋0 (𝐸) < ∞, then {𝑋𝑡 : 𝑡 ≥ 0} is a Markov process with
state space 𝑁 (𝐸), which will be referred to as the general branching particle system
with parameters (𝜉, 𝐾, 𝛼, 𝐹). We are not going to give the rigorous construction of
the general branching system, which involves the same ideas as the construction in
Section 4.1 but is considerably more complicated.
Let 𝜎 ∈ 𝑁 (𝐸) and let {𝑋𝑡𝜎 : 𝑡 ≥ 0} be a general branching particle system with
parameters (𝜉, 𝐾, 𝛼, 𝐹) and initial state 𝑋0 = 𝜎. Suppose that the process is defined
on the probability space (𝑊, 𝒢, P). The above properties imply
P exp{−𝑋𝑡𝜎 ( 𝑓 )} = exp{−𝜎(𝑢 𝑡 )}, 𝑓 ∈ 𝐵(𝐸) + , (4.26)
where 𝑢 𝑡 (𝑥) ≡ 𝑢 𝑡 (𝑥, 𝑓 ) is determined by the renewal equation

n ∫ 𝑡 o
−𝑢𝑡 ( 𝑥)
e = P 𝑥 exp − 𝑓 (𝜉𝑡 ) − 𝛼(𝜉 𝑠 )𝐾 (d𝑠)
∫ 𝑡 ∫ 0 ∫
𝑠
− 0 𝛼( 𝜉𝑟 ) 𝐾 (d𝑟) −𝜈 (𝑢𝑡−𝑠 )
+ P𝑥 e 𝛼(𝜉 𝑠 )𝐾 (d𝑠) e 𝐹 (𝜉 𝑠 , d𝜈) .
0 𝑁 (𝐸)
This equation is derived by arguments similar to those used for (4.5). By Proposi-
tion 2.9 the above equation implies
∫ 𝑡
−𝑢𝑡 ( 𝑥) − 𝑓 ( 𝜉𝑡 ) −𝑢𝑡−𝑠 ( 𝜉𝑠 )
e = P𝑥 e − P𝑥 𝛼(𝜉 𝑠 )e 𝐾 (d𝑠)
∫ 𝑡 0 ∫
+ P𝑥 𝛼(𝜉 𝑠 )𝐾 (d𝑠) e−𝜈 (𝑢𝑡−𝑠 ) 𝐹 (𝜉 𝑠 , d𝜈) . (4.27)
0 𝑁 (𝐸)
4.3 General Branching Particle Systems 111
For the general branching particle system, it is natural to treat separately from
others the offspring that start their migration from the death sites of their parents.
To this end, we need to introduce some additional parameters as follows. Let 𝑔 ∈
𝐵(𝐸 × [−1, 1]) be such that for each 𝑥 ∈ 𝐸,
∞
∑︁
𝑔(𝑥, 𝑧) = 𝑝 𝑖 (𝑥)𝑧𝑖 , |𝑧| ≤ 1,
𝑖=0
is a probability generating function with sup 𝑥 𝑔 𝑧′ (𝑥, 1−) < ∞. Recall that 𝑃(𝐸)
denotes the space of probability measures on 𝐸. Let 𝐺 (𝑥, d𝜋) be a probability
kernel from 𝐸 to 𝑃(𝐸) and let ℎ ∈ 𝐵(𝐸 × 𝑃(𝐸) × [−1, 1]) be such that for each
(𝑥, 𝜋) ∈ 𝐸 × 𝑃(𝐸),
∞
∑︁
ℎ(𝑥, 𝜋, 𝑧) = 𝑞 𝑖 (𝑥, 𝜋)𝑧𝑖 , |𝑧| ≤ 1,
𝑖=0
is a probability generating function with sup 𝑥, 𝜋 ℎ ′𝑧 (𝑥, 𝜋, 1−) < ∞. Now we can
define the probability kernels 𝐹0 (𝑥, d𝜈) and 𝐹1 (𝑥, d𝜈) from 𝐸 to 𝑁 (𝐸) by
∫ ∞
∑︁
e−𝜈 ( 𝑓 ) 𝐹0 (𝑥, d𝜈) = 𝑝 𝑖 (𝑥)e−𝑖 𝑓 ( 𝑥) = 𝑔 𝑥, e− 𝑓 ( 𝑥)

𝑁 (𝐸) 𝑖=0
and
∫ ∫
−𝜈 ( 𝑓 )
ℎ 𝑥, 𝜋, 𝜋(e− 𝑓 ) 𝐺 (𝑥, d𝜋).

e 𝐹1 (𝑥, d𝜈) =
𝑁 (𝐸) 𝑃 (𝐸)
Suppose we have the decomposition 𝛼(𝑥) = 𝛾(𝑥) + 𝜌(𝑥) for 𝛾, 𝜌 ∈ 𝐵(𝐸) + . Let
1
𝐹 (𝑥, d𝜈) = 𝛾(𝑥)𝐹0 (𝑥, d𝜈) + 𝜌(𝑥)𝐹1 (𝑥, d𝜈) (4.28)
𝛼(𝑥)
if 𝛼(𝑥) > 0 and let 𝐹 (𝑥, d𝜈) = 𝐹0 (𝑥, d𝜈) if 𝛼(𝑥) = 0. For the kernel 𝐹 (𝑥, d𝜈) given
by (4.28), the general branching particle system is determined by the parameters
(𝜉, 𝐾, 𝛾, 𝑔, 𝜌, ℎ, 𝐺). Intuitively, as a particle dies at 𝑥 ∈ 𝐸, the branching is of local
type with probability 𝛾(𝑥)/𝛼(𝑥) and is of non-local type with probability 𝜌(𝑥)/𝛼(𝑥).
If the local branching type is chosen, the particle gives birth to a number of offspring
at its death site 𝑥 according to the distribution {𝑝 𝑖 (𝑥)}. If non-local branching
occurs, an offspring-location-distribution 𝜋 ∈ 𝑃(𝐸) is first selected according to
the probability kernel 𝐺 (𝑥, d𝜋), the particle then gives birth to a random number
of offspring according to the distribution {𝑞 𝑖 (𝑥, 𝜋)}, and those offspring choose
their locations in 𝐸 independently of each other according to the distribution 𝜋(d𝑦).
Therefore the locations of non-locally displaced offspring involve two sources of
randomness. From (4.27) and (4.28) we obtain
∫ 𝑡
−𝑢𝑡 ( 𝑥) − 𝑓 ( 𝜉𝑡 ) −𝑢𝑡−𝑠 ( 𝜉𝑠 )
e = P𝑥 e 𝛼(𝜉 𝑠 )e
− P𝑥 𝐾 (d𝑠)
∫ ∫ 0
𝑡
ℎ 𝜉 𝑠 , 𝜋, 𝜋(e−𝑢𝑡−𝑠 ) 𝐺 (𝜉 𝑠 , d𝜋)

+ P𝑥 𝜌(𝜉 𝑠 )𝐾 (d𝑠)
∫0 𝑡 𝑃 (𝐸)
−𝑢𝑡−𝑠 ( 𝜉𝑠 )
+ P𝑥 𝛾(𝜉 𝑠 )𝑔(𝜉 𝑠 , e )𝐾 (d𝑠) .
0
Setting 𝑣(𝑡, 𝑥) = 1 − exp{−𝑢 𝑡 (𝑥)} we have

∫ 𝑡
𝑣(𝑡, 𝑥) = P 𝑥 1 − e− 𝑓 ( 𝜉𝑡 ) − P 𝑥

𝛼(𝜉 𝑠 )𝑣(𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠)
∫ 𝑡 ∫ 0
−𝑢𝑡−𝑠

+ P𝑥 𝜌(𝜉 𝑠 ) 1 − ℎ(𝜉 𝑠 , 𝜋, 𝜋(e )) 𝐺 (𝜉 𝑠 , d𝜋)𝐾 (d𝑠)
∫0 𝑡 𝑃 (𝐸)
𝛾(𝜉 𝑠 ) 𝑔(𝜉 𝑠 , e−𝑢𝑡−𝑠 ( 𝜉𝑠 ) ) − 1 𝐾 (d𝑠) .

− P𝑥
0
Then (𝑡, 𝑥) ↦→ 𝑣(𝑡, 𝑥) solves the equation

∫ 𝑡
− 𝑓 ( 𝜉𝑡 )

𝑣(𝑡, 𝑥) = P 𝑥 1 − e − P𝑥 𝜌(𝜉 𝑠 )𝑣(𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠)
∫ 𝑡 0
− P𝑥 𝜙(𝜉 𝑠 , 𝑣(𝑡 − 𝑠, 𝜉 𝑠 ))𝐾 (d𝑠)
∫0 𝑡
+ P𝑥 𝜌(𝜉 𝑠 )𝜓(𝜉 𝑠 , 𝑣(𝑡 − 𝑠))𝐾 (d𝑠) , (4.29)
0
where
𝜙(𝑥, 𝑧) = 𝛾(𝑥) [𝑔(𝑥, 1 − 𝑧) − (1 − 𝑧)]
and
∫
𝜓(𝑥, 𝑓 ) = [1 − ℎ(𝑥, 𝜋, 1 − 𝜋( 𝑓 ))]𝐺 (𝑥, d𝜋).
𝑃 (𝐸)
The uniqueness of the solution of (4.29) follows by a standard application of Gron-

wall’s inequality.
4.4 Scaling Limits of General Branching Systems
In this section, we prove that a Dawson–Watanabe superprocess with local and

non-local branching mechanisms arises as the small particle limit of a sequence of
the general branching particle systems introduced in Section 4.3. The arguments
are similar to those used in the local branching case. For each integer 𝑘 ≥ 1, let
{𝑌𝑘 (𝑡) : 𝑡 ≥ 0} be a sequence of general branching particle systems determined by
4.4 Scaling Limits of General Branching Systems 113
the parameters (𝜉, 𝐾, 𝛾 𝑘 , 𝑔 𝑘 , 𝜌 𝑘 , ℎ 𝑘 , 𝐺). Recall that 𝑁 𝑘 (𝐸) = {𝑘 −1 𝜈 : 𝜈 ∈ 𝑁 (𝐸)}.

Let 𝑋 𝑘 (𝑡) = 𝑘 −1𝑌𝑘 (𝑡) for 𝑡 ≥ 0. Then {𝑋 𝑘 (𝑡) : 𝑡 ≥ 0} is a Markov process in 𝑁 𝑘 (𝐸).
For 0 ≤ 𝑧 ≤ 𝑘 let
𝜙 𝑘 (𝑥, 𝑧) = 𝑘𝛾 𝑘 (𝑥) [𝑔 𝑘 (𝑥, 1 − 𝑧/𝑘) − (1 − 𝑧/𝑘)] (4.30)
and
𝜁 𝑘 (𝑥, 𝜋, 𝑧) = 𝑘 [1 − ℎ 𝑘 (𝑥, 𝜋, 1 − 𝑧/𝑘)]. (4.31)
For 𝑓 ∈ 𝐵(𝐸) + let

∫
𝜓 𝑘 (𝑥, 𝑓 ) = 𝜁 𝑘 (𝑥, 𝜋, 𝜋( 𝑓 ))𝐺 (𝑥, d𝜋), (4.32)
𝑃 (𝐸)
which makes sense when 𝑘 ≥ 1 is sufficiently large. Let Q𝜈(𝑘) denote the conditional
law given 𝑋 𝑘 (0) = 𝜈 ∈ 𝑁 𝑘 (𝐸). By (4.26) for any 𝑓 ∈ 𝐵(𝐸) + we have
Q𝜈(𝑘) exp − ⟨𝑋 𝑘 (𝑡), 𝑓 ⟩ = exp − ⟨𝜈, 𝑢 𝑘 (𝑡)⟩ ,

(4.33)
where 𝑢 𝑘 (𝑡, 𝑥) is determined by
𝑣 𝑘 (𝑡, 𝑥) = 𝑘 [1 − exp{−𝑢 𝑘 (𝑡, 𝑥)/𝑘 }]
and
∫ 𝑡
− 𝑓 ( 𝜉𝑡 )/𝑘

𝑣 𝑘 (𝑡, 𝑥) = P 𝑥 𝑘 1 − e − P𝑥 𝜌 𝑘 (𝜉 𝑠 )𝑣 𝑘 (𝑡 − 𝑠, 𝜉 𝑠 )𝐾 (d𝑠)
∫ 𝑡 0
− P𝑥 𝜙 𝑘 (𝜉 𝑠 , 𝑣 𝑘 (𝑡 − 𝑠, 𝜉 𝑠 ))𝐾 (d𝑠)
∫0 𝑡
+ P𝑥 𝜌 𝑘 (𝜉 𝑠 )𝜓 𝑘 (𝜉 𝑠 , 𝑣 𝑘 (𝑡 − 𝑠))𝐾 (d𝑠) . (4.34)
0
For convenience of statement of the results in this section, we formulate the following
conditions:
Condition 4.8 For each 𝑎 ≥ 0 the sequence {𝜙 𝑘 (𝑥, 𝑧)} is Lipschitz with respect
to 𝑧 uniformly on 𝐸 × [0, 𝑎] and 𝜙 𝑘 (𝑥, 𝑧) converges to some 𝜙(𝑥, 𝑧) uniformly on
𝐸 × [0, 𝑎] as 𝑘 → ∞.
Condition 4.9 For each 𝑘 ≥ 1 we have (d/d𝑧)ℎ 𝑘 (𝑥, 𝜋, 1−) ≤ 1 uniformly on 𝐸 ×

𝑃(𝐸).
Condition 4.10 For each 𝑎 ≥ 0 the sequence 𝜁 𝑘 (𝑥, 𝜋, 𝑧) converges to some 𝜁 (𝑥, 𝜋, 𝑧)
uniformly on 𝐸 × 𝑃(𝐸) × [0, 𝑎] as 𝑘 → ∞.
Under Condition 4.8, one can see as in the proof of Proposition 4.3 that 𝜙(𝑥, 𝑧)
has the representation (2.49).
Proposition 4.11 If Conditions 4.9 and 4.10 hold, then 𝜁 (𝑥, 𝜋, 𝑧) has the represen-
tation
∫ ∞
𝜁 (𝑥, 𝜋, 𝑧) = 𝛽(𝑥, 𝜋)𝑧 + (1 − e−𝑧𝑢 )𝑛(𝑥, 𝜋, d𝑢), (4.35)
0
where 𝛽 ∈ 𝐵(𝐸 × 𝑃(𝐸)) + and 𝑢𝑛(𝑥, 𝜋, d𝑢) is a bounded kernel from 𝐸 × 𝑃(𝐸) to
(0, ∞) satisfying
∫ ∞
𝛽(𝑥, 𝜋) + 𝑢𝑛(𝑥, 𝜋, d𝑢) ≤ 1, 𝑥 ∈ 𝐸, 𝜋 ∈ 𝑃(𝐸). (4.36)
0
Proof We first apply Theorem 1.46 for fixed (𝑥, 𝜋) ∈ 𝐸 × 𝑃(𝐸) to get the repre-
sentation (4.35), where 𝛽(𝑥, 𝜋) ≥ 0 is a constant and (1 ∧ 𝑢)𝑛(𝑥, 𝜋, d𝑢) is a finite
measure on (0, ∞). From Condition 4.9 we have
d d
𝜁 𝑘 (𝑥, 𝜋, 𝑧) = ℎ 𝑘 (𝑥, 𝜋, 1 − 𝑧/𝑘) ≤ 1,
d𝑧 d𝑧
and hence 𝜁 𝑘 (𝑥, 𝜋, 𝑧) ≤ 𝑧 for 0 ≤ 𝑧 ≤ 𝑘. It then follows that 𝜁 (𝑥, 𝜋, 𝑧) ≤ 𝑧 for all
𝑧 ≥ 0. Therefore
∫ ∞
d
𝛽(𝑥, 𝜋) + 𝑢𝑛(𝑥, 𝜋, d𝑢) = 𝜁 (𝑥, 𝜋, 0+) ≤ 1
0 d𝑧
uniformly on 𝐸 ×𝑃(𝐸). As in the proof of Proposition 4.3 one sees 𝛽 ∈ 𝐵(𝐸 ×𝑃(𝐸)) +
and 𝑛(𝑥, 𝜋, d𝑢) is a kernel from 𝐸 × 𝑃(𝐸) to (0, ∞). □
Proposition 4.12 To each function 𝜁 (𝑥, 𝜋, 𝑧) given by (4.35) and (4.36) there corre-
sponds a sequence {𝜁 𝑘 (𝑥, 𝜋, 𝑧)} in the form (4.31) such that Conditions 4.9 and 4.10
are satisfied.
Proof We can give a direct construction of the sequence as in the proof of Proposi-
tion 4.4. For (𝑥, 𝜋, 𝑧) ∈ 𝐸 × 𝑃(𝐸) × [−1, 1] and 𝑘 ≥ 1 set
1 ∞ 𝑘𝑢(𝑧−1)
∫
ℎ 𝑘 (𝑥, 𝜋, 𝑧) = 1 + 𝛽(𝑥, 𝜋) (𝑧 − 1) + (e − 1)𝑛(𝑥, 𝜋, d𝑢).
𝑘 0
Clearly, the function 𝑧 ↦→ ℎ 𝑘 (𝑥, 𝜋, 𝑧) is analytic in (−1, 1) and ℎ 𝑘 (𝑥, 𝜋, 1) = 1.

Observe also that
∫ ∞
ℎ 𝑘 (𝑥, 𝜋, 0) ≥ 1 − 𝛽(𝑥, 𝜋) − 𝑢𝑛(𝑥, 𝜋, d𝑢) ≥ 0
0
and
d𝑖
ℎ 𝑘 (𝑥, 𝜋, 0) ≥ 0, 𝑖 = 1, 2, . . . .
d𝑧𝑖
4.4 Scaling Limits of General Branching Systems 115
Therefore ℎ 𝑘 (𝑥, 𝜋, ·) is a probability generating function. Let 𝜁 𝑘 (𝑥, 𝜋, 𝑧) be defined

by (4.31). Then 𝜁 𝑘 (𝑥, 𝜋, 𝑧) = 𝜁 (𝑥, 𝜋, 𝑧) for 0 ≤ 𝑧 ≤ 𝑘. □
Proposition 4.13 Suppose 𝜁 (𝑥, 𝜋, 𝑧) is given by (4.35) and (4.36) and 𝐺 (𝑥, d𝜋) is a
probability kernel from 𝐸 to 𝑃(𝐸). Let
∫
𝜓(𝑥, 𝑓 ) = 𝜁 (𝑥, 𝜋, 𝜋( 𝑓 ))𝐺 (𝑥, d𝜋), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸) + . (4.37)
𝑃 (𝐸)
Then 𝜓(𝑥, 𝑓 ) admits the representation (2.21) with

∫
𝜌(𝑥, 1) + 𝜈(1)𝑅(𝑥, d𝜈) ≤ 1, 𝑥 ∈ 𝐸. (4.38)
𝑀 (𝐸) ◦
Proof We get (2.21) from (4.35) and (4.37) by changing the variables of integration.
The boundedness (4.38) follows from (4.36). □
Let 𝜇 ∈ 𝑀 (𝐸) and let Q (𝑘)
( 𝜇)
denote the conditional law given that 𝑌𝑘 (0) = 𝑘 𝑋 𝑘 (0)
is a Poisson random measure on 𝐸 with intensity 𝑘 𝜇. From (4.33) and Theorem 1.26
we get
Q (𝑘)

( 𝜇)
exp − ⟨𝑋 𝑘 (𝑡), 𝑓 ⟩ = exp − ⟨𝜇, 𝑣 𝑘 (𝑡)⟩ . (4.39)
By modifications of the arguments in Section 4.2 we have:

Proposition 4.14 Suppose that 𝜌 𝑘 → 𝜌 ∈ 𝐵(𝐸) + in the supremum norm and Con-
ditions 4.8, 4.9 and 4.10 are satisfied. Then for each 𝑎 ≥ 0 both 𝑣 𝑘 (𝑡, 𝑥, 𝑓 ) and
𝑢 𝑘 (𝑡, 𝑥, 𝑓 ) converge uniformly on the set [0, 𝑎] × 𝐸 × 𝐵 𝑎 (𝐸) + of (𝑡, 𝑥, 𝑓 ) to the
unique locally bounded positive solution (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) of the evolution equation
∫ 𝑡
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − P 𝑥 𝜌(𝜉 𝑠 )𝑉𝑡−𝑠 𝑓 (𝜉 𝑠 )𝐾 (d𝑠)
∫ 𝑡 0
− P𝑥 𝜙(𝜉 𝑠 , 𝑉𝑡−𝑠 𝑓 (𝜉 𝑠 ))𝐾 (d𝑠)
∫0 𝑡
+ P𝑥 𝜌(𝜉 𝑠 )𝜓(𝜉 𝑠 , 𝑉𝑡−𝑠 𝑓 )𝐾 (d𝑠) . (4.40)
0
Moreover, the operators (𝑉𝑡 )𝑡 ≥0 constitute a cumulant semigroup.

Theorem 4.15 Suppose that 𝜌 𝑘 → 𝜌 ∈ 𝐵(𝐸) + in the supremum norm and Con-
ditions 4.8, 4.9 and 4.10 are satisfied. Then the finite-dimensional distributions of
{𝑋 𝑘 (𝑡) : 𝑡 ≥ 0} under Q (𝑘)
( 𝜇)
converge to those of a Dawson–Watanabe superprocess
{𝑋𝑡 : 𝑡 ≥ 0} with initial state 𝑋0 = 𝜇 and with cumulant semigroup given by (4.40).
The Dawson–Watanabe superprocess with cumulant semigroup given by (4.40)
has local branching mechanism (𝑥, 𝑧) ↦→ 𝜌(𝑥)𝑧 + 𝜙(𝑥, 𝑧) and non-local branching
mechanism (𝑥, 𝑓 ) ↦→ 𝜌(𝑥)𝜓(𝑥, 𝑓 ). Note that conditions (4.36) and (4.38) actually
put no restriction on the non-local branching mechanism because of the multiplying
factor 𝜌(𝑥). Heuristically, the local branching mechanism describes the death and
birth of particles at 𝑥 ∈ 𝐸 and 𝜁 (𝑥, 𝜋, ·) describes the birth of particles at 𝑥 ∈ 𝐸
that are displaced into 𝐸 following the distribution 𝜋 ∈ 𝑃(𝐸), which is selected
according to the kernel 𝐺 (𝑥, d𝜋). More specifically, we can explain the non-local
branching mechanisms given by (2.51) and (2.52) as follows. In the first case, the
non-locally displaced offspring born at 𝑥 ∈ 𝐸 are produced according to 𝜁 (𝑥, ·) and
they choose their locations independently according to the distribution 𝜋(𝑥, d𝑦). In
the second case, once a particle dies at 𝑥 ∈ 𝐸, a point 𝑦 ∈ 𝐸 is first chosen following
the distribution 𝜋(𝑥, d𝑦) and then the non-locally displaced offspring are produced
at this point according to the law given by 𝜁 (𝑥, 𝑦, ·).
Example 4.2 If there is a 𝑐 ∈ 𝐵(𝐸) + such that 𝛾 𝑘 (𝑥) = 𝑘𝑐(𝑥) and 𝑔 𝑘 (𝑥, 𝑧) =
(1 + 𝑧2 )/2, then from (4.30) we have 𝜙 𝑘 (𝑥, 𝑧) = 𝑐(𝑥)𝑧2 /2, which gives a binary local
branching mechanism for the corresponding superprocess.
The (𝜉, 𝐾, 𝜙)-superprocess with general branching mechanism given by (2.29)

or (2.30) also arises as the high-density limits of branching particle systems in
finite-dimensional distributions. We leave the considerations to the reader.
Silverstein (1968) proved an existence theorem for branching particle systems as

measure-valued processes. A different but equivalent formulation of branching sys-
tems was given in Ikeda et al. (1968a, 1968b, 1969). The construction given in
Section 4.1 follows that of Walsh (1986).
Watanabe (1968) established a rescaling limit theorem of discrete-time branching
particle systems, which gave a super-Brownian motion as the limit process. See also
Dawson (1975) and Ethier and Kurtz (1986, pp. 400–407). The main references
for this chapter are Dawson et al. (2002c) and Dynkin (1993a), where non-local
branching superprocesses were obtained. For a Hunt spatial motion process, one
can prove the weak convergence of the rescaled branching systems in the space
of càdlàg paths; see, e.g., Schied (1999). The construction of binary branching
superprocesses using Brownian snakes was originally given by Le Gall (1991).
The proof of (4.24) was given in Le Gall (1993) for a continuous spatial motion.
The idea of the representation is to code the genealogical trees of the population
by Brownian excursions and to construct the spatial motions by attaching to each
individual in the trees a path of the spatial motion process in such a way that the paths
of two individuals are the same up to the level corresponding to the generation of
their last common ancestor. A Brownian snake representation for catalytic branching
superprocesses was provided in Klenke (2003).
The super-Brownian motion also arises in limit theorems of other rescaled inter-
acting particle systems. For example, such limit theorems were proved for contact
processes in Durrett and Perkins (1999), for high-dimensional percolation in Hara
and Slade (2000) and van der Hofstad and Slade (2003), for voter models in Cox et
al. (2000), for interacting diffusions in Cox and Klenke (2003), for Lotka–Volterra
models in Cox and Perkins (2005, 2008) and for epidemic models in Lalley (2009).
See Slade (2002) for a nice introduction of the explorations in the subject. The
Donsker invariance principle is deeply involved in those results. Generally speaking,
if the relevant spatial transition kernel has finite variance, a super-Brownian motion
would arise as the limit process. He (2011) considered the case where the transi-
tion kernel is in the contraction domain of a stable law and obtained a super-stable
process in the limit. One motivation of the study is to use the limit theorems to
investigate the asymptotic properties of the approximating systems; see, e.g., Cox
and Perkins (2004, 2007). We refer the reader to the survey of Aldous (2010) on
continuum limits of discrete random structures, which is illustrated by the theory
of the Brownian continuum random tree as a limiting object of various models. For
general references of interacting particle systems, one may see Chen (2004), Durrett
(1995) and Liggett (1985, 1999).
Chapter 5
Basic Regularities of Superprocesses
In this chapter we prove some basic regularities of Dawson–Watanabe superpro-

cesses. The theory is developed here in the Borel right setting, which is particularly
suitable for the applications of various transformations. We shall see that if the un-
derlying spatial motion 𝜉 is a Borel right process, the (𝜉, 𝜙)-superprocess is a Borel
right process with quasi-left continuous natural filtration; and if 𝜉 is a Hunt process,
so is the superprocess. We give characterizations of the so-called occupation times.
Some useful upper and lower bounds for the cumulant semigroup are also proved.
5.1 Right Continuous Realizations
Suppose that 𝐸 is a Lusin topological space and 𝑑 is a metric for its topology so that
the 𝑑-completion of 𝐸 is compact. Let 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) be a conservative Borel
right process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and with resolvent (𝑈 𝛼 ) 𝛼>0
defined by (A.6). Let 𝜙 be a branching mechanism on 𝐸 given by (2.29) or (2.30)
and let (𝑄 𝑡 )𝑡 ≥0 denote the transition semigroup on 𝑀 (𝐸) of the (𝜉, 𝜙)-superprocess
defined by (2.35) and (2.36).
Let 𝒟 be a countable and uniformly dense subset of 𝐶𝑢 (𝐸) ++ and assume 1 ∈ 𝒟.
Let ℛ be the rational Ray cone for (𝑃𝑡 )𝑡 ≥0 constructed from 𝒟. We clearly have
ℛ \ {0} ⊂ 𝐵(𝐸) ++ . Note also that for each 𝑓 ∈ ℛ there is a constant 𝛼 = 𝛼( 𝑓 ) > 0
such that 𝑓 is an 𝛼-excessive function relative to (𝑃𝑡 )𝑡 ≥0 . Let 𝐸¯ be the Ray–Knight
completion of 𝐸 defined from ℛ. Then 𝐸¯ is a compact metric space and 𝐸 ∈ ℬ( 𝐸) ¯
by Proposition A.31. Let (𝑈¯ 𝛼 ) 𝛼>0 be the Ray extension of (𝑈 𝛼 ) 𝛼>0 . We denote the
Ray extension of (𝑃𝑡 )𝑡 ≥0 by ( 𝑃¯𝑡 )𝑡 ≥0 , which is a Borel semigroup on 𝐸.
¯
Let 𝐸 𝜌 denote the set 𝐸 furnished with the Ray topology inherited from 𝐸. ¯
Then each 𝑓 ∈ ℛ is uniformly continuous on 𝐸 𝜌 and admits a unique continuous
extension 𝑓¯ to 𝐸. ¯ Let ℛ̄ denote the class of those extensions. By Proposition A.28
the collection ℛ̄ − ℛ̄ := { 𝑓¯ − 𝑔¯ : 𝑓¯, 𝑔¯ ∈ ℛ̄} is uniformly dense in 𝐶 ( 𝐸). ¯ By
Proposition A.31 we have ℬ(𝐸 𝜌 ) = ℬ(𝐸). Let 𝐷 = {𝑥 ∈ 𝐸¯ : 𝑃¯0 (𝑥, ·) = 𝛿 𝑥 (·)}
and 𝐵 = {𝑥 ∈ 𝐸¯ : 𝑃¯0 (𝑥, ·) ≠ 𝛿 𝑥 (·)} denote respectively the sets of non-branch

120 5 Basic Regularities of Superprocesses
points and branch points for ( 𝑃¯𝑡 )𝑡 ≥0 . Clearly, we have 𝐷 ∈ ℬ( 𝐸) ¯ and 𝐷 ⊃ 𝐸. By

¯
Theorem A.24 the restriction of ( 𝑃𝑡 )𝑡 ≥0 to 𝐷 is a Borel right semigroup. We shall
use the same notation for the restriction. Since 𝐸¯ is a compact metric space, the
space 𝑀 ( 𝐸)¯ is locally compact, separable and metrizable. We fix a metric on 𝑀 ( 𝐸) ¯
compatible with its topology and regard 𝑀 (𝐸 𝜌 ) and 𝑀 (𝐷) as topological subspaces
¯ comprising measures supported by 𝐸 𝜌 and 𝐷, respectively.
of 𝑀 ( 𝐸)
We extend 𝑓 ↦→ 𝜙(·, 𝑓 ) to an operator 𝑓¯ ↦→ 𝜙(·, ¯ 𝑓¯) from 𝐵( 𝐸)
¯ + to 𝐵( 𝐸)
¯ by
setting 𝜙(𝑥, 𝑓 ) = 𝜙(𝑥, 𝑓 ) for 𝑥 ∈ 𝐸 and 𝜙(𝑥, 𝑓 ) = 0 for 𝑥 ∈ 𝐸 \ 𝐸, where 𝑓 = 𝑓¯| 𝐸
¯ ¯ ¯ ¯ ¯
is the restriction to 𝐸 of 𝑓¯ ∈ 𝐵( 𝐸) ¯ + . Then 𝜙¯ has the canonical representation (2.29)
with the parameters ( 𝑏, 𝑐, ¯ ¯
¯ 𝐻) defined in obvious ways. The construction of the
¯ 𝜂,
Dawson–Watanabe superprocess given by (2.35) and (2.36) certainly applies to the
restrictions of ( 𝑃¯𝑡 )𝑡 ≥0 and 𝜙¯ to 𝐷. We can even extend the construction to the space
¯ More precisely, for every 𝑓¯ ∈ 𝐵( 𝐸)
𝐸. ¯ + there is a unique locally bounded positive
¯ ¯
solution 𝑡 ↦→ 𝑉𝑡 𝑓 to the equation
∫ 𝑡 ∫
¯ ¯ ¯ ¯
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 ¯ 𝑉¯𝑠 𝑓¯) 𝑃¯𝑡−𝑠 (𝑥, d𝑦), 𝑡 ≥ 0, 𝑥 ∈ 𝐸,
𝜙(𝑦, ¯ (5.1)
0 𝐸¯
which defines a cumulant semigroup (𝑉¯𝑡 )𝑡 ≥0 with underlying space 𝐸. ¯ In fact,

¯
by Proposition A.23 for every 𝑡 ≥ 0 and every 𝑥 ∈ 𝐸 the probability measure
𝑃¯𝑡 (𝑥, ·) is supported by 𝐷, so we can first solve the equation on 𝐷 and then define
𝑉¯𝑡 𝑓¯(𝑥) = 𝑃¯0𝑉¯𝑡 𝑓¯(𝑥) for 𝑥 ∈ 𝐸. ¯ Thus the function 𝑉¯𝑡 𝑓¯ is actually independent of the
values of 𝑓 on 𝐸 \ 𝐷. Let (𝑄¯ 𝑡 )𝑡 ≥0 be the transition semigroup on 𝑀 ( 𝐸)
¯ ¯ ¯ defined
¯
by (2.3) from (𝑉𝑡 )𝑡 ≥0 . Then for every 𝑡 ≥ 0 and every 𝜇 ∈ 𝑀 ( 𝐸) the measure¯
𝑄¯ 𝑡 (𝜇, ·) = 𝑄¯ 𝑡 (𝜇 𝑃¯0 , ·) is carried by 𝑀 (𝐷). Since the restriction of ( 𝑃¯𝑡 )𝑡 ≥0 to 𝐷
is a Borel right semigroup, the restriction of ( 𝑄¯ 𝑡 )𝑡 ≥0 to 𝑀 (𝐷) is a normal Borel
transition semigroup. We denote this restriction by the same notation (𝑄¯ 𝑡 )𝑡 ≥0 . Note
also that the restriction of (𝑄¯ 𝑡 )𝑡 ≥0 to 𝑀 (𝐸) coincides with the transition semigroup
(𝑄 𝑡 )𝑡 ≥0 of the (𝜉, 𝜙)-superprocess.
Let 𝑊¯ denote the space of all right continuous paths from [0, ∞) into 𝑀 (𝐷)
with left limits in 𝑀 ( 𝐸). ¯ Let {𝑋𝑡 : 𝑡 ≥ 0} denote the coordinate process of 𝑊¯
¯ 0 ¯ 0
and let (𝒢 , 𝒢𝑡 ) denote its natural 𝜎-algebras. The following theorem gives a right
continuous realization of the semigroup (𝑄¯ 𝑡 )𝑡 ≥0 on 𝑀 (𝐷).
Theorem 5.1 For each 𝜇 ∈ 𝑀 (𝐷) there is a unique probability measure Q̄ 𝜇 on

¯ 𝒢¯ 0 ) such that Q̄ 𝜇 {𝑋0 = 𝜇} = 1 and {𝑋𝑡 : 𝑡 ≥ 0} is a Markov process in 𝑀 (𝐷)
(𝑊,
relative to (𝒢¯ 0 , 𝒢¯ 𝑡0 , Q̄ 𝜇 ) with transition semigroup (𝑄¯ 𝑡 )𝑡 ≥0 .
Proof Let (Ω, 𝒜 0 , 𝒜𝑡0 , 𝑍𝑡 , P̄ 𝜇 ) be a Markov process with state space 𝑀 (𝐷) and
transition semigroup (𝑄¯ 𝑡 )𝑡 ≥0 . Recall that each 𝑓¯ ∈ ℛ̄ is 𝛼-excessive relative to
( 𝑃¯𝑡 )𝑡 ≥0 for some constant 𝛼 = 𝛼( 𝑓¯) > 0. By Corollary 2.34 there exists an 𝛼1 > 0
such that 𝑡 ↦→ e−𝛼1 𝑡 𝑍𝑡 ( 𝑓¯) is an (𝒜𝑡0 )-supermartingale. By Dellacherie and Meyer
(1982, pp. 66–67), there is an Ω1 ∈ 𝒜 0 with P̄ 𝜇 (Ω1 ) = 1 such that {𝑍𝑡 (𝜔, 𝑓¯) : 𝑡 ≥ 0}
possesses finite right and left limits along rationals for 𝜔 ∈ Ω1 and 𝑓¯ ∈ ℛ̄. For 𝑡 ≥ 0
and 𝑓¯ ∈ ℛ̄ let
5.2 The Strong Markov Property 121
rat.𝑟 ↓𝑡 𝑍𝑟 (𝜔, 𝑓¯) if 𝜔 ∈ Ω1 ,

n lim
𝑍𝑡+ (𝜔, 𝑓¯) =
0 if 𝜔 ∈ Ω \ Ω1 .
Since ( 𝑃¯𝑡 )𝑡 ≥0 is a Borel right semigroup on 𝐷, by Theorem 2.22 the process

{𝑍𝑡 : 𝑡 ≥ 0} is right continuous in probability under P̄ 𝜇 . Then we have
P̄ 𝜇 {𝑍𝑡+ ( 𝑓¯) = 𝑍𝑡 ( 𝑓¯) for all 𝑓¯ ∈ ℛ̄} = 1, 𝑡 ≥ 0. (5.2)

¯ with the supremum norm. Thus for every 𝑡 ≥ 0
Recall that ℛ̄ − ℛ̄ is dense in 𝐶 ( 𝐸)
and 𝜔 ∈ Ω there is a unique measure 𝑌𝑡 (𝜔, ·) ∈ 𝑀 ( 𝐸) ¯ such that 𝑌𝑡 (𝜔, 𝑓¯) = 𝑍𝑡+ (𝜔, 𝑓¯)
¯ ¯ for every 𝜔 ∈ Ω.
for all 𝑓 ∈ ℛ̄. It is easy to see that 𝑡 ↦→ 𝑌𝑡 (𝜔) is càdlàg in 𝑀 ( 𝐸)
In view of (5.2), we have
P̄ 𝜇 {𝑌𝑡 ( 𝑓¯) = 𝑍𝑡 ( 𝑓¯) for all 𝑓¯ ∈ ℛ̄} = 1, 𝑡 ≥ 0. (5.3)
It follows that the random measure 𝑌𝑡 is P̄ 𝜇 -a.s. supported by 𝐷 and

{𝑌𝑡 | 𝐷 : 𝑡 ≥ 0} is a Markov process in 𝑀 (𝐷) with transition semigroup ( 𝑄¯ 𝑡 )𝑡 ≥0
relative to (𝒜 0 , 𝒜𝑡0 , P̄ 𝜇 ). Let (𝒜 𝜇 , 𝒜𝑡 ) be the augmentation of (𝒜 0 , 𝒜𝑡0 ) by P̄ 𝜇 .
𝜇
Then {𝑌𝑡 | 𝐷 : 𝑡 ≥ 0} is also a Markov process with semigroup (𝑄¯ 𝑡 )𝑡 ≥0 relative to

(𝒜 𝜇 , 𝒜𝑡 , P̄ 𝜇 ). Recall that 𝐷 = {𝑥 ∈ 𝐸 : 𝑃¯0 (𝑥, ·) = 𝛿 𝑥 } and 𝐵 = 𝐸¯ \ 𝐷. Then (5.3)
𝜇
implies that
P̄ 𝜇 {𝑌𝑡 ( 𝑓¯) = 𝑌𝑡 ( 𝑃¯0 𝑓¯) for all 𝑓¯ ∈ ℛ̄} = 1, 𝑡 ≥ 0. (5.4)
For 𝑓¯ ∈ ℛ̄ which is 𝛼-excessive for ( 𝑃¯𝑡 )𝑡 ≥0 let 𝑓¯𝑘 = 𝑘 ( 𝑓¯ − 𝑘 𝑈¯ 𝑘+𝛼 𝑓¯). Then 𝑓¯𝑘 ∈
¯ + and 𝑈¯ 𝛼 𝑓¯𝑘 = 𝑘 𝑈¯ 𝑘+𝛼 𝑓¯ → 𝑃¯0 𝑓¯ increasingly as 𝑘 → ∞. Since 𝑈¯ 𝛼 𝑓¯𝑘 ∈ 𝐶 ( 𝐸)
𝐶 ( 𝐸) ¯ +
¯
is 𝛼-excessive for ( 𝑃𝑡 )𝑡 ≥0 , by Corollary 2.34 there exists an 𝛼1 > 0 such that
𝑡 ↦→ e−𝛼1 𝑡 𝑌𝑡 (𝑈¯ 𝛼 𝑓¯𝑘 ) is a right continuous (𝒜𝑡 )-supermartingale, and by Dellacherie
𝜇
𝜇 𝜇
and Meyer (1982, p. 69) it is also an (𝒜𝑡+ )-supermartingale. Since (𝒜 𝜇 , 𝒜𝑡+ , P̄ 𝜇 )
satisfies the usual hypotheses, 𝑡 ↦→ e−𝛼1 𝑡 𝑌𝑡 ( 𝑃¯0 𝑓¯) and hence 𝑡 ↦→ 𝑌𝑡 ( 𝑃¯0 𝑓¯) is P̄ 𝜇 -a.s.
right continuous; see Dellacherie and Meyer (1982, p. 79) or Sharpe (1988, p. 390).
Then (5.4) and the right continuity of {𝑌𝑡 : 𝑡 ≥ 0} imply that
P̄ 𝜇 {𝑌𝑡 ( 𝑓¯) = 𝑌𝑡 ( 𝑃¯0 𝑓¯) for all 𝑡 ≥ 0 and 𝑓¯ ∈ ℛ̄} = 1.
Therefore we must have P̄ 𝜇 {𝑌𝑡 (𝐵) = 0 for all 𝑡 ≥ 0} = 1. Now we can simply let Q̄ 𝜇
be the image of P̄ 𝜇 under the mapping 𝜔 ↦→ {𝑌𝑡 (𝜔)| 𝐷 : 𝑡 ≥ 0}, and the theorem is
proved. □
5.2 The Strong Markov Property
¯ 𝒢¯ 0 , 𝒢¯ 𝑡0 , 𝑋𝑡 , Q̄ 𝜇 ) be the Markov process in 𝑀 (𝐷) given by Theorem 5.1.

Let 𝑋¯ = (𝑊,
𝜌
We write 𝑋𝑡− for the left limit of the process in 𝑀 ( 𝐸) ¯ at 𝑡 > 0. It is not hard to
show that for any 𝐺 ∈ b𝒢¯ 0 , the map 𝜇 ↦→ Q̄ 𝜇 (𝐺) is ℬ(𝑀 (𝐷))-measurable. Given
a probability measure 𝐾 on 𝑀 (𝐷) we can define the probability measure Q̄𝐾 on
¯ 𝒢¯ 0 ) by
(𝑊,
∫
Q̄𝐾 (𝐺) = Q̄ 𝜇 (𝐺)𝐾 (d𝜇), 𝐺 ∈ b𝒢¯ 0 . (5.5)
𝑀 (𝐷)
Let (𝒢¯ 𝐾 , 𝒢¯ 𝑡𝐾 ) be the Q̄𝐾 -augmentation of (𝒢¯ 0 , 𝒢¯ 𝑡0 ), and simply write (𝒢¯ 𝜇 , 𝒢¯ 𝑡 ) in
𝜇
the special case of 𝐾 = 𝛿 𝜇 for 𝜇 ∈ 𝑀 (𝐷). Let 𝒢¯ = ∩𝐾 𝒢¯ 𝐾 and 𝒢¯ 𝑡 = ∩𝐾 𝒢¯ 𝑡𝐾 , where

the intersections are taken over all probability measures 𝐾 on 𝑀 (𝐷).
Let 𝛾(𝑥, d𝑦) be the kernel on 𝐸 defined by (2.31) and let
𝑐 0 = sup [𝛾(𝑥, 1) − 𝑏(𝑥)].

𝑥 ∈𝐸
¯ d𝑦) be the extension of 𝛾(𝑥, d𝑦) to 𝐸¯ so that 𝛾(𝑥,

Let 𝛾(𝑥, ¯ 𝐸¯ \ 𝐸) = 0 for 𝑥 ∈ 𝐸 and
¯ 𝐸)
𝛾(𝑥, ¯ = 0 for 𝑥 ∈ 𝐸¯ \ 𝐸. Let ( 𝜋¯ 𝑡 )𝑡 ≥0 be the semigroup of kernels on 𝐷 defined by
¯ d𝑦). Let ( 𝑅¯ 𝛼 ) 𝛼>𝑐0 be defined by (A.48) from ( 𝜋¯ 𝑡 )𝑡 ≥0 .
(2.38) from ( 𝑃¯𝑡 )𝑡 ≥0 and 𝛾(𝑥,
By the formula 𝜋¯ 𝑡 = 𝑃¯0 𝜋¯ 𝑡 we can extend ( 𝜋¯ 𝑡 )𝑡 ≥0 to a semigroup of kernels on 𝐸. ¯
Let ( 𝑅¯ 𝛼 ) 𝛼>𝑐0 be extended accordingly.
Proposition 5.2 Let 𝜇 ∈ 𝑀 (𝐷) and 𝑓¯ ∈ 𝐵(𝐷). For any bounded (𝒢¯ 𝑡+ )-stopping
𝜇
time 𝑇, we have
Q̄ 𝜇 𝑋𝑇+𝑡 ( 𝑓¯)|𝒢¯ 𝑇+ = 𝑋𝑇 ( 𝜋¯ 𝑡 𝑓¯), 𝑡 ≥ 0.

𝜇
(5.6)
If 𝑇 is predictable in addition, then
Q̄ 𝜇 𝑋𝑇+𝑡 ( 𝑓¯)|𝒢¯ 𝑇− = 𝑋𝑇− ( 𝜋¯ 𝑡 𝑓¯),

𝜇 𝜌
𝑡 ≥ 0. (5.7)
Proof Step 1. Suppose that 𝑔¯ ∈ ℛ̄ is 𝛼-excessive for ( 𝑃¯𝑡 )𝑡 ≥0 . By Corollary 2.34 and
the Markov property of (𝑋𝑡 , 𝒢¯ 𝑡 ), there exists an 𝛼1 > 0 such that 𝑡 ↦→ e−𝛼1 𝑡 𝑋𝑡 ( 𝑔)
𝜇
¯ is a
right continuous (𝒢¯ 𝑡 )-supermartingale. Then it is a strong (𝒢¯ 𝑡+ )-supermartingale by
𝜇 𝜇
Dellacherie and Meyer (1982, p. 69 and p. 74). In particular, for any (𝒢¯ 𝑡+ )-stopping
𝜇
time 𝑇 with upper bound 𝑈 > 0 we have
¯ ≤ e 𝛼1 (𝑈+𝑡) 𝜇( 𝑔).
Q̄ 𝜇 [𝑋𝑇+𝑡 ( 𝑔)] ¯ (5.8)
Step 2. In view of (5.8), for any fixed 𝐺 ∈ pb𝒢¯ 𝑇+ we can define the finite measure
𝜇
𝜇𝑡 = Q̄ 𝜇 [𝐺 𝑋𝑇+𝑡 ] ∈ 𝑀 (𝐷). For 𝛽 > 𝑐 0 and 𝑔¯ ∈ ℛ̄ let 𝑓¯ = 𝑈¯ 𝛽 𝑔¯ ∈ 𝐶 ( 𝐸) ¯ +.

Theorem 2.36 implies that
∫ 𝑡
𝑀𝑡 ( 𝑓¯) := 𝑋𝑡 ( 𝑓¯) − 𝑋0 ( 𝑓¯) − 𝑋𝑠 (𝛽 𝑓¯ − 𝑔¯ + 𝛾¯ 𝑓¯ − 𝑏¯ 𝑓¯)d𝑠 (5.9)
0
(𝒢¯ 𝑡 )-martingale.
𝜇
is a right continuous By Dellacherie and Meyer (1982, p. 69 and
p. 74) we conclude that (5.9) is a strong (𝒢¯ 𝑡+ )-martingale. It follows that
𝜇
∫ 𝑡
¯ ¯
𝜇𝑡 ( 𝑓 ) = 𝜇0 ( 𝑓 ) + 𝜇 𝑠 (𝛽 𝑓¯ − 𝑔¯ + 𝛾¯ 𝑓¯ − 𝑏¯ 𝑓¯)d𝑠.
0
∫∞
Then 𝑡 ↦→ 𝜇𝑡 ( 𝑓¯) is continuous. Let 𝜇ˆ 𝛽 ( 𝑓¯) = 0
e−𝛽𝑡 𝜇𝑡 ( 𝑓¯)d𝑡. The above equation
implies that
𝜇ˆ 𝛽 ( 𝑓¯) = 𝛽−1 𝜇0 ( 𝑓¯) + 𝛽−1 𝜇ˆ 𝛽 (𝛽 𝑓¯ − 𝑔¯ + 𝛾¯ 𝑓¯ − 𝑏¯ 𝑓¯),
and so
𝜇ˆ 𝛽 ( 𝑔¯ − 𝛾¯ 𝑈¯ 𝛽 𝑔¯ + 𝑏¯ 𝑈¯ 𝛽 𝑔)
¯ = 𝜇0 (𝑈¯ 𝛽 𝑔).
¯ (5.10)
¯ we also have (5.10) for all 𝑔¯ ∈ 𝐶 ( 𝐸)
Since ℛ̄ − ℛ̄ is uniformly dense in 𝐶 ( 𝐸), ¯ and
hence for all 𝑔¯ ∈ 𝐵(𝐷).
¯ 𝑅¯ 𝛽 𝑓¯. By
Step 3. For 𝛽 > 𝑐 0 and 𝑔¯ ∈ ℛ̄ let 𝑓¯ = 𝑈¯ 𝛽 𝑔¯ and ℎ¯ = 𝑓¯ + ( 𝛾¯ − 𝑏)
Proposition A.54 we have
¯ 𝑅¯ 𝛽 𝑓¯ = 𝑅¯ 𝛽 𝑓¯.
𝑈¯ 𝛽 ℎ¯ = 𝑈¯ 𝛽 𝑓¯ + 𝑈¯ 𝛽 ( 𝛾¯ − 𝑏)
Then we can apply (5.10) to the function ℎ¯ ∈ 𝐵(𝐷) to see

¯ 𝑅¯ 𝛽 𝑓¯) = 𝜇ˆ 𝛽 ( ℎ¯ − ( 𝛾¯ − 𝑏)
𝜇ˆ 𝛽 ( 𝑓¯) = 𝜇ˆ 𝛽 ( ℎ¯ − ( 𝛾¯ − 𝑏) ¯
¯ 𝑈¯ 𝛽 ℎ)
= 𝜇0 (𝑈¯ ℎ) 𝛽 ¯ = 𝜇0 ( 𝑅¯ 𝑓¯).
𝛽
By Proposition A.43 and the uniqueness of Laplace transforms we get 𝜇𝑡 ( 𝑓¯) =

𝜇0 ( 𝜋¯ 𝑡 𝑓¯), and hence 𝜇𝑡 (𝛽𝑈¯ 𝛽 𝑔)
¯ = 𝜇0 (𝛽 𝜋¯ 𝑡 𝑈¯ 𝛽 𝑔). ¯ = 𝜇0 ( 𝜋¯ 𝑡 𝑔)
¯ Then we also have 𝜇𝑡 ( 𝑔) ¯
because 𝛽𝑈 𝑔¯ → 𝑔¯ as 𝛽 → ∞. Since 𝑔¯ ∈ ℛ̄ was arbitrary, we get 𝜇𝑡 ( 𝑓¯) = 𝜇0 ( 𝜋¯ 𝑡 𝑓¯)
¯ 𝛽
for all 𝑓 ∈ 𝐵(𝐷). This proves (5.6).
Step 4. For 𝛽 > 𝑐 0 and 𝑔¯ ∈ ℛ̄ we have 𝑓¯ := 𝑈¯ 𝛽 𝑔¯ ∈ 𝐶 ( 𝐸) ¯ + . Then the right

¯
continuous martingale {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} defined by (5.9) has predictable projection
{𝑀𝑡− ( 𝑓¯) : 𝑡 ≥ 0}; see Dellacherie and Meyer (1982, pp. 106–107). It follows that
{𝑋𝑡 ( 𝑓¯) : 𝑡 ≥ 0} has predictable projection {𝑋𝑡− ( 𝑓¯) : 𝑡 ≥ 0}. From Dellacherie and
𝜌
¯ ¯
Meyer (1982, p. 103), we have Q̄ 𝜇 [𝑋𝑇 ( 𝑓 )|𝒢𝑇− ] = 𝑋𝑇− ( 𝑓¯), and hence
𝜇 𝜌
Q̄ 𝜇 𝑋𝑇 (𝑈¯ 𝛽 𝑔)𝐺 = Q̄ 𝜇 𝑋𝑇− (𝑈¯ 𝛽 𝑔)𝐺

𝜌
¯ ¯
for every 𝐺 ∈ pb𝒢¯ 𝑇− . Because 𝛽𝑈¯ 𝛽 𝑔(𝑥) for every 𝑥 ∈ 𝐷 and 𝛽𝑈¯ 𝛽 𝑔(𝑥)
𝜇
¯ → 𝑔(𝑥)
¯ ¯ →
𝑃¯0 𝑔(𝑥)
¯ = 𝜋¯ 0 𝑔(𝑥)
¯ for every 𝑥 ∈ 𝐸¯ as 𝛽 → ∞, the above equation implies
𝜌
Q̄ 𝜇 𝑋𝑇 ( 𝑔)𝐺
¯ = Q̄ 𝜇 𝑋𝑇− ( 𝜋¯ 0 𝑔)𝐺
¯ .
Since 𝑔¯ ∈ ℛ̄ was arbitrary, we obtain
Q̄ 𝜇 𝑋𝑇 ( 𝑓¯)𝐺 = Q̄ 𝜇 𝑋𝑇− ( 𝜋¯ 0 𝑓¯)𝐺

𝜌
for every 𝑓¯ ∈ 𝐵(𝐷). Then (5.7) holds for 𝑡 = 0. For 𝑡 ≥ 0 we may appeal to (5.6) to
get
Q̄ 𝜇 [𝑋𝑇+𝑡 ( 𝑓¯)|𝒢¯ 𝑇− ] = Q̄ 𝜇 {Q̄ 𝜇 [𝑋𝑇+𝑡 ( 𝑓¯)|𝒢¯ 𝑇+ ] |𝒢¯ 𝑇− }

𝜇 𝜇 𝜇
= Q̄ 𝜇 [𝑋𝑇 ( 𝜋¯ 𝑡 𝑓¯) 𝒢¯ 𝑇− ] = 𝑋𝑇− ( 𝜋¯ 𝑡 𝑓¯).

𝜇 𝜌
This completes the proof of the result. □
Corollary 5.3 For any 𝑓¯ ∈ 𝐵(𝐷), the process 𝑡 ↦→ 𝑋𝑡 ( 𝑓¯) has (𝒢¯ 𝑡+ )-predictable
𝜇
𝜌 ¯ 𝜌 ¯ ¯
projection 𝑡 ↦→ 𝑋𝑡− ( 𝜋¯ 0 𝑓 ) = 𝑋𝑡− ( 𝑃0 𝑓 ).
Proposition 5.4 Let 𝜇 ∈ 𝑀 (𝐷) and 𝑓¯ ∈ 𝐵(𝐷). For any bounded (𝒢¯ 𝑡+ )-stopping
𝜇
time 𝑇 satisfying 0 ≤ 𝑇 ≤ 𝑢, we have
Q̄ 𝜇 𝑋𝑢 ( 𝑓¯)|𝒢¯ 𝑇+ = 𝑋𝑇 ( 𝜋¯ 𝑢−𝑇 𝑓¯).

𝜇
(5.11)
If 𝑇 is predictable in addition, then
Q̄ 𝜇 𝑋𝑢 ( 𝑓¯)|𝒢¯ 𝑇− = 𝑋𝑇− ( 𝜋¯ 𝑢−𝑇 𝑓¯).

𝜇 𝜌
(5.12)
Proof Let {𝑆 𝑘 } be the sequence of random times defined by 𝑆 𝑘 (𝑤) = 𝑖/2 𝑘 for
(𝑖 − 1)/2 𝑘 ≤ 𝑢 − 𝑇 (𝑤) < 𝑖/2 𝑘 . For any 𝑡 ≥ 0 we have
∞
Ø
{𝑇 + 𝑆 𝑘 ≤ 𝑡} = {𝑇 + 𝑖/2 𝑘 ≤ 𝑡} ∩ {(𝑖 − 1)/2 𝑘 ≤ 𝑢 − 𝑇 < 𝑖/2 𝑘 }
𝑖=1
∞
Ø
= {𝑇 ≤ 𝑡 − 𝑖/2 𝑘 } ∩ {𝑢 − 𝑖/2 𝑘 < 𝑇 ≤ 𝑢 − (𝑖 − 1)/2 𝑘 },
𝑖=1
which belongs to 𝒢¯ 𝑡+ . Then 𝑇 + 𝑆 𝑘 is a (𝒢¯ 𝑡+ )-stopping time. Clearly, 𝑆 𝑘 → 𝑢 − 𝑇

𝜇 𝜇
decreasingly as 𝑘 → ∞. By the proof of Proposition 5.2 for any 𝑔¯ ∈ ℛ̄ there exists

¯ is a right continuous (𝒢¯ 𝑡+ )-supermartingale.
an 𝛼1 > 0 such that 𝑡 ↦→ e−𝛼1 𝑡 𝑋𝑡 ( 𝑔)
𝜇
Then the family
e−𝛼1 (𝑇+𝑆𝑘 ) 𝑋𝑇+𝑆𝑘 ( 𝑔),

¯ 𝑘 = 1, 2, . . . ,
is Q̄ 𝜇 -uniformly integrable; see Dellacherie and Meyer (1982, p. 24) or Sharpe (1988,
p. 390). It follows that for each 𝑓¯ ∈ 𝐶 (𝐷) the sequence {𝑋𝑇+𝑆𝑘 ( 𝑓¯)} is Q̄ 𝜇 -uniformly
integrable. Since {𝑆 𝑘 = 𝑖/2 𝑘 } ∈ 𝒢¯ 𝑇+ , for any 𝐺 ∈ b𝒢¯ 𝑇+ we see by Proposition 5.2
𝜇 𝜇
that
Q̄ 𝜇 𝑋𝑢 ( 𝑓¯)𝐺 = lim Q̄ 𝜇 𝑋𝑇+𝑆𝑘 ( 𝑓¯)𝐺

𝑘→∞
∞
∑︁
Q̄ 𝜇 𝑋𝑇+𝑖/2𝑘 ( 𝑓¯)𝐺1 {𝑆𝑘 =𝑖/2𝑘 }

= lim
𝑘→∞
𝑖=1
∞
∑︁
Q̄ 𝜇 Q̄ 𝜇 𝑋𝑇+𝑖/2𝑘 ( 𝑓¯) 𝒢¯ 𝑇+ 𝐺1 {𝑆𝑘 =𝑖/2𝑘 }
𝜇
= lim
𝑘→∞
𝑖=1
∞
∑︁
Q̄ 𝜇 𝑋𝑇 ( 𝜋¯ 𝑖/2𝑘 𝑓¯)𝐺1 {𝑆𝑘 =𝑖/2𝑘 }

= lim
𝑘→∞
𝑖=1
= lim Q̄ 𝜇 𝑋𝑇 ( 𝜋¯ 𝑆𝑘 𝑓¯)𝐺

𝑘→∞
= Q̄ 𝜇 𝑋𝑇 ( 𝜋¯ 𝑢−𝑇 𝑓¯)𝐺 ,

where we have used (5.8), the pointwise right continuity of 𝑡 ↦→ 𝜋¯ 𝑡 𝑓¯ and the
dominated convergence theorem for the last equality. This gives (5.11) for 𝑓¯ ∈ 𝐶 (𝐷),
and the extension to 𝑓¯ ∈ 𝐵(𝐷) is trivial. The proof of (5.12) is similar. □
For any 𝜇 ∈ 𝑀 (𝐷) the space (𝑊, ¯ 𝒢¯ 𝜇 , 𝒢¯ 𝑡+𝜇

, Q̄ 𝜇 ) clearly satisfies the usual hy-
potheses. If (𝑠, 𝑥) ↦→ ℎ 𝑠 (𝑥) is a bounded and uniformly continuous function on
[0, ∞) × 𝐷, then 𝑠 ↦→ 𝑋𝑠 (ℎ 𝑠 ) is right continuous and hence (𝒢¯ 𝑡+ )-optional. Now
𝜇
¯ 𝜇
Proposition A.1 implies that 𝑠 ↦→ 𝑋𝑠 (ℎ 𝑠 ) is also (𝒢𝑡+ )-optional for any bounded
Borel function (𝑠, 𝑥) ↦→ ℎ 𝑠 (𝑥) on [0, ∞) × 𝐷. By Proposition 5.4 the process
{𝑋𝑠 ( 𝜋¯ 𝑡−𝑠 𝑓¯) : 0 ≤ 𝑠 ≤ 𝑡} is a strong (𝒢¯ 𝑡+ )-martingale for every 𝑓¯ ∈ 𝐵(𝐷) + .
𝜇
¯
Then {𝑋𝑠 ( 𝜋¯ 𝑡−𝑠 𝑓 ) : 0 ≤ 𝑠 ≤ 𝑡} is Q̄ 𝜇 -a.s. right continuous; see Dellacherie and
Meyer (1982, p. 109) or Sharpe (1988, pp. 389–390). Let 𝑏(𝑥) ¯ = 1𝐸 (𝑥)𝑏(𝑥) and
¯ ¯ ¯ ¯ ¯ ¯
𝜙0 (𝑥, 𝑓 ) = 𝜙(𝑥, 𝑓 ) − 𝑏(𝑥) 𝑓 (𝑥). By Theorem 2.23 we can rewrite (5.1) as
∫ 𝑡
¯ ¯ ¯
𝑉𝑡 𝑓 (𝑥) = 𝜋¯ 𝑡 𝑓 (𝑥) − 𝜋¯ 𝑡−𝑠 𝜙¯0 (·, 𝑉¯𝑠 𝑓¯) (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐷.
0
Using the equation above it is easy to see that {𝑋𝑠 (𝑉¯𝑡−𝑠 𝑓¯) : 0 ≤ 𝑠 ≤ 𝑡} is Q̄ 𝜇 -a.s.
right continuous.
Theorem 5.5 For every 𝑡 ≥ 0, every initial law 𝐾 and every 𝐹 ∈ 𝐵(𝑀 (𝐷)), the
process {𝑄¯ 𝑡−𝑠 𝐹 (𝑋𝑠 ) : 0 ≤ 𝑠 ≤ 𝑡} is a Q̄𝐾 -a.s. right continuous (𝒢¯ 𝑡+
𝐾 )-martingale.
Proof Let us fix 𝑡 ≥ 0 and the initial law 𝐾 on 𝑀 (𝐷). By (5.5) and the above
analysis, the process {𝑄¯ 𝑡−𝑠 𝐹 (𝑋𝑠 ) : 0 ≤ 𝑠 ≤ 𝑡} is Q̄𝐾 -a.s. right continuous if
¯
𝐹 (𝜈) = e−𝜈 ( 𝑓 ) for some 𝑓¯ ∈ ℛ̄. The Markov property of {𝑋𝑡 : 𝑡 ≥ 0} implies that
{𝑄¯ 𝑡−𝑠 𝐹 (𝑋𝑠 ) : 0 ≤ 𝑠 ≤ 𝑡} is a (𝒢¯ 𝑡𝐾 )-martingale. Then {𝑄¯ 𝑡−𝑠 𝐹 (𝑋𝑠 ) : 0 ≤ 𝑠 ≤ 𝑡}
is also a (𝒢¯ 𝑡+
𝐾 )-martingale; see Dellacherie and Meyer (1982, p. 69). We choose a
compatible metric on 𝑀 ( 𝐸) ¯ so that its completion coincides with its one-point com-
¯
pactification. By the Stone–Weierstrass theorem, the linear span of {𝜈 ↦→ e−𝜈 ( 𝑓 ) :
𝑓¯ ∈ ℛ̄} is uniformly dense in 𝐶𝑢 (𝑀 ( 𝐸)). ¯ Since each 𝐹 ∈ 𝐶𝑢 (𝑀 (𝐷)) has
an extension in 𝐶𝑢 (𝑀 ( 𝐸)), ¯ we infer that {𝑄¯ 𝑡−𝑠 𝐹 (𝑋𝑠 ) : 0 ≤ 𝑠 ≤ 𝑡} is a
Q̄𝐾 -a.s. right continuous (𝒢¯ 𝑡+
𝐾 )-martingale for every 𝐹 ∈ 𝐶 (𝑀 (𝐷)). By Propo-
𝑢
sition A.1 we conclude that {𝑄¯ 𝑡−𝑠 𝐹 (𝑋𝑠 ) : 0 ≤ 𝑠 ≤ 𝑡} is a Q̄𝐾 -a.s. right continuous
(𝒢¯ 𝑡+
𝐾 )-martingale for every 𝐹 ∈ 𝐵(𝑀 (𝐷)); see Dellacherie and Meyer (1982, p. 79)
or Sharpe (1988, p. 390). □

Theorem 5.6 The filtrations (𝒢¯ 𝑡 ) and (𝒢¯ 𝑡𝐾 ) are right continuous and the process
¯ 𝒢,
𝑋¯ = (𝑊, ¯ 𝒢¯ 𝑡 , 𝑋𝑡 , Q̄𝐾 ) satisfies the strong Markov property, that is, for every 𝑡 ≥ 0,
¯
every (𝒢𝑡 )-stopping time 𝑇, every initial law 𝐾 and every function 𝐹 ∈ 𝐵(𝑀 (𝐷)),
we have
Q̄𝐾 𝐹 (𝑋𝑇+𝑡 )1 {𝑇 <∞} 𝒢¯ 𝑇 = 𝑄¯ 𝑡 𝐹 (𝑋𝑇 )1 {𝑇 <∞} .

(5.13)
Proof Since ( 𝑄¯ 𝑡 )𝑡 ≥0 is a Borel semigroup on 𝑀 (𝐷), by Theorem A.16 the property

stated in Theorem 5.5 is equivalent to the strong Markov property of (𝑋𝑡 ) rela-
tive to (𝒢¯ 𝑡+ ). Then the natural filtrations (𝒢¯ 𝑡 ) and (𝒢¯ 𝑡𝐾 ) are right continuous by
Corollary A.17. □
5.3 Borel Right Superprocesses
¯ 𝒢,
By Theorems 5.5 and 5.6, the system 𝑋¯ = (𝑊, ¯ 𝒢¯ 𝑡 , 𝑋𝑡 , Q̄ 𝜇 ) is a Borel right process
in 𝑀 (𝐷). In particular, for every 𝜇 ∈ 𝑀 (𝐷) the space (𝑊, ¯ 𝒢¯ 𝜇 , 𝒢¯ 𝑡𝜇 , Q̄ 𝜇 ) satisfies
the usual hypotheses. Let 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) be a Borel right realization of the
spatial motion process.
Theorem 5.7 For every 𝜇 ∈ 𝑀 (𝐸) we have Q̄ 𝜇 {𝑋𝑡 (𝐷 \ 𝐸) = 0 for all 𝑡 ≥ 0} = 1.

Consequently, {𝑋𝑡 : 𝑡 ≥ 0} is Q̄ 𝜇 -a.s. right continuous in 𝑀 (𝐸 𝜌 ).
Proof Let 𝛼 ≥ 𝑐+0 := 0 ∨ 𝑐 0 and define 𝜋¯ 𝑡𝛼 = e−𝛼𝑡 𝜋¯ 𝑡 for 𝑡 ≥ 0. By Theorem A.53 we

see that ( 𝜋¯ 𝑡𝛼 )𝑡 ≥0 is a Borel right semigroup on 𝐷. Let 𝑇 be a bounded (𝒢¯ 𝑡 )-stopping
𝜇
time and define 𝜈 ∈ 𝑀 (𝐷) by letting 𝜈(ℎ) = Q̄ 𝜇 [e −𝛼𝑇 𝑋𝑇 (ℎ)] for ℎ ∈ 𝐵(𝐷) + . By
Proposition 5.2 we have
∫ ∞
𝜈( 𝑅¯ 𝛼 ℎ) = Q̄ 𝜇 e−𝛼(𝑡+𝑇) 𝑋𝑇 ( 𝜋¯ 𝑡 ℎ) d𝑡

∫0 ∞
Q̄ 𝜇 e−𝛼(𝑡+𝑇) Q̄ 𝜇 𝑋𝑡+𝑇 (ℎ) 𝒢¯ 𝑇 d𝑡
𝜇
=
∫0 ∞
Q̄ 𝜇 e−𝛼(𝑡+𝑇) 𝑋𝑡+𝑇 (ℎ) d𝑡

=
0 ∫
∞
= Q̄ 𝜇 e−𝛼𝑡 𝑋𝑡 (ℎ)d𝑡 ,
𝑇
and hence
∫ ∞
𝜈( 𝑅¯ 𝛼 ℎ) ≤ Q̄ 𝜇 e−𝛼𝑡 𝑋𝑡 (ℎ)d𝑡 = 𝜇( 𝑅¯ 𝛼 ℎ).
0
Since 𝜇 ∈ 𝑀 (𝐸), the above inequality means that 𝜈 𝑅¯ 𝛼 is dominated by a potential

for the Borel right semigroup (𝜋𝑡𝛼 )𝑡 ≥0 . Consequently, 𝜈 𝑅¯ 𝛼 is supported by 𝐸 and
it is an excessive measure for (𝜋𝑡𝛼 )𝑡 ≥0 . By Getoor (1990, p. 42), there is a unique
measure 𝜆 ∈ 𝑀 (𝐸) such that 𝜈 𝑅¯ 𝛼 = 𝜆𝑅 𝛼 . By applying a result in Getoor (1990,
5.3 Borel Right Superprocesses 127
p. 12) or Sharpe (1988, p. 195) to the Borel right semigroup ( 𝜋¯ 𝑡𝛼 )𝑡 ≥0 on 𝐷, we

conclude 𝜈 = 𝜆 and hence Q̄ 𝜇 [𝑋𝑇 (𝐷 \ 𝐸)] = 0. Since 𝑇 was arbitrary, we have
Q̄ 𝜇 {𝑋𝑡 (𝐷 \ 𝐸) = 0 for all 𝑡 ≥ 0} = 1 by an application of the optional section
theorem; see Dellacherie and Meyer (1978, p. 138) or Sharpe (1988, p. 388). Then
{𝑋𝑡 : 𝑡 ≥ 0} is Q̄ 𝜇 -a.s. right continuous in 𝑀 (𝐸 𝜌 ). □
Let 𝑊¯ 1 denote the space of sample paths 𝑤 ∈ 𝑊¯ satisfying 𝑋𝑡 (𝑤) = 𝑤 𝑡 ∈ 𝑀 (𝐸)
for all 𝑡 ≥ 0. By (5.5) and Theorem 5.7 the set 𝑊¯ 1 has Q̄𝐾 -outer measure 1 for every
initial distribution 𝐾 on 𝑀 (𝐸 𝜌 ). Let (𝒢0 , 𝒢𝑡0 , Q𝐾 ) be the traces of (𝒢¯ 0 , 𝒢¯ 𝑡0 , Q̄𝐾 )
on 𝑊¯ 1 . It is not hard to show that (𝒢0 , 𝒢𝑡0 ) coincide with the natural 𝜎-algebras
generated by the coordinate process of 𝑊¯ 1 . Let (𝒢 𝐾 , 𝒢𝑡𝐾 ) be the augmentation of
(𝒢0 , 𝒢𝑡0 ) by Q𝐾 , and simply write (𝒢 𝜇 , 𝒢𝑡 ) if 𝐾 is the unit mass at 𝜇 ∈ 𝑀 (𝐸 𝜌 ). Let
𝜇
𝒢 = ∩𝐾 𝒢 and 𝒢𝑡 = ∩𝐾 𝒢𝑡 , where the intersections are taken over all probability

𝐾 𝐾
laws 𝐾 on 𝑀 (𝐸 𝜌 ).
Theorem 5.8 The system 𝑋 = (𝑊¯ 1 , 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a Borel right process in 𝑀 (𝐸 𝜌 )

with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . Moreover, for every initial distribution 𝐾 on
𝑀 (𝐸 𝜌 ) the filtration (𝒢𝑡𝐾 ) is quasi-left continuous.
Proof The property stated in Theorem 5.5 remains true for the system 𝑋. Then 𝑋 is
a Borel right process in 𝑀 (𝐸 𝜌 ) by Theorem A.16 and Corollary A.17. Fix an initial
law 𝐾 and a (𝒢𝑡𝐾 )-predictable time 𝑇. The 𝜎-algebra 𝒢𝑇𝐾 can be generated by 𝒢𝑇− 𝐾
and 𝑋𝑇 ; see Sharpe (1988, p. 118). Moreover, a left-handed version of the arguments
in the proofs of Theorems 5.5 and 5.6 shows that
= 𝑄¯ 𝑡 𝐹 (𝑋𝑇− )1 {𝑇 <∞}
𝐾
𝜌
Q𝐾 𝐹 (𝑋𝑇+𝑡 )1 {𝑇 <∞} 𝒢𝑇− (5.14)
for every 𝑡 ≥ 0 and every function 𝐹 ∈ 𝐵(𝑀 ( 𝐸)).¯ In particular, for every 𝑓¯ ∈ 𝐶 ( 𝐸)
¯ +
we have
¯ 𝜌 ¯ ¯
Q𝐾 e−𝑋𝑇 ( 𝑓 ) 1 {𝑇 <∞} 𝒢𝑇− = e−𝑋𝑇− ( 𝑃0 𝑓 ) 1 {𝑇 <∞} ,
𝐾

where we have used the equality 𝑉¯0 𝑓¯(𝑥) = 𝑃¯0 𝑓¯(𝑥) for 𝑥 ∈ 𝐸.
¯ It is then easy to show
¯ 𝜌 ¯ ¯ 2
e−𝑋𝑇 ( 𝑓 ) − e−𝑋𝑇− ( 𝑃0 𝑓 ) 1 {𝑇 <∞} = 0.

Q𝐾
Consequently, we have Q𝐾 -a.s. 𝑋𝑇 ( 𝑓¯) = 𝑋𝑇− ( 𝑃¯0 𝑓¯) on {𝑇 < ∞}. It follows that
𝜌
𝐾 = 𝒢 𝐾 and hence (𝒢 𝐾 ) is quasi-left continuous for every 𝐾; see Sharpe (1988,
𝒢𝑇− 𝑇 𝑡
p. 220). This proves the second assertion. □
Proposition 5.9 Let 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸). If 𝑓 is finely continuous relative to

𝜉, then Q 𝜇 -a.s. 𝑡 ↦→ 𝑋𝑡 ( 𝑓 ) is right continuous. If 𝑡 ↦→ 𝑓 (𝜉𝑡 ) a.s. has left limits on
(0, ∞), then Q 𝜇 -a.s. 𝑡 ↦→ 𝑋𝑡 ( 𝑓 ) has left limits on (0, ∞).
𝜇
Proof Let {𝑇𝑛 } be a decreasing sequence of bounded (𝒢𝑡 )-stopping times with limit
𝑇. For 𝛼 > 𝑐 0 define 𝜈 ∈ 𝑀 (𝐸) by 𝜈( 𝑓 ) = Q 𝜇 {e−𝛼𝑇 𝑋𝑇 ( 𝑓 )} and define 𝜈𝑛 ∈ 𝑀 (𝐸)
analogously with 𝑇𝑛 replacing 𝑇. For 𝑓 ∈ 𝐵(𝐸) + the calculations in the proof of
Theorem 5.7 imply
∫ ∞
𝛼 −𝛼(𝑡+𝑇𝑛 )
𝜈𝑛 (𝑅 𝑓 ) = Q 𝜇 e 𝑋𝑡+𝑇𝑛 ( 𝑓 )d𝑡 , (5.15)
0
which converges increasingly as 𝑛 → ∞ to

∫ ∞
𝛼 −𝛼(𝑡+𝑇)
𝜈(𝑅 𝑓 ) = Q 𝜇 e 𝑋𝑡+𝑇 ( 𝑓 )d𝑡 . (5.16)
0
As observed in Section A.6, a right process 𝜉˜ with transition semigroup (𝜋𝑡𝛼 )𝑡 ≥0

can be obtained by concatenating a countable number of copies of the subprocess 𝜉ˆ
constructed from 𝜉 and the multiplicative functional
∫ 𝑡
𝑡 ↦→ 𝑚 𝑡 := exp − 𝛼𝑡 − 𝑏(𝜉 𝑠 )d𝑠 . (5.17)
0
Since 𝑡 ↦→ 𝑚 𝑡 is continuous, a function 𝑓 ∈ 𝐵(𝐸) finely continuous relative to

(𝑃𝑡 )𝑡 ≥0 is also finely continuous relative to (𝜋𝑡𝛼 )𝑡 ≥0 . By a result of Fitzsimmons
(1988) we have 𝜈𝑛 ( 𝑓 ) → 𝜈( 𝑓 ); see Theorem A.22. A monotone class argument
shows that {e−𝛼𝑡 𝑋𝑡 ( 𝑓 ) : 𝑡 ≥ 0} is optional. Then 𝑡 ↦→ e−𝛼𝑡 𝑋𝑡 ( 𝑓 ) is Q 𝜇 -a.s. right
continuous by Dellacherie and Meyer (1982, p. 109) or Sharpe (1988, p. 389). This
proves the first assertion. From the construction of the process 𝜉˜ it is also clear that
if 𝑡 ↦→ 𝑓 (𝜉𝑡 ) a.s. has left limits in (0, ∞), so does 𝑡 ↦→ 𝑓 ( 𝜉˜𝑡 ). Then the second
assertion follows by arguments similar to those in the above. □
Proposition 5.10 Let 𝑓 ∈ 𝐵(𝐸). If 𝑡 ↦→ 𝑓 (𝜉𝑡 ) is quasi-left continuous, then so is

𝑡 ↦→ 𝑋𝑡 ( 𝑓 ).
Proof Step 1. Let 𝜇 ∈ 𝑀 (𝐸) and let {𝑇𝑛 } be a uniformly bounded increasing se-
𝜇
quence of (𝒢𝑡 )-stopping times with limit 𝑇. Let 𝜈 and 𝜈𝑛 be defined as in the
proof of Proposition 5.9. By (5.15) and (5.16) we have 𝜈𝑛 𝑅 𝛼 → 𝜈𝑅 𝛼 decreasingly
as 𝑛 → ∞. Since the multiplicative functional {𝑚 𝑡 : 𝑡 ≥ 0} defined by (5.17) is
continuous and strictly positive, the lifetime of 𝜉ˆ is totally inaccessible. Then the
function 𝑓 ∈ 𝐵(𝐸) quasi-left continuous relative to 𝜉 is also quasi-left continu-
ous relative to 𝜉.˜ By a result of Fitzsimmons (1988) we have 𝜈𝑛 ( 𝑓 ) → 𝜈( 𝑓 ) as
𝑛 → ∞; see Theorem A.22. Consequently, the left limits lim𝑠↑𝑡 e−𝛼𝑠 𝑋𝑠 ( 𝑓 ) exist
Q 𝜇 -a.s. and the predictable projection of 𝑡 ↦→ e−𝛼𝑡 𝑋𝑡 ( 𝑓 ) is indistinguishable from
𝑡 ↦→ lim𝑠↑𝑡 e−𝛼𝑠 𝑋𝑠 ( 𝑓 ); see Dellacherie and Meyer (1982, pp. 113–114). For any
𝜇 𝜇 𝜇
(𝒢𝑡 )-predictable time 𝑆 we have 𝒢𝑆− = 𝒢𝑆 by Theorem 5.8. Then Q 𝜇 -a.s.
lim e−𝛼𝑠 𝑋𝑠 ( 𝑓 ) = Q 𝜇 [e−𝛼𝑆 𝑋𝑆 ( 𝑓 )|𝒢𝑆− ]

𝜇
𝑠↑𝑆
= Q 𝜇 [e−𝛼𝑆 𝑋𝑆 ( 𝑓 )|𝒢𝑆 ] = e−𝛼𝑆 𝑋𝑆 ( 𝑓 )
𝜇
on {𝑆 < ∞}. It follows that Q 𝜇 -a.s. lim𝑠↑𝑆 𝑋𝑠 ( 𝑓 ) = 𝑋𝑆 ( 𝑓 ) on {𝑆 < ∞}.

5.3 Borel Right Superprocesses 129
𝜇
Step 2. Let {𝑇𝑛 } be a general increasing sequence of (𝒢𝑡 )-stopping times with
limit 𝑇. Then 𝑋𝑇𝑛 ( 𝑓 ) → 𝑋𝑇 ( 𝑓 ) certainly holds on {𝑇 < ∞} ∩ {𝑇𝑛 = 𝑇 for some 𝑛}.
Let

𝑇 (𝑤) if 𝑇𝑛 (𝑤) < 𝑇 (𝑤) for all 𝑛,
𝑆(𝑤) =
∞ if 𝑇𝑛 (𝑤) = 𝑇 (𝑤) for some 𝑛.
It is simple to check that 𝑆 is a predictable time with announcing sequence {𝑆 𝑛 }

defined by

𝑇 (𝑤) if 𝑇𝑛 (𝑤) < 𝑇 (𝑤),
𝑆 𝑛 (𝑤) = 𝑛
∞ if 𝑇𝑛 (𝑤) = 𝑇 (𝑤).
By the first step we have Q 𝜇 -a.s. lim𝑛→∞ 𝑋𝑆𝑛 ( 𝑓 ) = 𝑋𝑆 ( 𝑓 ) on {𝑆 < ∞}, which
implies Q 𝜇 -a.s. lim𝑛→∞ 𝑋𝑇𝑛 ( 𝑓 ) = 𝑋𝑇 ( 𝑓 ) on {𝑇 < ∞}. Since 𝜇 ∈ 𝑀 (𝐸) was
arbitrary, the quasi-left continuity of 𝑡 ↦→ 𝑋𝑡 ( 𝑓 ) follows in view of (5.5). □
Since 𝐶𝑢 (𝐸) is separable in the supremum norm, by Proposition 5.9 the process
𝑡 ↦→ 𝑋𝑡 is a.s. right continuous in the original topology of 𝑀 (𝐸). By deleting from
𝑊¯ 1 the paths not right continuous in 𝑀 (𝐸) we obtain the space 𝑊 of paths that are
¯ We equip
right continuous in both 𝑀 (𝐸) and 𝑀 (𝐸 𝜌 ) and have left limits in 𝑀 ( 𝐸).
𝑊 with the 𝜎-algebras and probability measures inherited from those on 𝑊¯ 1 without
changing the notation.
Theorem 5.11 The system 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a Borel right process in 𝑀 (𝐸)

with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . If, in addition, 𝜉 is a Hunt process, then 𝑋 is a
Hunt process in 𝑀 (𝐸).
Proof It is easy to see that 𝑋 is a Borel right process in 𝑀 (𝐸) with transition
semigroup (𝑄 𝑡 )𝑡 ≥0 . If 𝜉 is a Hunt process, then each 𝑓 ∈ 𝐶𝑢 (𝐸) is quasi-left
continuous relative to 𝜉. By (5.5) and Proposition 5.10 one sees 𝑡 ↦→ 𝑋𝑡 ( 𝑓 ) is
quasi-left continuous. Since 𝐶𝑢 (𝐸) is separable, we infer that 𝑡 ↦→ 𝑋𝑡 is quasi-left
continuous. □
Corollary 5.12 If 𝐸 is a locally compact separable metric space and 𝜉 has Feller
transition semigroup, then the (𝜉, 𝜙)-superprocess has a Hunt realization in 𝑀 (𝐸).
The results above establish the basic regularities of the (𝜉, 𝜙)-superprocess for a
conservative spatial motion. The restriction of conservativeness is removed in the
next theorem.
Theorem 5.13 For a general Borel right spatial motion, the (𝜉, 𝜙)-superprocess has
a right realization in 𝑀 (𝐸). If 𝜉 is a Hunt process, the (𝜉, 𝜙)-superprocess has a
Hunt realization in 𝑀 (𝐸).
Proof Let ( 𝑃˜𝑡 )𝑡 ≥0 be the conservative Borel right extension of (𝑃𝑡 )𝑡 ≥0 on the Lusin
topological space 𝐸˜ := 𝐸 ∪ {𝜕} with 𝜕 being an isolated cemetery. For 𝑓˜ ∈ 𝐵( 𝐸) ˜ +
˜
let 𝜙(𝜕, 𝑓˜) = 0 and let 𝜙(𝑥,
˜ 𝑓˜) = 𝜙(𝑥, 𝑓˜| 𝐸 ) if 𝑥 ∈ 𝐸. Let (𝑉˜𝑡 )𝑡 ≥0 be defined by (2.36)
from those extended ingredients and let (𝑄˜ 𝑡 )𝑡 ≥0 be the corresponding transition
semigroup on 𝑀 ( 𝐸). ˜ For any 𝑓 ∈ 𝐵(𝐸) + we extend its definition to 𝐸˜ by setting
𝑓 (𝜕) = 0. Since 𝜕 is a cemetery of ( 𝑃˜𝑡 )𝑡 ≥0 , we have 𝑉˜𝑡 𝑓 (𝜕) = 𝑃˜𝑡 𝑓 (𝜕) = 0 and
∫ 𝑡 ∫
˜
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙(𝑦, 𝑉˜𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦), 𝑡 ≥ 0, 𝑥 ∈ 𝐸 .
0 𝐸
The uniqueness of the solution of (2.36) now implies 𝑉˜𝑡 𝑓 (𝑥) = 𝑉𝑡 𝑓 (𝑥) for 𝑡 ≥ 0
and 𝑥 ∈ 𝐸. Let 𝜓(𝜇) denote the restriction of the measure 𝜇 ∈ 𝑀 ( 𝐸) ˜ to 𝐸. For
˜ +
𝜇 ∈ 𝑀 ( 𝐸) and 𝑓 ∈ 𝐵(𝐸) it is easy to show
∫ ∫
e−𝜓 (𝜈) ( 𝑓 ) 𝑄˜ 𝑡 (𝜇, d𝜈) = e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜓(𝜇), d𝜈), (5.18)
˜
𝑀 ( 𝐸) 𝑀 (𝐸)
where (𝑄 𝑡 )𝑡 ≥0 is the transition semigroup of the (𝜉, 𝜙)-superprocess. Let ℒ be the

set of functions 𝐹 ∈ bℬ𝑢 (𝑀 (𝐸)) such that
𝑄˜ 𝑡 (𝐹 ◦ 𝜓) (𝜇) = (𝑄 𝑡 𝐹) ◦ 𝜓(𝜇), ˜
𝑡 ≥ 0, 𝜇 ∈ 𝑀 ( 𝐸).
By (5.18) and a monotone class argument one shows ℒ ⊃ bℬ(𝑀 (𝐸)). It is then
easily seen that ℒ = bℬ𝑢 (𝑀 (𝐸)). Let 𝑋˜ be the Borel right realization of (𝑄˜ 𝑡 )𝑡 ≥0
provided by Theorem 5.11. Since 𝜕 is isolated from 𝐸, the path 𝑡 ↦→ 𝜓( 𝑋˜ 𝑡 ) is right
continuous in 𝑀 (𝐸). By Theorem A.21 one sees 𝑋 := 𝜓( 𝑋) ˜ with the augmented
natural 𝜎-algebras is a right realization of the (𝜉, 𝜙)-superprocess in 𝑀 (𝐸). The
second assertion follows by a further application of Theorem 5.11. □
We have proved that the (𝜉, 𝜙)-superprocess with transition semigroup (𝑄 𝑡 )𝑡 ≥0

defined by (2.35) and (2.36) has a realization as a right process. Then every right
continuous realization of the superprocess with the augmented natural 𝜎-algebras
is a right process; see Theorem A.34. In particular, the (𝜉, 𝜙)-superprocess can be
realized canonically on the space of right continuous paths from [0, ∞) to 𝑀 (𝐸).
Given a general continuous admissible additive functional {𝐾 (𝑡) : 𝑡 ≥ 0}, we can
define the semigroup of kernels (𝜋𝑡 )𝑡 ≥0 by (2.20) and (2.31). Let 𝜋𝑡 = e−𝛽𝑡 𝜋𝑡 for
𝛽
𝛽
𝛽 ≥ 0 and 𝑡 ≥ 0. If there exists a 𝛽 ≥ 0 such that (𝜋𝑡 )𝑡 ≥0 is a Borel right semigroup,
one can use this as a replacement of (𝑃𝑡 )𝑡 ≥0 to show that the (𝜉, 𝐾, 𝜙)-superprocess
has a right process realization with state space 𝑀 (𝐸). By Theorem A.44, this is true
𝛽
if 𝑏(𝑥) ≥ 𝛾(𝑥, 1) for every 𝑥 ∈ 𝐸. Similarly, if there exists a 𝛽 ≥ 0 such that (𝜋𝑡 )𝑡 ≥0
has a Hunt realization, so does the (𝜉, 𝐾, 𝜙)-superprocess.
5.4 Weighted Occupation Times
In this section, we give some characterizations of a class of linear functionals

of the (𝜉, 𝜙)-superprocess. It will be more convenient to start the underlying
spatial motion and the superprocess from the arbitrary initial time 𝑟 ≥ 0. Let
5.4 Weighted Occupation Times 131
𝜉 = (Ω, ℱ, ℱ𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) and 𝑋 = (𝑊, 𝒢, 𝒢𝑟 ,𝑡 , 𝑋𝑡 , Q𝑟 , 𝜇 ) be right continuous re-

alizations of those processes. In view of (2.35) and (2.36), for any 𝑡 ≥ 𝑟 ≥ 0 and
Q𝑟 , 𝜇 exp{−𝑋𝑡 ( 𝑓 )} = exp{−𝜇(𝑢𝑟 )}, (5.19)
where 𝑢𝑟 (𝑥) := 𝑉𝑡−𝑟 𝑓 (𝑥) satisfies

∫ 𝑡
𝑢𝑟 (𝑥) + P𝑟 , 𝑥 [𝜙(𝜉 𝑠 , 𝑢 𝑠 )]d𝑠 = P𝑟 , 𝑥 [ 𝑓 (𝜉𝑡 )], 0 ≤ 𝑟 ≤ 𝑡, 𝑥 ∈ 𝐸 . (5.20)
𝑟
Proposition 5.14 Suppose that {𝑠1 < · · · < 𝑠 𝑛 } ⊂ [0, ∞) and { 𝑓1 , . . . , 𝑓𝑛 } ⊂

𝐵(𝐸) + . Then we have
𝑛
∑︁
Q𝑟 , 𝜇 exp − 𝑋𝑠 𝑗 ( 𝑓 𝑗 )1 {𝑟 ≤𝑠 𝑗 } = exp{−𝜇(𝑢𝑟 )}, 0 ≤ 𝑟 ≤ 𝑠𝑛 , (5.21)
𝑗=1
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is a bounded positive solution on [0, 𝑠 𝑛 ] × 𝐸 of

∫ 𝑠𝑛 𝑛
∑︁
𝑢𝑟 (𝑥) + P𝑟 , 𝑥 [𝜙(𝜉 𝑠 , 𝑢 𝑠 )]d𝑠 = P𝑟 , 𝑥 [ 𝑓 𝑗 (𝜉 𝑠 𝑗 )]1 {𝑟 ≤𝑠 𝑗 } . (5.22)
𝑟 𝑗=1
Proof We shall give the proof by induction on 𝑛 ≥ 1. For 𝑛 = 1 the result follows
from (5.19) and (5.20). Now supposing (5.21) and (5.22) are satisfied when 𝑛 is
replaced by 𝑛 − 1, we prove they are also true for 𝑛. It is clearly sufficient to consider
the case with 0 ≤ 𝑟 ≤ 𝑠1 < · · · < 𝑠 𝑛 . By the Markov property of 𝑋,
𝑛
∑︁

Q𝑟 , 𝜇 exp − 𝑋𝑠 𝑗 ( 𝑓 𝑗 ) = Q𝑟 , 𝜇 exp − 𝑋𝑠1 ( 𝑓1 ) − 𝑋𝑠1 (𝑣 𝑠1 ) ,
𝑗=1
where (𝑟, 𝑥) ↦→ 𝑣 𝑟 (𝑥) is a bounded positive Borel function on [0, 𝑠 𝑛 ] × 𝐸 satisfying

∫ 𝑠𝑛 𝑛
∑︁

𝑣 𝑟 (𝑥) + P𝑟 , 𝑥 𝜙(𝜉 𝑠 , 𝑣 𝑠 ) d𝑠 = P𝑟 , 𝑥 𝑓 𝑗 (𝜉 𝑠 𝑗 ) 1 {𝑟 ≤𝑠 𝑗 } . (5.23)
𝑟 𝑗=2
Then the result for 𝑛 = 1 implies that

𝑛
∑︁
Q𝑟 , 𝜇 exp − 𝑋𝑠 𝑗 ( 𝑓 𝑗 ) = exp{−𝜇(𝑢𝑟 )}
𝑗=1
with (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) being a bounded positive Borel function on [0, 𝑠1 ] ×𝐸 satisfying
∫ 𝑠1

𝑢𝑟 (𝑥) + P𝑟 , 𝑥 𝜙(𝜉 𝑠 , 𝑢 𝑠 ) d𝑠 = P𝑟 , 𝑥 [ 𝑓1 (𝜉 𝑠1 )] + P𝑟 , 𝑥 [𝑣 𝑠1 (𝜉 𝑠1 )]. (5.24)
𝑟
Setting 𝑢𝑟 = 𝑣 𝑟 for 𝑠1 < 𝑟 ≤ 𝑠 𝑛 , from (5.23) and (5.24) one checks that (𝑟, 𝑥) →
↦
𝑢𝑟 (𝑥) is a bounded positive solution on [0, 𝑠 𝑛 ] × 𝐸 of (5.22). □
Theorem 5.15 Suppose that 𝑡 ≥ 0 and 𝜆 ∈ 𝑀 ( [0, 𝑡]). Let (𝑠, 𝑥) →↦ 𝑓𝑠 (𝑥) be a
bounded positive Borel function on [0, 𝑡] × 𝐸. Then we have
∫
Q𝑟 , 𝜇 exp − 𝑋𝑠 ( 𝑓𝑠 )𝜆(d𝑠) = exp{−𝜇(𝑢𝑟 )}, 0 ≤ 𝑟 ≤ 𝑡, (5.25)
[𝑟 ,𝑡 ]
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique bounded positive solution on [0, 𝑡] × 𝐸 of

∫ 𝑡 ∫

𝑢𝑟 (𝑥) + P𝑟 , 𝑥 𝜙(𝜉 𝑠 , 𝑢 𝑠 ) d𝑠 = P𝑟 , 𝑥 𝑓𝑠 (𝜉 𝑠 ) 𝜆(d𝑠). (5.26)
𝑟 [𝑟 ,𝑡 ]
Proof Step 1. We first assume (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) is uniformly continuous on [0, 𝑡] × 𝐸.

For any integer 𝑛 ≥ 1 let
∞
∑︁
𝜆 𝑛 (d𝑠) = 𝜆((𝑡 − 𝛾𝑛 (𝑘 + 1), 𝑡 − 𝛾𝑛 (𝑘)] ∩ [0, 𝑡])𝛿𝑡−𝛾𝑛 (𝑘) (d𝑠),
𝑘=0
where 𝛾𝑛 (𝑘) = 𝑘/2𝑛 . From Proposition 5.14 we see that

∫
Q𝑟 , 𝜇 exp − 𝑋𝑠 ( 𝑓𝑠 )𝜆 𝑛 (d𝑠) = exp{−𝜇(𝑢 𝑛 (𝑟))}, (5.27)
[𝑟 ,𝑡 ]
where (𝑟, 𝑥) ↦→ 𝑢 𝑛 (𝑟, 𝑥) is a bounded positive solution on [0, 𝑡] × 𝐸 to

∫ 𝑡 ∫

𝑢 𝑛 (𝑟, 𝑥) + P𝑟 , 𝑥 𝜙(𝜉 𝑠 , 𝑢 𝑛 (𝑠)) d𝑠 = P𝑟 , 𝑥 𝑓𝑠 (𝜉 𝑠 )𝜆 𝑛 (d𝑠) . (5.28)
𝑟 [𝑟 ,𝑡 ]
For any 0 ≤ 𝑠 ≤ 𝑡 let 𝑝 𝑛 (𝑠) = 𝑡 − 𝛾𝑛 ( ⌊(𝑡 − 𝑠)2𝑛 ⌋ + 1) and 𝑞 𝑛 (𝑠) = 𝑡 − 𝛾𝑛 ( ⌊(𝑡 − 𝑠)2𝑛 ⌋),
where ⌊(𝑡 − 𝑠)2𝑛 ⌋ denotes the integer part of (𝑡 − 𝑠)2𝑛 . Then we have 𝑠 − 2−𝑛 ≤
𝑝 𝑛 (𝑠) < 𝑠 ≤ 𝑞 𝑛 (𝑠) < 𝑠 + 2−𝑛 . It is easy to see that
∫ ∫
𝑓𝑠 (𝜉 𝑠 )𝜆 𝑛 (d𝑠) = 𝑓𝑞𝑛 (𝑠) (𝜉𝑞𝑛 (𝑠) )𝜆(d𝑠)
[𝑟 ,𝑡 ] [𝑟 ,𝑡 ]
+ 𝑓𝑞𝑛 (𝑟) (𝜉𝑞𝑛 (𝑟) )𝜆(( 𝑝 𝑛 (𝑟), 𝑟) ∩ [0, 𝑡])
and the second term on the right-hand side tends to zero as 𝑛 → ∞. By the right
continuity of 𝑠 ↦→ 𝜉 𝑠 and the uniform continuity of (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) we have
∫ ∫
lim 𝑓𝑠 (𝜉 𝑠 )𝜆 𝑛 (d𝑠) = 𝑓𝑠 (𝜉 𝑠 )𝜆(d𝑠).
𝑛→∞ [𝑟 ,𝑡 ] [𝑟 ,𝑡 ]
A similar argument shows that

∫ ∫
lim 𝑋𝑠 ( 𝑓𝑠 )𝜆 𝑛 (d𝑠) = 𝑋𝑠 ( 𝑓𝑠 )𝜆(d𝑠).
𝑛→∞ [𝑟 ,𝑡 ] [𝑟 ,𝑡 ]
From (5.27) we see the limit 𝑢𝑟 (𝑥) = lim𝑛→∞ 𝑢 𝑛 (𝑟, 𝑥) exists and (5.25) holds. It is
not hard to show that {𝑢 𝑛 } is uniformly bounded on [0, 𝑡] × 𝐸. Then we get (5.26)
by letting 𝑛 → ∞ in (5.28).
Step 2. Let 𝐵1 ⊂ 𝐵( [0, 𝑡] × 𝐸) + be the set of functions (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) for which
there exist bounded positive solutions (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) of (5.26) such that (5.25)
holds. It is easy to show that 𝐵1 is closed under bounded pointwise convergence.
The result of the first step shows that 𝐵1 contains all uniformly continuous functions
in 𝐵( [0, 𝑡] × 𝐸) + , so we have 𝐵1 = 𝐵( [0, 𝑡] × 𝐸) + by Proposition 1.3.
Step 3. To show the uniqueness of the solution of (5.26), suppose that (𝑟, 𝑥) ↦→
𝑣 𝑟 (𝑥) is another bounded positive Borel function on [0, 𝑡]×𝐸 satisfying this equation.
It is easy to find a constant 𝐾 ≥ 0 such that
∫ 𝑡 ∫ 𝑡
∥𝑢𝑟 − 𝑣 𝑟 ∥ ≤ ∥𝜙(·, 𝑢 𝑠 ) − 𝜙(·, 𝑣 𝑠 ) ∥d𝑠 ≤ 𝐾 ∥𝑢 𝑠 − 𝑣 𝑠 ∥d𝑠.
𝑟 𝑟
We may rewrite the above inequality as

∫ 𝑟
∥𝑢 𝑡−𝑟 − 𝑣 𝑡−𝑟 ∥ ≤ 𝐾 ∥𝑢 𝑡−𝑠 − 𝑣 𝑡−𝑠 ∥d𝑠, 0 ≤ 𝑟 ≤ 𝑡,
0
so Gronwall’s lemma implies ∥𝑢 𝑡−𝑟 − 𝑣 𝑡−𝑟 ∥ = 0 for every 0 ≤ 𝑟 ≤ 𝑡. □
Suppose that 𝜆(d𝑠) is a locally bounded Borel measure on [0, ∞) and (𝑠, 𝑥) ↦→
𝑓𝑠 (𝑥) is a locally bounded positive Borel function on [0, ∞) × 𝐸. For any 𝑡 ≥ 𝑟 ≥ 0
we can define the positive random variable
∫
𝐴[𝑟, 𝑡] := 𝑋𝑠 ( 𝑓𝑠 )𝜆(d𝑠),
[𝑟 ,𝑡 ]
which is called a weighted occupation time of the superprocess on [𝑟, 𝑡]. By replacing
𝑓𝑠 with 𝜃 𝑓𝑠 in Theorem 5.15 for 𝜃 ≥ 0 we get a characterization of the Laplace
transform of 𝐴[𝑟, 𝑡].
Theorem 5.16 Let 𝑡 ≥ 0 be given. Let 𝑓 ∈ 𝐵(𝐸) + and let (𝑠, 𝑥) ↦→ 𝑔𝑠 (𝑥) be a
bounded positive Borel function on [0, 𝑡] × 𝐸. Then for 0 ≤ 𝑟 ≤ 𝑡 we have
∫ 𝑡
Q𝑟 , 𝜇 exp − 𝑋𝑡 ( 𝑓 ) − 𝑋𝑠 (𝑔𝑠 )d𝑠 = exp{−𝜇(𝑢𝑟 )}, (5.29)
𝑟
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique bounded positive solution on [0, 𝑡] × 𝐸 of

∫ 𝑡 ∫ 𝑡
𝑢𝑟 (𝑥) + P𝑟 , 𝑥 [𝜙(𝜉 𝑠 , 𝑢 𝑠 )]d𝑠 = P𝑟 , 𝑥 [ 𝑓 (𝜉𝑡 )] + P𝑟 , 𝑥 [𝑔𝑠 (𝜉 𝑠 )]d𝑠. (5.30)
𝑟 𝑟
Proof This follows by an application of Theorem 5.15 to the measure 𝜆(d𝑠) =

d𝑠 + 𝛿𝑡 (d𝑠) and the function 𝑓𝑠 (𝑥) = 1 {𝑠<𝑡 } 𝑔𝑠 (𝑥) + 1 {𝑠=𝑡 } 𝑓 (𝑥). □
Corollary 5.17 Let 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) be a right continuous realization of the

(𝜉, 𝜙)-superprocess started from time zero. Then for 𝑡 ≥ 0 and 𝑓 , 𝑔 ∈ 𝐵(𝐸) + we
have
∫ 𝑡
Q 𝜇 exp − 𝑋𝑡 ( 𝑓 ) − 𝑋𝑠 (𝑔)d𝑠 = exp{−𝜇(𝑣 𝑡 )}, (5.31)
0
where (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) is the unique locally bounded positive solution of

∫ 𝑡 ∫ ∫ 𝑡
𝑣 𝑡 (𝑥) + d𝑠 𝜙(𝑦, 𝑣 𝑠 )𝑃𝑡−𝑠 (𝑥, d𝑦) = 𝑃𝑡 𝑓 (𝑥) + 𝑃𝑠 𝑔(𝑥)d𝑠. (5.32)
0 𝐸 0
In the sequel, we assume 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑥(𝑡), Q 𝑥 ) is a right continuous CB-

process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (3.2) and (3.3). Recall that the
branching mechanism 𝜙 is given by (3.1). For any 𝜃 ≥ 0 let
𝜙−1 (𝜃) = inf{𝑧 ≥ 0 : 𝜙(𝑧) > 𝜃} (5.33)

∫∞
with inf ∅ = ∞ by convention. We call 𝑍 := 0 𝑥(𝑠)d𝑠 the total population of the
process.
Theorem 5.18 For any 𝑡 ≥ 0, 𝜆 ≥ 0 and 𝜃 ≥ 0, we have

∫ 𝑡
Q 𝑥 exp − 𝜆𝑥(𝑡) − 𝜃 𝑥(𝑠)d𝑠 = exp{−𝑥𝑣(𝑡, 𝜆, 𝜃)}, (5.34)
0
where 𝑡 ↦→ 𝑣(𝑡) = 𝑣(𝑡, 𝜆, 𝜃) is the unique positive solution to

d
𝑣(𝑡) = 𝜃 − 𝜙(𝑣(𝑡)), 𝑣(0) = 𝜆. (5.35)
d𝑡
Proof By Corollary 5.17 we have (5.34) with 𝑡 ↦→ 𝑣(𝑡, 𝜆, 𝜃) being the unique positive
solution to
∫ 𝑡
𝑣(𝑡, 𝜆, 𝜃) + 𝜙(𝑣(𝑠, 𝜆, 𝜃))d𝑠 = 𝜆 + 𝑡𝜃,
0
which is equivalent to the differential equation (5.35). □
Corollary 5.19 For any 𝑡 ≥ 0 and 𝜃 ≥ 0 we have

∫ 𝑡
Q 𝑥 exp − 𝜃 𝑥(𝑠)d𝑠 = exp{−𝑥𝑣(𝑡, 𝜃)}, (5.36)
0
where 𝑡 ↦→ 𝑣(𝑡) = 𝑣(𝑡, 𝜃) is the unique positive solution to

d
𝑣(𝑡) = 𝜃 − 𝜙(𝑣(𝑡)), 𝑣(0) = 0. (5.37)
d𝑡
Proposition 5.20 Let 𝑡 ↦→ 𝑣(𝑡, 𝜃) be the unique positive solution to (5.37). Then for
𝜃 > 0 we have
𝑣(∞, 𝜃) := lim 𝑣(𝑡, 𝜃) = 𝜙−1 (𝜃).

𝑡→∞
Proof From (5.36) we see that 𝑡 ↦→ 𝑣(𝑡, 𝜃) is increasing and so (d/d𝑡)𝑣(𝑡, 𝜃) ≥ 0.

In the case 𝜙(∞) ≤ 0, we clearly have 𝜙(𝜆) ≤ 0 for all 𝜆 ≥ 0, which implies
(d/d𝑡)𝑣(𝑡, 𝜃) ≥ 𝜃 > 0 and hence 𝑣(∞, 𝜃) = ∞ = 𝜙−1 (𝜃). In the case 𝜙(∞) = ∞, we
have
d
𝜙(𝑣(𝑡, 𝜃)) = 𝜃 − 𝑣(𝑡, 𝜃) ≤ 𝜃,
d𝑡
which implies 𝑣(𝑡, 𝜃) ≤ 𝜙−1 (𝜃) and hence 𝑣(∞, 𝜃) ≤ 𝜙−1 (𝜃). It follows that
d
0 = lim 𝑣(𝑡, 𝜃) = 𝜃 − lim 𝜙(𝑣(𝑡, 𝜃)) = 𝜃 − 𝜙(𝑣(∞, 𝜃)).
𝑡→∞ d𝑡 𝑡→∞
This proves 𝑣(∞, 𝜃) = 𝜙−1 (𝜃). □

Corollary 5.21 For any 𝜃 ≥ 0 we have
Q 𝑥 e−𝜃 𝑍 1 {𝑍 <∞} = exp − 𝑥𝜙−1 (𝜃)

(5.38)
with 0 · ∞ = 0 by convention.
Proof For 𝜃 > 0, we can let 𝑡 → ∞ in (5.36) and use Proposition 5.20 to get (5.38).
By continuity of 𝜃 ↦→ 𝜙−1 (𝜃), the equality also holds for 𝜃 = 0. □
Corollary 5.22 We have
Q 𝑥 {𝑍 < ∞} = exp − 𝑥𝜙−1 (0)

and
Q 𝑥 {𝑍 = ∞} = 1 − exp − 𝑥𝜙−1 (0) .

Corollary 5.23 Suppose that 𝜙(∞) := lim𝜆→∞ 𝜙(𝜆) = ∞. Then for any 𝜃 ≥ 0 we
have
Q 𝑥 e−𝜃 𝑍 |𝑍 < ∞ = exp − 𝑥 [𝜙−1 (𝜃) − 𝜙−1 (0)] .

Corollary 5.24 Suppose that 𝜙(𝑧0 ) ≠ 0 for some 𝑧 0 > 0. Then we have
n o
Q 𝑥 lim 𝑥(𝑡) = 0 = exp − 𝑥𝜙−1 (0)

𝑡→∞
and
n o
Q 𝑥 lim 𝑥(𝑡) = ∞ = 1 − exp − 𝑥𝜙−1 (0) .

𝑡→∞
Proof In the case 𝑏 ≥ 0, we have 𝜙−1 (0) = 0, so the results follow immediately
from Corollary 5.22. In the case 𝑏 < 0, we first use Corollary 5.22 to see
n o
Q 𝑥 lim 𝑥(𝑡) = 0 ≥ Q 𝑥 {𝑍 < ∞} = exp − 𝑥𝜙−1 (0) .

𝑡→∞
But, by Theorem 3.19 we have

n o
Q 𝑥 lim 𝑥(𝑡) = ∞ = 1 − exp − 𝑥𝜙−1 (0) .

𝑡→∞
Then the desired results hold. □
Clearly, the results of Corollary 5.24 strengthen those of Corollary 3.5.
5.5 A Counterexample
In this section we provide a counterexample showing that the (𝜉, 𝜙)-superprocess

usually does not have a Hunt realization if the underlying spatial motion 𝜉 is not a
Hunt process. Let 𝐸 1 = (0, 1) and let 𝜇(d𝑥) be a probability measure on this space.
We define a Borel transition semigroup (𝑃𝑡 )𝑡 ≥0 on 𝐸 1 by
∫
𝑃𝑡 𝑓 (𝑥) = 𝑓 (𝑥 − 𝑡)1 {0≤𝑡 <𝑥 } + 𝑓 (𝑥 + 𝑥1 − 𝑡)1 {𝑥 ≤𝑡 <𝑥+𝑥1 } 𝜇(d𝑥 1 )
𝐸1
∞
∑︁ ∫ ∫
+ ··· 𝑓 (𝑠 𝑛 − 𝑡)1 {𝑠𝑛−1 ≤𝑡 <𝑠𝑛 } 𝜇(d𝑥 1 ) · · · 𝜇(d𝑥 𝑛 ), (5.39)
𝑛=2 𝐸1 𝐸1
Í𝑛
where 𝑠 𝑛 = 𝑥 + 𝑖=1 𝑥𝑖 and 𝑓 ∈ 𝐵(𝐸 1 ). The corresponding Markov process 𝜉 is
intuitively described as follows. Starting from 𝑥 ∈ 𝐸 1 the process moves to the left
at unit speed until it reaches zero; at that moment it takes a new position in 𝐸 1
according to the distribution 𝜇(d𝑦); then it starts moving to the left again and so on.
Clearly, the process 𝜉 has a right realization, but none of its realizations is càdlàg.
Thus 𝜉 has no Hunt process realization. From (5.39) we have the equation
𝑃𝑡 𝑓 (𝑥) = 𝑓 (𝑥 − 𝑡)1 {0≤𝑡 <𝑥 } + 𝜇(𝑃𝑡−𝑥 𝑓 )1 {𝑡 ≥𝑥 } , 𝑡 ≥ 0, 𝑥 ∈ 𝐸 1 . (5.40)
Let 𝐶𝑢 (𝐸 1 ) denote the set of uniformly continuous functions on 𝐸 1 . For 𝑓 ∈ 𝐶𝑢 (𝐸 1 )

it is easy to see that
𝑃𝑡 𝑓 (𝑡) = 𝜇( 𝑓 ) and 𝑃𝑡− 𝑓 (𝑡) = 𝑓 (0+), 𝑡 ∈ 𝐸1 . (5.41)
Proposition 5.25 Let (𝑈 𝛼 ) 𝛼>0 be the resolvent of (𝑃𝑡 )𝑡 ≥0 . Then 𝑈 𝛼 𝐶𝑢 (𝐸 1 ) ⊂

𝐶𝑢 (𝐸 1 ) for every 𝛼 > 0 and the Ray topology of 𝜉 is coarser than the original
topology of 𝐸 1 .
5.5 A Counterexample 137
Proof In view of (5.40) for any 𝑓 ∈ 𝐶𝑢 (𝐸 1 ) we have

∫ 𝑥 ∫ ∞
𝑈 𝛼 𝑓 (𝑥) = e−𝛼𝑡 𝑓 (𝑥 − 𝑡)d𝑡 + e−𝛼𝑥 e−𝛼𝑡 𝜇(𝑃𝑡 𝑓 )d𝑡. (5.42)
0 0
Then 𝑈 𝛼 𝑓 ∈ 𝐶𝑢 (𝐸 1 ). By Proposition A.29 the Ray topology of 𝜉 is coarser than the

original topology. □
Suppose that 𝜙 is a spatially constant branching mechanism defined by (3.1)

and 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a right realization of the (𝜉, 𝜙)-superprocess. Let
𝑥(𝑡) = 𝑋𝑡 (1) for 𝑡 ≥ 0. It is not hard to show that {𝑥(𝑡) : 𝑡 ≥ 0} is a CB-process
with cumulant semigroup defined by (3.3).
Proposition 5.26 For any 𝑧 ∈ 𝐸 1 and 𝑎 > 0 we have Q𝑎 𝛿𝑧 {𝑋𝑡 = 𝑥(𝑡)𝛿 𝑧−𝑡 for
0 ≤ 𝑡 < 𝑧 and 𝑋𝑧 = 𝑥(𝑧)𝜇} = 1.
Proof Let 𝑔𝑠 (𝑥) = 1 {𝑥≠𝑧−𝑠 } for 𝑠 ≥ 0 and 𝑥 ∈ 𝐸 1 . By Theorem 5.16 we have

∫ 𝑧
Q 𝜇 exp − 𝑋𝑠 (𝑔𝑠 )d𝑠 = exp{−𝜇(𝑢 0 )}, (5.43)
0
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique bounded positive solution of

∫ 𝑧 ∫ 𝑧
𝑢𝑟 (𝑥) + P𝑟 , 𝑥 [𝜙(𝑢 𝑠 (𝜉 𝑠 ))]d𝑠 = P𝑟 , 𝑥 [𝑔𝑠 (𝜉 𝑠 )]d𝑠, 0 ≤ 𝑟 ≤ 𝑧, 𝑥 ∈ 𝐸 1 .
𝑟 𝑟
From the above equation it follows that

∫ 𝑧
𝑢𝑟 (𝑧 − 𝑟) + 𝜙(𝑢 𝑠 (𝑧 − 𝑠))d𝑠 = 0, 0 ≤ 𝑟 < 𝑧.
𝑟
Then Gronwall’s inequality implies 𝑢𝑟 (𝑧 − 𝑟) = 0 for 0 ≤ 𝑟 < 𝑧. In view of (5.43)

we get
∫ 𝑧
Q𝑎 𝛿𝑧 exp − 𝑋𝑠 (𝑔𝑠 )d𝑠 = 1. (5.44)
0
Let 𝑔𝑠(𝑘) (𝑥) = 1 ∧ (𝑘 |𝑧 − 𝑠 − 𝑥|) for 𝑠 ≥ 0 and 𝑥 ∈ 𝐸 1 . Then 𝑔𝑠(𝑘) (𝑥) → 𝑔𝑠 (𝑥)
increasingly as 𝑘 → ∞. From (5.44) it follows that
∫ 𝑧
(𝑘)
Q𝑎 𝛿𝑧 exp − 𝑋𝑠 (𝑔𝑠 )d𝑠 = 1.
0
Then the right continuity of 𝑠 ↦→ 𝑋𝑠 yields Q𝑎 𝛿𝑧 {𝑋𝑠 (𝑔𝑠(𝑘) ) = 0 for all 0 ≤ 𝑠 < 𝑧
and all integers 𝑘 ≥ 1} = 1. This implies Q𝑎 𝛿𝑧 {𝑋𝑡 = 𝑥(𝑡)𝛿 𝑧−𝑡 for 0 ≤ 𝑡 < 𝑧} = 1.
Let (𝑣 𝑡 )𝑡 ≥0 be the cumulant semigroup of the CB-process defined by (3.3). Fix
𝑓 ∈ 𝐶𝑢 (𝐸 1 ) and let ℎ𝑟 = 𝑉𝑟 𝑓 (𝑟) for 0 < 𝑟 < 1. From (2.36) and (5.41) we have
∫ 𝑟
ℎ𝑟 = 𝜇( 𝑓 ) − 𝜙(ℎ 𝑠 )d𝑠, 0 < 𝑟 < 1,
0
and so ℎ𝑟 = 𝑣 𝑟 (𝜇( 𝑓 )) by the uniqueness of the solution of (3.3). Then (2.35) implies
Q𝑎 𝛿𝑧 exp{−𝑋𝑧 ( 𝑓 )} = exp{−𝑎𝑣 𝑧 (𝜇( 𝑓 ))}. (5.45)
By (3.2) and (5.45) one sees that 𝑋𝑧 ( 𝑓 ) has the distribution of 𝑥(𝑧)𝜇( 𝑓 ) under Q𝑎 𝛿𝑧 .
Then we must have Q𝑎 𝛿𝑧 {𝑋𝑧 = 𝑥(𝑧)𝜇} = 1. □
By Proposition 5.26 we have lim𝑡 ↑𝑧 𝑋𝑡 = 𝑥(𝑧)𝛿0 by the weak convergence in

𝑀 ( [0, 1)). However, Theorem 3.8 implies 𝑥(𝑧) > 0 with strictly positive probability.
Then any realization of the (𝜉, 𝜙)-superprocess cannot be càdlàg in 𝑀 (𝐸 1 ), so the
superprocess has no Hunt process realization in 𝑀 (𝐸 1 ). This superprocess does not
even have a Hunt realization in 𝑀 (𝐸 𝜌 ), where 𝐸 𝜌 denotes the set 𝐸 1 equipped with
the Ray topology of 𝜉. To show this, let 𝒟 = {1, ℎ1 , ℎ2 , . . .} be a countable and
uniformly dense subset of 𝐶𝑢 (𝐸 1 ) + , where ℎ1 ∈ 𝐶𝑢 (𝐸 1 ) + is a non-constant function
satisfying 𝑈 1 ℎ1 (0+) = 1. From 𝒟 we can construct the countable Ray cone ℛ for
(𝑃𝑡 )𝑡 ≥0 . Then 𝑔1 := 𝑈 1 ℎ1 ∈ ℛ and 𝑔0 := 1 ∧ 𝑔1 ∈ ℛ are both continuous in the
topology of 𝐸 𝜌 . By Proposition 5.25 they are also continuous in the original topology
of 𝐸 1 .
Corollary 5.27 Suppose that 𝜇 has support supp(𝜇) = 𝐸 1 . Then 𝑡 ↦→ 𝑋𝑡 (𝑔0 ) is not
quasi-left continuous.
Proof By (5.42) it is easy to show that 𝑈 𝛼 𝑓 (0+) = 𝜇(𝑈 𝛼 𝑓 ) for every 𝛼 > 0 and
𝑓 ∈ 𝐶𝑢 (𝐸 1 ). In particular, we have 1 = 𝑔1 (0+) = 𝜇(𝑔1 ). Since 𝑔1 is not a constant,
we have
𝜇(𝑔0 ) < min{𝜇(1), 𝜇(𝑔1 )} = 1. (5.46)
For each 𝑛 ≥ 1 let 𝑇𝑛 = inf{𝑠 ≥ 0 : 𝑋𝑠 ((0, 1/𝑛]) > 0}. Let 𝑇 = 𝑧 if 𝑥(𝑧) > 0 and
let 𝑇 = ∞ otherwise. Then {𝑇𝑛 } is an increasing sequence of stopping times and
Proposition 5.26 implies Q𝑎 𝛿 𝑥 -a.s. 𝑇𝑛 → 𝑇. Moreover, we have Q𝑎 𝛿 𝑥 -a.s.
lim 𝑋𝑡 (𝑔0 ) = 𝑥(𝑧)𝑔0 (0+) = 𝑥(𝑧) and 𝑋𝑧 (𝑔0 ) = 𝑥(𝑧)𝜇(𝑔0 ).

𝑡 ↑𝑧
Since 𝑥(𝑧) > 0 with strictly positive probability, by (5.46) we see 𝑡 ↦→ 𝑋𝑡 (𝑔0 ) cannot
be quasi-left continuous at the stopping time 𝑇. □
By Corollary 5.27, any realization of this (𝜉, 𝜙)-superprocess cannot be quasi-

left continuous in 𝑀 (𝐸 𝜌 ), so the superprocess has no Hunt realization in 𝑀 (𝐸 𝜌 ).
Then it seems the last assertion in Theorem 2.20 of Fitzsimmons (1988, p. 347)
requires some additional condition. On the other hand, Theorem 5.8 implies that 𝑋
has a Hunt realization in its own Ray topology; see Sharpe (1988, p. 220). Thus the
Ray topology of the (𝜉, 𝜙)-superprocess on 𝑀 (𝐸 1 ) is different from the topology of
𝑀 (𝐸 𝜌 ).
5.6 Bounds for the Cumulant Semigroup 139
5.6 Bounds for the Cumulant Semigroup
In this section, we establish some useful upper and lower bounds for the cumulant
semigroup of the (𝜉, 𝜙)-superprocess. Recall that the branching mechanism 𝜙 is
given by (2.29) or (2.30). The discussions here are based on the following basic
comparison theorem:
Theorem 5.28 Let 𝑇 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + . Let 𝜙˜ be another branching mechanism

and let (𝑡, 𝑥) ↦→ 𝑉˜𝑡 𝑓 (𝑥) be the solution of (2.36) with 𝜙 replaced by 𝜙.
˜ Suppose
that 𝜙(𝑥, 𝑉𝑡 𝑓 ) ≥ 𝜙(𝑥, 𝑉𝑡 𝑓 ) for 0 ≤ 𝑡 ≤ 𝑇 and 𝑥 ∈ 𝐸. Then 𝑉𝑡 𝑓 (𝑥) ≤ 𝑉˜𝑡 𝑓 (𝑥) for
˜ ˜ ˜
0 ≤ 𝑡 ≤ 𝑇 and 𝑥 ∈ 𝐸.
Proof Fix 𝑡 ∈ [0, 𝑇] and let 𝑢𝑟 (𝑥) = 𝑉𝑡−𝑟 𝑓 (𝑥) and 𝑢˜ 𝑟 (𝑥) = 𝑉˜𝑡−𝑟 𝑓 (𝑥) for 0 ≤ 𝑟 ≤ 𝑡
and 𝑥 ∈ 𝐸. Then (𝑟, 𝑥) ↦→ 𝑢˜ 𝑟 (𝑥) is the unique bounded positive solution of
∫ 𝑡
𝑢˜ 𝑟 (𝑥) + ˜ 𝑠 , 𝑢˜ 𝑠 )]d𝑠 = P𝑟 , 𝑥 [ 𝑓 (𝜉𝑡 )].
P𝑟 , 𝑥 [ 𝜙(𝜉
𝑟
From this we have

∫ 𝑡 ∫ 𝑡
𝑢˜ 𝑟 (𝑥) + P𝑟 , 𝑥 [𝜙(𝜉 𝑠 , 𝑢˜ 𝑠 )]d𝑠 = P𝑟 , 𝑥 [ 𝑓 (𝜉𝑡 )] + P𝑟 , 𝑥 [𝑔𝑠 (𝜉 𝑠 )]d𝑠,
𝑟 𝑟
˜ 𝑢˜ 𝑠 ) is a bounded positive Borel function on [0, 𝑡] × 𝐸.

where 𝑔𝑠 (𝑥) = 𝜙(𝑥, 𝑢˜ 𝑠 ) − 𝜙(𝑥,
By Theorem 5.16 one can see that (𝑟, 𝑥) ↦→ 𝑢˜ 𝑟 (𝑥) appears in the characterization
of the weighted occupation time of the (𝜉, 𝜙)-superprocess. Then 𝑢𝑟 (𝑥) ≤ 𝑢˜ 𝑟 (𝑥) for
all 0 ≤ 𝑟 ≤ 𝑡 and 𝑥 ∈ 𝐸. This gives the desired result. □
Corollary 5.29 Let 𝑇 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + . Let 𝐶𝑇 ≥ 0 be a constant such that

𝑉𝑡 𝑓 (𝑥) ≤ 𝐶𝑇 for 0 ≤ 𝑡 ≤ 𝑇 and 𝑥 ∈ 𝐸. Let
∫
𝑏𝑇 (𝑥) = 𝑏(𝑥) + 𝐶𝑇 𝑐(𝑥) + (1 − e−𝐶𝑇 𝜈 (1) )𝜈({𝑥})𝐻 (𝑥, d𝜈).
𝑀 (𝐸) ◦
Then we have 𝑉𝑡 𝑓 (𝑥) ≥ 𝑃𝑡𝑏𝑇 𝑓 (𝑥) for 0 ≤ 𝑡 ≤ 𝑇 and 𝑥 ∈ 𝐸, where (𝑃𝑡𝑏𝑇 )𝑡 ≥0 is the
semigroup defined by (2.37) with 𝑏 replaced by 𝑏𝑇 .
Proof Recall the elementary inequality e−𝑧 − 1 + 𝑧 ≤ (1 − e−𝑧 )𝑧 for 𝑧 ≥ 0. By (2.31),

for 0 ≤ 𝑡 ≤ 𝑇 and 𝑥 ∈ 𝐸 we have
𝜙(𝑥, 𝑉𝑡 𝑓 ) ≤ 𝑏(𝑥)𝑉𝑡 𝑓 (𝑥) + 𝐶𝑇 𝑐(𝑥)𝑉𝑡 𝑓 (𝑥) − 𝛾(𝑥, 𝑉𝑡 𝑓 )

∫
+ (1 − e−𝜈 (𝑉𝑡 𝑓 ) )𝜈(𝑉𝑡 𝑓 )𝐻 (𝑥, d𝜈)
𝑀 (𝐸) ◦
≤ 𝑏(𝑥)𝑉𝑡 𝑓 (𝑥) + 𝐶𝑇 𝑐(𝑥)𝑉𝑡 𝑓 (𝑥) − 𝜂(𝑥, 𝑉𝑡 𝑓 )
∫
− (1 − e−𝐶𝑇 𝜈 (1) )𝜈 𝑥 (𝑉𝑡 𝑓 )𝐻 (𝑥, d𝜈)
𝑀 (𝐸) ◦
∫
+ (1 − e−𝐶𝑇 𝜈 (1) )𝜈(𝑉𝑡 𝑓 )𝐻 (𝑥, d𝜈)
𝑀 (𝐸) ◦
≤ 𝑏(𝑥)𝑉𝑡 𝑓 (𝑥) + 𝐶𝑇 𝑐(𝑥)𝑉𝑡 𝑓 (𝑥) − 𝜂(𝑥, 𝑉𝑡 𝑓 )
∫
+ (1 − e−𝐶𝑇 𝜈 (1) )𝜈({𝑥})𝑉𝑡 𝑓 (𝑥)𝐻 (𝑥, d𝜈)
𝑀 (𝐸) ◦
≤ 𝑏𝑇 (𝑥)𝑉𝑡 𝑓 (𝑥).
Then we get the result by Theorem 5.28. □
Corollary 5.30 If 𝑐 0 := sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)] ≤ 0, we have e −𝑐 ∗ 𝑡

≤ 𝑉𝑡 1(𝑥) ≤
e𝑐0 𝑡 ≤ 1 for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸, where
∫
∗ −𝜈 (1)
𝑐 = sup 𝑏(𝑥) + 𝑐(𝑥) + (1 − e )𝜈({𝑥})𝐻 (𝑥, d𝜈) .
𝑥 ∈𝐸 𝑀 (𝐸) ◦
Proof By Corollary 2.25 and Theorem A.53, we have 𝑉𝑡 1(𝑥) ≤ 𝜋𝑡 1(𝑥) ≤ e𝑐0 𝑡 ≤ 1.
Then the result follows from Corollary 5.29. □
For the branching mechanism 𝜙 given by (2.29) or (2.30), its local projection is
the function 𝜙1 on 𝐸 × [0, ∞) defined by
∫
𝜙1 (𝑥, 𝜆) = [𝑏(𝑥) − 𝛾(𝑥, 1)]𝜆 + 𝑐(𝑥)𝜆2 + 𝐾 (𝜈, 𝜆1 {𝑥 } )𝐻 (𝑥, d𝜈). (5.47)
𝑀 (𝐸) ◦
Condition 5.31 The local projection 𝜙1 is bounded below by a spatially constant

local branching mechanism 𝜙∗ , that is, 𝜙1 (𝑥, 𝜆) ≥ 𝜙∗ (𝜆) for every 𝑥 ∈ 𝐸 and 𝜆 ≥ 0.
Theorem 5.32 Suppose that Condition 5.31 is satisfied. Let (𝑣 ∗𝑡 )𝑡 ≥0 denote the cu-
mulant semigroup of the CB-process with branching mechanism 𝜙∗ . Then we have
∥𝑉𝑡 𝑓 ∥ ≤ 𝑣 ∗𝑡 (∥ 𝑓 ∥) for 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + .
𝛾
Proof We first consider the case where 𝜉 is conservative. Let (𝑃𝑡 )𝑡 ≥0 be the semi-
group of kernels defined by (2.37) with 𝑏 replaced by 𝛾(·, 1). By Theorem A.44 we
can define a conservative Borel right semigroup ( 𝑃˜𝑡 )𝑡 ≥0 on 𝐸 by
∫ 𝑡 ∫
˜ 𝛾
𝑃𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + d𝑠 𝛾(𝑦, 𝑃˜ 𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦).
𝛾
(5.48)
0 𝐸
Let 𝜙˜ be the branching mechanism defined by
˜
𝜙(𝑥, 𝑓 ) = 𝜙1 (𝑥, 𝑓 (𝑥)) + 𝛾(𝑥, 1) 𝑓 (𝑥) − 𝛾(𝑥, 𝑓 ).
˜
It is easy to see that 𝜙(𝑥, 𝑓 ) ≥ 𝜙(𝑥, 𝑓 ). Let (𝑉˜𝑡 )𝑡 ≥0 denote the cumulant semigroup
of the (𝜉, 𝜙)-superprocess. Then (𝑡, 𝑥) ↦→ 𝑉˜𝑡 𝑓 (𝑥) is the unique locally bounded
˜
positive solution to
∫ 𝑡 ∫
˜
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 ˜ 𝑉˜𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦).
𝜙(𝑦, (5.49)
0 𝐸
5.6 Bounds for the Cumulant Semigroup 141
By Theorem 5.28 we have 𝑉𝑡 𝑓 (𝑥) ≤ 𝑉˜𝑡 𝑓 (𝑥). By Proposition 2.9, we can rewrite
(5.49) as
∫ 𝑡 ∫
𝑉˜𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − 𝜙1 (𝑦, 𝑉˜𝑠 𝑓 (𝑦)) − 𝛾(𝑦, 𝑉˜𝑠 𝑓 ) 𝑃𝑡−𝑠 (𝑥, d𝑦).
𝛾 𝛾
d𝑠
0 𝐸
Using (5.48) again we get

∫ 𝑡 ∫ 𝑡
𝑉˜𝑡 𝑓 (𝑥) = 𝑃˜𝑡 𝑓 (𝑥) − 𝑃𝑡−𝑠 𝜙1 (𝑉˜𝑠 𝑓 ) (𝑥)d𝑠 + 𝑃𝑡−𝑠 𝛾(𝑉˜𝑠 𝑓 − 𝑃˜ 𝑠 𝑓 ) (𝑥)d𝑠.
𝛾 𝛾
0 0
By using the above relation successively and arguing as in the proof of Theorem 2.23
we see (𝑡, 𝑥) ↦→ 𝑉˜𝑡 𝑓 (𝑥) is also the unique locally bounded positive solution to
∫ 𝑡 ∫
˜ ˜
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙1 (𝑦, 𝑉˜𝑠 𝑓 (𝑦)) 𝑃˜𝑡−𝑠 (𝑥, d𝑦).
0 𝐸
Then (𝑉˜𝑡 )𝑡 ≥0 is actually the cumulant semigroup of a Dawson–Watanabe super-

process with local branching mechanism 𝜙1 and underlying transition semigroup
( 𝑃˜𝑡 )𝑡 ≥0 . Since 𝜙1 (𝑥, 𝜆) ≥ 𝜙∗ (𝜆) for all 𝑥 ∈ 𝐸 and 𝜆 ≥ 0, using Theorem 5.28 again
we see 𝑉˜𝑡 𝑓 (𝑥) ≤ 𝑉˜𝑡 ∥ 𝑓 ∥ (𝑥) ≤ 𝑣 ∗𝑡 (∥ 𝑓 ∥) for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. This gives the result
when 𝜉 is conservative. In the general case, let 𝜉ˆ be the conservative extension of
𝜉 to the state space 𝐸ˆ := 𝐸 ∪ {𝜕} with 𝜕 being an isolated cemetery. Let 𝜙ˆ be the
branching mechanism on 𝐸ˆ defined by 𝜙(𝜕, ˆ ˆ
𝑓 ) = 𝜙∗ ( 𝑓 (𝜕)) and 𝜙(𝑥, 𝑓 ) = 𝜙(𝑥, 𝑓 | 𝐸 )
ˆ + ˆ
for 𝑥 ∈ 𝐸, where 𝑓 ∈ 𝐵( 𝐸) . Let (𝑉𝑡 )𝑡 ≥0 be the cumulant semigroup of the
ˆ 𝜙)-superprocess.
( 𝜉, ˆ It is easy to show that 𝑉𝑡 𝑓 (𝑥) = 𝑉ˆ𝑡 ( 𝑓 1𝐸 ) (𝑥) for 𝑥 ∈ 𝐸 and
+
𝑓 ∈ 𝐵(𝐸) . Then we still have the desired result. □
Corollary 5.33 Suppose that Condition 5.31 holds with 𝜙∗′ (∞) = ∞. Then we have
𝐸𝐶 = 𝐸.
Proof By Theorem 5.32 we have 𝑉𝑡 𝑓 (𝑥) ≤ 𝑣 ∗𝑡 (∥ 𝑓 ∥) for 𝑥 ∈ 𝐸 and 𝑓 ∈ 𝐵(𝐸) + .

Suppose that there exist 𝑡 > 0 and 𝑥 ∈ 𝐸 such that 𝑉𝑡 𝑓 (𝑥) is represented by (2.5)
with 𝜆 𝑡 (𝑥, 1) > 0. By Theorem 3.14, we have the representation (3.15) for 𝑣 ∗𝑡 (𝜆) with
𝑡 > 0. Then (𝜕/𝜕𝜆)𝑣 ∗𝑡 (𝜆) → 0 as 𝜆 → ∞. It follows that 𝑉𝑡 𝜆(𝑥) ≥ 𝜆 𝑡 (𝑥, 1)𝜆 ≥ 𝑣 ∗𝑡 (𝜆)
when 𝜆 ≥ 0 is sufficiently large, yielding a contradiction. This proves 𝜆 𝑡 (𝑥, 1) = 0
for all 𝑡 > 0 and 𝑥 ∈ 𝐸. □
Corollary 5.34 Suppose that Condition 5.31 holds with 𝜙∗ satisfying Grey’s con-
dition. Then 𝐸𝐶 = 𝐸 and ∥ 𝑣¯ 𝑡 ∥ ≤ 𝑣¯ ∗𝑡 := lim𝜆→∞ 𝑣 ∗𝑡 (𝜆) < ∞ for 𝑡 > 0 and
∥ 𝑣¯ 𝑡 ∥ ≤ e𝑐0 (𝑡−𝑟) ∥ 𝑣¯ 𝑟 ∥ for 𝑡 ≥ 𝑟 > 0, where 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)].
Proof Since 𝜙∗ satisfies Grey’s condition, by Theorems 3.10 and 5.32, for any 𝑡 > 0
we have ∥ 𝑣¯ 𝑡 ∥ ≤ 𝑣¯ ∗𝑡 < ∞, which implies 𝐸𝐶 = 𝐸. By Theorem A.53 we have
∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0. Then ∥ 𝑣¯ 𝑡 ∥ = ∥𝑉𝑡−𝑟 𝑣¯ 𝑟 ∥ ≤ ∥𝜋𝑡−𝑟 𝑣¯ 𝑟 ∥ ≤ e𝑐0 (𝑡−𝑟) ∥ 𝑣¯ 𝑟 ∥ for
𝑡 ≥ 𝑟 > 0. □
The proofs in the first three sections follow those of Fitzsimmons (1988, 1992), where
local branching mechanisms were considered. Some different potential theoretical
methods for the regularity of superprocesses were given in Beznea (2011). Starting
from a local branching superprocess as the underlying spatial motion, a Markov
branching systems taking values of configurations on the space of finite measures was
constructed by Beznea and Lupaşcu (2016). Their proof of the sample path regularity
relies on the analysis of some convenient superharmonic functions with compact level
sets. For càdlàg spatial motions, the existence of right realizations of superprocesses
was studied in Dynkin (1993b), Kuznetsov (1994), Leduc (2000) and Schied (1999).
In particular, Leduc (2000) constructed a class of Hunt superprocesses under a
second-moment condition on the kernel 𝐻 (𝑥, d𝜈) in the expression of the branching
mechanism and proved that any Hunt MB-process satisfying certain assumptions
has a version in his class. The weighted occupation times were first introduced by
Iscoe (1986) for super-stable processes. They were then used in Iscoe (1988) to
study supporting properties of super-Brownian motions. Theorem 5.15 was adopted
from Dynkin (1993a). It generalizes the result of Iscoe (1986). Proposition 5.20 was
proved in He and Li (2016). The results of Corollaries 5.21 and 5.22 can also be
derived from the theory of Lévy processes; see, e.g. Corollaries 12.9 and 12.10 in
Kyprianou (2014, p. 347). The present form of Theorem 5.32 was given in Li (2021);
see also Dawson (1993, pp. 195–196) and Li (2001) for related discussions.
We may think of (5.31) as a Feynman–Kac formula for the (𝜉, 𝜙)-superprocess
𝑋. The formula gives a characterization of the subprocess of 𝑋 obtained from the
decreasing multiplicative functional
∫ 𝑡
𝑡 ↦→ exp − 𝑋𝑠 (𝑔)d𝑠 .
0
In view of (2.36) and (5.32), this subprocess can also be regarded as a superprocess
with branching mechanism 𝑓 ↦→ 𝜙(·, 𝑓 ) − 𝑔. This type of branching mechanism was
considered in Dynkin (1994) under the technical condition
∫
𝜈 𝑥 (1) + 𝜈({𝑥}) 2 𝐻 (𝑥, d𝜈) = 0,

lim sup
𝜀→0 𝑥 ∈𝐸 {𝜈 (1) ≤ 𝜀 }
where 𝜈 𝑥 (d𝑦) denotes the restriction of 𝜈(d𝑦) to 𝐸 \ {𝑥}.

Chapter 6
Constructions by Transformations
In this chapter, we give the construction of several classes of superprocesses by

transformations. In particular, we extend the state space of the superprocess to
some 𝜎-finite measures. Other classes we shall construct include multitype su-
perprocesses, age-structured superprocesses, conditioned superprocesses and time-
inhomogeneous superprocesses. The constructions give not only the existence but
also the regularity of those superprocesses. The setting of Borel right processes we
have chosen is particularly suitable for the applications of those transformations.
6.1 Spaces of Tempered Measures
In this section, we extend the state space of the Dawson–Watanabe superprocess to

include some 𝜎-finite measures. Suppose that 𝐸 is a Lusin topological space. We fix
a strictly positive function ℎ ∈ pℬ(𝐸). Recall that 𝑀ℎ (𝐸) is the space of tempered
measures 𝜇 on 𝐸 satisfying 𝜇(ℎ) < ∞. Let 𝑀ℎ (𝐸) ◦ = 𝑀ℎ (𝐸) \ {0}. The topology
on 𝑀ℎ (𝐸) is defined by the convention:
𝜇 𝑛 → 𝜇 if and only if 𝜇 𝑛 (ℎ 𝑓 ) → 𝜇(ℎ 𝑓 ) for all 𝑓 ∈ 𝐶 (𝐸).
Suppose that 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) is a Borel right process in 𝐸 with transition

semigroup (𝑃𝑡 )𝑡 ≥0 . We here assume (ℱ, ℱ𝑡 ) are the augmentations of the natural
𝜎-algebras (ℱ 0 , ℱ𝑡0 ) generated by the sample path {𝜉𝑡 : 𝑡 ≥ 0}. Let (ℱ 𝑢 , ℱ𝑡𝑢 )
be the natural 𝜎-algebras on Ω generated by {𝜉𝑡 : 𝑡 ≥ 0} as random variables in
𝐸 furnished with the universal 𝜎-algebra ℬ𝑢 (𝐸). Let 𝑡 ↦→ 𝐾 (𝑡) be a continuous
additive functional of 𝜉 and assume each 𝜔 ↦→ 𝐾𝑡 (𝜔) is measurable with respect to
ℱ 0 . Let 𝜌 ∈ pℬ(𝐸) be a strictly positive function such that 𝜌 ≤ ℎ and define the
continuous additive functional
∫ 𝑡
𝐽 (𝑡) = 𝜌(𝜉 𝑠 )ℎ(𝜉 𝑠 ) −1 𝐾 (d𝑠), 𝑡 ≥ 0.
0

144 6 Constructions by Transformations
Suppose that there is a constant 𝛼 ≥ 0 such that, as 𝑡 ↓ 0,
P 𝑥 e−𝛼𝐽 (𝑡) ℎ(𝜉𝑡 ) ↑ ℎ(𝑥),

𝑥∈𝐸 (6.1)
and
∫ 𝑡
−1 −𝛼𝐽 (𝑠)
sup ℎ(𝑥) P 𝑥 e 𝜌(𝜉 𝑠 )𝐾 (d𝑠) → 0. (6.2)
𝑥 ∈𝐸 0
Let 𝑏 ∈ ℬ(𝐸) and 𝑐 ∈ pℬ(𝐸). Let 𝜂(𝑥, d𝑦) be a 𝜎-finite kernel on 𝐸 and let
𝐻 (𝑥, d𝜈) be a 𝜎-finite kernel from 𝐸 to 𝑀ℎ (𝐸) ◦ such that

−1
sup 𝜌(𝑥) |𝑏(𝑥)|ℎ(𝑥) + 𝑐(𝑥)ℎ(𝑥) 2 + 𝜂(𝑥, ℎ)
𝑥 ∈𝐸 ∫
𝜈(ℎ) ∧ 𝜈(ℎ) 2 + 𝜈 𝑥 (ℎ) 𝐻 (𝑥, d𝜈) < ∞,

+ (6.3)
𝑀ℎ (𝐸) ◦
where 𝜈 𝑥 (d𝑦) denotes the restriction of 𝜈(d𝑦) to 𝐸 \ {𝑥}. Recall that 𝐵 ℎ (𝐸) is the set
of functions 𝑓 ∈ ℬ(𝐸) satisfying | 𝑓 | ≤ const. · ℎ. Let 𝐵𝜌 (𝐸) be defined similarly
with 𝜌 replacing ℎ. We consider the operator 𝑓 ↦→ 𝜙(·, 𝑓 ) from 𝐵 ℎ (𝐸) + to 𝐵𝜌 (𝐸)
with the representation
∫
2
𝜙(𝑥, 𝑓 ) = 𝑏(𝑥) 𝑓 (𝑥) + 𝑐(𝑥) 𝑓 (𝑥) − 𝑓 (𝑦)𝜂(𝑥, d𝑦)
∫ 𝐸
−𝜈 ( 𝑓 )
+ e − 1 + 𝜈({𝑥}) 𝑓 (𝑥) 𝐻 (𝑥, d𝜈). (6.4)
𝑀ℎ (𝐸) ◦
Theorem 6.1 For each 𝑓 ∈ 𝐵 ℎ (𝐸) + there is a unique positive solution (𝑡, 𝑥) ↦→
𝑣 𝑡 (𝑥, 𝑓 ) = 𝑉𝑡 𝑓 (𝑥) to the evolution equation
∫ 𝑡
𝑣 𝑡 (𝑥) = P 𝑥 [ 𝑓 (𝜉𝑡 )] − P 𝑥 𝜙(𝜉 𝑠 , 𝑣 𝑡−𝑠 )𝐾 (d𝑠) , 𝑡 ≥ 0, 𝑥 ∈ 𝐸, (6.5)
0
↦ ∥ℎ−1 𝑣 𝑡 (·, 𝑓 ) ∥ is bounded on each bounded interval [0, 𝑇]. Moreover,

such that 𝑡 →
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}, 𝑓 ∈ 𝐵 ℎ (𝐸) + , (6.6)
𝑀ℎ (𝐸)
defines a transition semigroup (𝑄 𝑡 )𝑡 ≥0 on 𝑀ℎ (𝐸).
A realization of the transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (6.6) is naturally

called a (𝜉, 𝐾, 𝜙)-superprocess with state space 𝑀ℎ (𝐸). The proof of the above
theorem is based on a number of transformations. Since (𝑃𝑡 )𝑡 ≥0 is Borel and each
𝜔 ↦→ 𝐽𝑡 (𝜔) is measurable with respect to the natural 𝜎-algebra ℱ 0 , we can define a
Borel right semigroup (𝑃𝑡𝛼 )𝑡 ≥0 on 𝐸 by
𝑃𝑡𝛼 𝑓 (𝑥) = P 𝑥 e−𝛼𝐽 (𝑡) 𝑓 (𝜉𝑡 ) , 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸).

6.1 Spaces of Tempered Measures 145
Let 𝜁 denote the lifetime of 𝜉. By the discussions in Sharpe (1988, pp. 286–287), for
every initial law 𝜇 on 𝐸 there exists a probability measure P 𝜇𝛼 on (Ω, ℱ 𝑢 ) such that
P 𝜇𝛼 (𝐻1 {𝑡 <𝜁 } ) = P 𝜇 e−𝛼𝐽 (𝑡) 𝐻1 {𝑡 <𝜁 } ,

𝐻 ∈ bℱ𝑡𝑢 (6.7)
and 𝜉 𝛼 = (Ω, ℱ 𝛼 , ℱ𝑡𝛼 , 𝜉𝑡 , P 𝑥𝛼 ) is a right process with transition semigroup (𝑃𝑡𝛼 )𝑡 ≥0 ,

where (ℱ 𝛼 , ℱ𝑡𝛼 ) is the augmentation of (ℱ 𝑢 , ℱ𝑡𝑢 ) by the system {P 𝜇𝛼 : 𝜇 is a
probability on 𝐸 }. From (6.1) we see that ℎ is an excessive function for (𝑃𝑡𝛼 )𝑡 ≥0 .
Then we can define another Borel semigroup ( 𝑃˜𝑡 )𝑡 ≥0 by
𝑃˜𝑡 𝑓 (𝑥) = ℎ(𝑥) −1 𝑃𝑡𝛼 (𝑥, ℎ 𝑓 ), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸).
By the discussions in Sharpe (1988, pp. 296–299), there is a unique probability

kernel P̃ 𝑥 (d𝑤) from (𝐸, ℬ𝑢 (𝐸)) to (Ω, ℱ 𝑢 ) rendering {𝜉𝑡 : 𝑡 ≥ 0} Markov with
transition semigroup ( 𝑃˜𝑡 )𝑡 ≥0 and P̃ 𝑥 {𝜉0 = 𝑥} = 1. In addition, we have
P̃ 𝑥 (𝐻1 {𝑡 <𝜁 } ) = ℎ(𝑥) −1 P 𝑥 e−𝛼𝐽 (𝑡) ℎ(𝜉𝑡 )𝐻 ,

𝑡 ≥ 0, 𝐻 ∈ bℱ𝑡𝑢 . (6.8)
For each initial law 𝜇 on 𝐸 define P̃ 𝜇 as usual and let ( ℱ̃, ℱ̃𝑡 ) be the augmentation
of (ℱ 𝑢 , ℱ𝑡𝑢 ) by {P̃ 𝜇 : 𝜇 is an initial law on 𝐸 }. Then 𝜉˜ = (Ω, ℱ̃, ℱ̃𝑡 , 𝜉𝑡 , P̃ 𝑥 ) is a
right process.
Lemma 6.2 For any 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) we have

∫ 𝑡
−𝛼𝐽 (𝑡)
P𝑥 𝑓 (𝜉 𝑠 )𝐽 (d𝑠)e ℎ(𝜉𝑡 )
0 ∫ 𝑡
= P𝑥 𝑓 (𝜉 𝑠 )e−𝛼𝐽 (𝑠) 𝜌(𝜉 𝑠 )𝐾 (d𝑠) . (6.9)
0
Proof We first assume 𝑓 ∈ 𝐵 ℎ (𝐸) + . Let 0 = 𝑡0 < 𝑡 1 < · · · < 𝑡 𝑛 = 𝑡 be a partition of

[0, 𝑡] and write
𝑛
∑︁ ∫ 𝑡𝑖
l.h.s. of (6.9) = P𝑥 𝑓 (𝜉 𝑠 )𝐽 (d𝑠)e−𝛼𝐽 (𝑡) ℎ(𝜉𝑡 ) .
𝑖=1 𝑡𝑖−1
One can use (6.8) to see
P 𝑥 𝐺e−𝛼𝐽 (𝑡) ℎ(𝜉𝑡 ) = P 𝑥 𝐺e−𝛼𝐽 (𝑡𝑖 ) ℎ(𝜉𝑡𝑖 ) ,

𝐺 ∈ pℱ𝑡𝑖 .
In particular, we get
𝑛
∑︁ ∫ 𝑡𝑖
l.h.s. of (6.9) = P𝑥 𝑓 (𝜉 𝑠 ) 𝜌(𝜉 𝑠 )ℎ(𝜉 𝑠 ) −1 𝐾 (d𝑠)e−𝛼𝐽 (𝑡𝑖 ) ℎ(𝜉𝑡𝑖 )
𝑖=1 ∫ 𝑡𝑖−1
𝑡
= P𝑥 𝑓 (𝜉 𝑠 ) 𝜌(𝜉 𝑠 )e−𝛼𝐽 ( 𝜏𝑛 (𝑠)) ℎ(𝜉 𝜏𝑛 (𝑠) )ℎ(𝜉 𝑠 ) −1 𝐾 (d𝑠) ,
0
where 𝜏𝑛 (𝑠) = 𝑡𝑖 for 𝑡𝑖−1 < 𝑠 ≤ 𝑡 𝑖 . Since ℎ is an excessive function for (𝑃𝑡𝛼 )𝑡 ≥0 , it
is finely continuous relative to this semigroup. By (6.7) and Theorem A.20 we see
that 𝑡 ↦→ ℎ(𝜉𝑡 ) is P 𝑥 -a.s. right continuous. Then we get (6.9) by taking limits in
the right-hand side of the above equation. By monotone convergence, we see (6.9)
remains true for 𝑓 ∈ 𝐵(𝐸) + . The equality for 𝑓 ∈ 𝐵(𝐸) follows by linearity. □
Proof (of Theorem 6.1) If we write 𝜓(𝑥, 𝑓 ) = 𝜌(𝑥) −1 𝜙(𝑥, ℎ 𝑓 ), then the operator
𝑓 ↦→ 𝜓(·, 𝑓 ) − 𝛼 𝑓 satisfies the assumptions on the branching mechanism in Theo-
rem 2.21. By (6.8) and (6.9) we have
∫ 𝑡
P̃ 𝑥 [𝐽 (𝑡)] = ℎ(𝑥) −1 P 𝑥 e−𝛼𝐽 (𝑠) 𝜌(𝜉 𝑠 )𝐾 (d𝑠) .
0
Then (6.2) implies that 𝑡 ↦→ 𝐽 (𝑡) is an admissible additive functional of 𝜉. ˜ By

Theorem 2.21 for each 𝑓 ∈ 𝐵(𝐸) + there is a unique locally bounded positive solution
(𝑡, 𝑥) ↦→ 𝑢 𝑡 (𝑥, 𝑓 ) to
∫ 𝑡
𝑢 𝑡 (𝑥) = P̃ 𝑥 [ 𝑓 (𝜉𝑡 )] − P̃ 𝑥 [𝜓(𝜉 𝑠 , 𝑢 𝑡−𝑠 ) − 𝛼𝑢 𝑡−𝑠 (𝜉 𝑠 )]𝐽 (d𝑠)
0
and the operators 𝑈𝑡 : 𝑓 ↦→ 𝑢 𝑡 (·, 𝑓 ) constitute a cumulant semigroup. Let (𝑄 𝑡ℎ )𝑡 ≥0

be the transition semigroup of the Dawson–Watanabe superprocess in 𝑀 (𝐸) corre-
sponding to (𝑈𝑡 )𝑡 ≥0 . By Lemma 6.2 we can rewrite the above equation as
∫ 𝑡
ℎ(𝑥)𝑢 𝑡 (𝑥) = P 𝑥 e−𝛼𝐽 (𝑡) ℎ(𝜉𝑡 ) 𝑓 (𝜉𝑡 ) − P 𝑥 𝜓(𝜉 𝑠 , 𝑢 𝑡−𝑠 )e−𝛼𝐽 (𝑠) 𝜌(𝜉 𝑠 )𝐾 (d𝑠)

0
∫ 𝑡
−𝛼𝐽 (𝑠)
+ P𝑥 𝛼𝑢 𝑡−𝑠 (𝜉 𝑠 )e 𝜌(𝜉 𝑠 )𝐾 (d𝑠) .
0
A careful application of Proposition 2.9 shows the above equation is equivalent to

∫ 𝑡

ℎ(𝑥)𝑢 𝑡 (𝑥) = P 𝑥 ℎ(𝜉𝑡 ) 𝑓 (𝜉𝑡 ) − P 𝑥 𝜓(𝜉 𝑠 , 𝑢 𝑡−𝑠 ) 𝜌(𝜉 𝑠 )𝐾 (d𝑠) .
0
Let 𝑣 𝑡 (𝑥, 𝑓 ) = ℎ(𝑥)𝑢 𝑡 (𝑥, ℎ−1 𝑓 ) for 𝑓 ∈ 𝐵 ℎ (𝐸) + . Then (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) is the
unique positive solution of (6.5) such that 𝑡 ↦→ ∥ℎ−1 𝑣 𝑡 (·, 𝑓 ) ∥ is bounded on each
bounded interval [0, 𝑇]. Now (𝑄 𝑡ℎ )𝑡 ≥0 induces a transition semigroup (𝑄 𝑡 )𝑡 ≥0 on
𝑀ℎ (𝐸) by the homeomorphism 𝜇(d𝑥) ↦→ ℎ(𝑥) −1 𝜇(d𝑥) from 𝑀 (𝐸) to 𝑀ℎ (𝐸). It is
easy to see that (𝑄 𝑡 )𝑡 ≥0 is characterized by (6.6). □
Now let us consider the special case where ℎ ∈ pℬ(𝐸) is a strictly positive
𝛼-excessive function for (𝑃𝑡 )𝑡 ≥0 for some 𝛼 ≥ 0. Then we can define a Borel right
semigroup ( 𝑃˜𝑡 )𝑡 ≥0 on 𝐸 by
𝑃˜𝑡 𝑓 (𝑥) = ℎ(𝑥) −1 e−𝛼𝑡 𝑃𝑡 (𝑥, ℎ 𝑓 ), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸). (6.10)

6.1 Spaces of Tempered Measures 147
Theorem 6.3 Suppose that (6.3) is satisfied for 𝜌 = ℎ. Then for each 𝑓 ∈ 𝐵 ℎ (𝐸) +
there is a unique positive solution (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥, 𝑓 ) = 𝑉𝑡 𝑓 (𝑥) to the evolution
equation
∫ 𝑡 ∫
𝑣 𝑡 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙(𝑦, 𝑣 𝑠 )𝑃𝑡−𝑠 (𝑥, d𝑦), 𝑡 ≥ 0, 𝑥 ∈ 𝐸, (6.11)
0 𝐸
such that 𝑡 ↦→ ∥ℎ−1 𝑣 𝑡 (·, 𝑓 ) ∥ is bounded on each bounded interval [0, 𝑇]. Moreover,
a Borel right semigroup (𝑄 𝑡 )𝑡 ≥0 on 𝑀ℎ (𝐸) is defined by (6.6). If, in addition, the
semigroup ( 𝑃˜𝑡 )𝑡 ≥0 given by (6.10) has a Hunt realization, then (𝑄 𝑡 )𝑡 ≥0 has a Hunt
realization.
Proof The first assertion is a special case of Theorem 6.1. By Theorem 5.13 the
semigroup (𝑄 𝑡ℎ )𝑡 ≥0 constructed in the proof of Theorem 6.1 with 𝐾 (d𝑠) = 𝐽 (d𝑠) =
d𝑠 has a right realization. Then (𝑄 𝑡 )𝑡 ≥0 has a right realization by Theorem A.21. If
( 𝑃˜𝑡 )𝑡 ≥0 has a Hunt realization, then (𝑄 𝑡ℎ )𝑡 ≥0 has a Hunt realization by Theorem 5.13.
From the proof of Theorem 6.1 one can see (𝑄 𝑡 )𝑡 ≥0 has a Hunt realization. □
A typical situation where the above theorems apply is described as follows. Let
F be the set of functions 𝑓 ∈ 𝐵(𝐸) that are finely continuous relative to 𝜉. Fix 𝛽 > 0
and let ( 𝐴, 𝒟( 𝐴)) be the weak generator of (𝑃𝑡 )𝑡 ≥0 defined by 𝒟( 𝐴) = 𝑈 𝛽 F and
𝐴 𝑓 = 𝛽 𝑓 − 𝑔 for 𝑓 = 𝑈 𝛽 𝑔 ∈ 𝒟( 𝐴). Take a constant 𝛼 > 0 and a strictly positive
function ℎ ∈ 𝒟( 𝐴) satisfying 𝐴ℎ(𝑥) ≤ 𝛼ℎ(𝑥) for all 𝑥 ∈ 𝐸. By Theorem A.47 and
integration by parts we have
∫ 𝑡
e−𝛼𝑡 𝑃𝑡 ℎ(𝑥) = ℎ(𝑥) + e−𝛼𝑠 [𝑃𝑠 𝐴ℎ(𝑥) − 𝛼𝑃𝑠 ℎ(𝑥)]d𝑠 ≤ ℎ(𝑥). (6.12)
0
Then ℎ is an 𝛼-excessive function for (𝑃𝑡 )𝑡 ≥0 .
Example 6.1 Consider the 𝑑-dimensional Euclidean space R𝑑 . Let 𝐶 2 (R𝑑 ) denote the
set of bounded continuous real functions on R𝑑 with bounded continuous derivatives
up to the second order. Suppose that 𝜉 is a diffusion process in R𝑑 with generator 𝐴
determined by
𝑑 𝑑
∑︁ 𝜕2 𝑓 ∑︁ 𝜕𝑓
𝐴 𝑓 (𝑥) = 𝑎 𝑖 𝑗 (𝑥) (𝑥) + 𝑏 𝑗 (𝑥) (𝑥), 𝑓 ∈ 𝐶 2 (R𝑑 ),
𝑖, 𝑗=1
𝜕𝑥𝑖 𝜕𝑥 𝑗 𝑗=1
𝜕𝑥 𝑗
where 𝑥 ↦→ 𝑎 𝑖 𝑗 (𝑥) and 𝑥 ↦→ 𝑏 𝑗 (𝑥) are bounded Hölder continuous functions on R𝑑

satisfying the uniform elliptic condition. That is, there is a constant 𝜃 0 > 0 such that
𝑑
∑︁ 𝑑
∑︁
𝑎 𝑖 𝑗 (𝑥)𝑢 𝑖 𝑢 𝑗 ≥ 𝜃 0 𝑢 2𝑖 , 𝑥 ∈ R𝑑 , 𝑢 𝑖 ∈ R, 𝑖 = 1, . . . , 𝑑.
𝑖, 𝑗=1 𝑖=1
Fix 𝑝 > 0 and let ℎ(𝑥) = (1 + |𝑥| 2 ) − 𝑝/2 for 𝑥 ∈ R𝑑 , where | · | denotes the Euclidean
norm. It is easy to find a constant 𝛼 > 0 such that | 𝐴ℎ(𝑥)| ≤ 𝛼ℎ(𝑥) for all 𝑥 ∈ R𝑑 .
Example 6.2 Let 𝜉 be the standard one-dimensional Brownian motion killed at the
origin. Then 𝜉 has state space R◦ := R \ {0}. Let (𝑃𝑡 )𝑡 ≥0 denote the transition
semigroup of 𝜉. For any 𝑡 > 0 the sub-Markov kernel 𝑃𝑡 (𝑥, d𝑦) has density

𝑔 (𝑥 − 𝑦) − 𝑔𝑡 (𝑥 + 𝑦) if 𝑥𝑦 > 0,
𝑝 𝑡 (𝑥, 𝑦) = 𝑡
0 otherwise,
where 𝑔𝑡 (𝑧) is given by (2.48). It is easy to show that ℎ(𝑥) ≡ |𝑥| is an invariant
function for (𝑃𝑡 )𝑡 ≥0 . Let 𝜙(𝑥, 𝑓 ) = |𝑥| −𝜎 𝑓 (𝑥) 1+𝛽 for constants 0 < 𝛽 ≤ 1 and
𝛽 ≤ 𝜎 ≤ 1 + 𝛽. Then (6.3) is satisfied with 𝜌(𝑥) = |𝑥| 1+𝛽−𝜎 . Moreover, since
0 ≤ 1 + 𝛽 − 𝜎 ≤ 1, we have
∫ 𝑡 ∫ 𝑡
P 𝑥 [𝜌(𝜉 𝑠 )]d𝑠 ≤ P 𝑥 [1 + |𝜉 𝑠 |]d𝑠
0 ∫0 𝑡 ∫ |𝑥 |
d𝑠 2
≤ √ e−𝑧 /2𝑠 d𝑧 + 𝑡|𝑥|
0 √ 2𝜋𝑠 − |𝑥 |
2 2𝑡
≤ √ + 𝑡 ℎ(𝑥).
𝜋
By Theorem 6.1 we can define a cumulant semigroup (𝑉𝑡 )𝑡 ≥0 on 𝐵 ℎ (R◦ ) + by

∫ 𝑡
P 𝑥 |𝜉 𝑠 | −𝜎 𝑉𝑡−𝑠 𝑓 (𝜉 𝑠 ) 1+𝛽 d𝑠, 𝑡 ≥ 0, 𝑥 ∈ R◦ .

𝑉𝑡 𝑓 (𝑥) = P 𝑥 [ 𝑓 (𝜉𝑡 )] −
0
This gives a (𝜉, 𝜙)-superprocess 𝑋 in 𝑀ℎ (R◦ ). By Proposition 2.27 and the con-
struction in the proof of Theorem 6.1 we have the moment formula
Q 𝜇 [𝑋𝑡 ( 𝑓 )] = 𝜇(𝑃𝑡 𝑓 ), 𝑡 ≥ 0, 𝜇 ∈ 𝑀ℎ (R◦ ), 𝑓 ∈ 𝐵 ℎ (R◦ ).
Then we can also take 𝑀 (R◦ ) as the state space of 𝑋 and the above formula remains
true for 𝜇 ∈ 𝑀 (R◦ ) and 𝑓 ∈ 𝐵(R◦ ). It is easy to see that {𝑋𝑡 (1) : 𝑡 ≥ 0} is a
supermartingale but not a martingale unless 𝑋0 = 0.
Example 6.3 For the local branching mechanism 𝜙 defined by (2.49), the assumption
(6.3) means

−1
sup ℎ(𝑥) 𝜌(𝑥) |𝑏(𝑥)| + 𝑐(𝑥)ℎ(𝑥)
𝑥 ∈𝐸 ∫ ∞
2

+ 𝑢 ∧ (𝑢 ℎ(𝑥)) 𝑚(𝑥, d𝑢) < ∞.
0
Clearly, the above condition is satisfied when 𝜌 = ℎ is a bounded function on 𝐸.

6.2 Multitype Superprocesses 149
6.2 Multitype Superprocesses
In this section, we derive the existence of some multitype superprocesses from

the non-local branching superprocess. For simplicity we only consider Lebesgue
killing densities. Suppose that 𝐸 and 𝑇 are Lusin topological spaces. Let 𝜉 =
{ℱ, ℱ𝑡 , (𝜉𝑡 , 𝛼𝑡 ), P ( 𝑥,𝑎) } be a Borel right process with state space 𝐸 × 𝑇. In general,
the factors {𝜉𝑡 : 𝑡 ≥ 0} and {𝛼𝑡 : 𝑡 ≥ 0} are not necessarily independent. Let
𝜙 = 𝜙(𝑥, 𝑎, 𝑓 ) be a branching mechanism given by (2.29) or (2.30) with 𝐸 replaced
by 𝐸 × 𝑇. By Theorem 5.13 we have the following:
Theorem 6.4 There is a Borel right superprocess 𝑋 = (𝑊, 𝑋𝑡 , 𝒢, 𝒢𝑡 , Q 𝜇 ) with state

space 𝑀 (𝐸 × 𝑇) and with the transition probabilities determined by
Q 𝜇 exp{−𝑋𝑡 ( 𝑓 )} = exp{−𝜇(𝑉𝑡 𝑓 )}, 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸 × 𝑇) + , (6.13)
where (𝑡, 𝑥, 𝑎) ↦→ 𝑉𝑡 𝑓 (𝑥, 𝑎) is the unique locally bounded positive solution of

∫ 𝑡

𝑉𝑡 𝑓 (𝑥, 𝑎) = P ( 𝑥,𝑎) 𝑓 (𝜉𝑡 , 𝛼𝑡 ) − P ( 𝑥,𝑎) 𝜙(𝜉 𝑠 , 𝛼𝑠 , 𝑉𝑡−𝑠 𝑓 )d𝑠 . (6.14)
0
The process 𝑋 defined by (6.13) and (6.14) is called a multitype superprocess

with type space 𝑇. Heuristically, the process {𝜉𝑡 : 𝑡 ≥ 0} describes the migration of
the particles and {𝛼𝑡 : 𝑡 ≥ 0} represents the mutation of their types. The two factors
are treated equally in (6.14).
We often apply Theorem 6.4 to a special form of the branching mechanism given
as follows. For any 𝑓 ∈ 𝐵(𝐸 × 𝑇) + let 𝜓 = 𝜓(𝑥, 𝑎, 𝑓 ) and 𝜙 = 𝜙(𝑥, 𝑎, 𝑓 ) be
given respectively by (2.21) and (2.29) with 𝑥 ∈ 𝐸 replaced by (𝑥, 𝑎) ∈ 𝐸 × 𝑇.
Let 𝜋(𝑥, 𝑎, d𝛽) be a probability kernel from 𝐸 × 𝑇 to 𝑇. We can define (𝑡, 𝑥, 𝑎) ↦→
𝑉𝑡 𝑓 (𝑥, 𝑎) by the unique locally bounded positive solution of
∫ 𝑡

𝑉𝑡 𝑓 (𝑥, 𝑎) = P ( 𝑥,𝑎) 𝑓 (𝜉𝑡 , 𝛼𝑡 ) − P ( 𝑥,𝑎) 𝜙(𝜉 𝑠 , 𝛼𝑠 , 𝑉𝑡−𝑠 𝑓 (·, 𝛼𝑠 ))d𝑠
∫ 𝑡 ∫ 0
+ P ( 𝑥,𝑎) d𝑠 𝜓(𝜉 𝑠 , 𝛽, 𝑉𝑡−𝑠 𝑓 (·, 𝛽))𝜋(𝜉 𝑠 , 𝛼𝑠 , d𝛽) . (6.15)
0 𝑇
In this case, the functional 𝜙(𝑦, 𝑎, ·) describes the reproduction of a parent at site
𝑦 ∈ 𝐸 of type 𝑎 ∈ 𝑇 without mutation and 𝜓(𝑦, 𝛽, ·) describes the reproduction of
a parent with mutated type 𝛽 ∈ 𝑇 chosen randomly according to the distribution
𝜋(𝑦, 𝑎, d𝛽).
Example 6.4 The 𝑑-dimensional CB-process introduced in Example 2.5 is a special

form of the multitype superprocess provided by Theorem 6.4 with 𝐸 being a singleton
and with 𝑇 = {1, 2, . . . , 𝑑}.
Example 6.5 Let us consider the case where 𝑇 = R+ and 𝛼𝑡 = 𝛼0 + 𝑡 for all 𝑡 ≥ 0.
Suppose that 𝜉 = (Ω, ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) is a Borel right process with state space 𝐸. Let
𝜌 ∈ 𝐵(𝐸 × R+ ) and let 𝜁 = 𝜁 (𝑥, 𝑎, 𝜆) be given by (2.50) with 𝑥 ∈ 𝐸 replaced by
(𝑥, 𝑎) ∈ 𝐸 × R+ . In addition, we assume sup 𝑥,𝑎 𝜁 𝑧′ (𝑥, 𝑎, 0+) ≤ 1. A special form of

(6.15) is the equation
∫ 𝑡

𝑉𝑡 𝑓 (𝑥, 𝑎) = P 𝑥 [ 𝑓 (𝜉𝑡 , 𝑎 + 𝑡)] − P 𝑥 𝜌(𝜉 𝑠 , 𝑎 + 𝑠)𝑉𝑡−𝑠 𝑓 (𝜉 𝑠 , 𝑎 + 𝑠) d𝑠
∫ 𝑡 0

+ P 𝑥 𝜌(𝜉 𝑠 , 𝑎 + 𝑠)𝜁 (𝜉 𝑠 , 𝑎 + 𝑠, 𝑉𝑡−𝑠 𝑓 (𝜉 𝑠 , 0)) d𝑠. (6.16)
0
The corresponding multitype superprocess in 𝑀 (𝐸 × R+ ) is called an age-structured

superprocess. Clearly, we can also get (6.16) as a special case of (4.40) with 𝜙 = 0.
Here 𝜉𝑡 represents the location of a particle and 𝛼𝑡 represents its age. At its branching
time a particle gives birth to a random number of offspring whose spatial motions
start from the branching site and whose ages start from zero. See also the explanations
following Theorem 4.15.
In many cases, we only consider multitype superprocesses with finite or countable

type spaces. Let 𝑇 = {1, 2, . . . , 𝑑} or {1, 2, . . . }. Suppose that for each 𝑖 ∈ 𝑇 we
have:
• a Borel right process 𝜉𝑖 in 𝐸 with transition semigroup (𝑃𝑖 (𝑡))𝑡 ≥0 ;

• an operator 𝜙𝑖 = 𝜙𝑖 (𝑥, 𝑓 ) belonging to the class given by (2.29) or (2.30);
• a discrete probability distribution 𝑝 𝑖 (𝑥) = {𝑝 𝑖 𝑗 (𝑥) : 𝑗 ∈ 𝑇 } on 𝑇 with 𝑝 𝑖 𝑗 ∈
𝐵(𝐸) + ;
• an operator 𝜓𝑖 = 𝜓𝑖 (𝑥, 𝑓 ) belonging to the class given by (2.21).
The next theorem deals with a process with state space

∑︁
𝑇
𝑀𝑇 (𝐸) := 𝜇 = (𝜇𝑖 : 𝑖 ∈ 𝑇) ∈ 𝑀 (𝐸) : 𝜇𝑖 (𝐸) < ∞ .
𝑖 ∈𝑇
Of course, we have 𝑀𝑇 (𝐸) = 𝑀 (𝐸) 𝑇 if 𝑇 is a finite set. Write 𝑌𝑡 = (𝑌𝑖 (𝑡) : 𝑖 ∈ 𝐼)

for 𝑡 ≥ 0.
Theorem 6.5 There is a Borel right multitype superprocess 𝑌 = (𝑊, 𝑌𝑡 , 𝒢, 𝒢𝑡 , Q 𝜇 )

in 𝑀𝑇 (𝐸) with transition probabilities defined by
n ∑︁ o n ∑︁ o
Q 𝜇 exp − ⟨𝑌𝑖 (𝑡), 𝑓𝑖 ⟩ = exp − ⟨𝜇𝑖 , 𝑣 𝑖 (𝑡)⟩ , (6.17)
𝑖 ∈𝑇 𝑖 ∈𝑇
where 𝑓𝑖 ∈ 𝐵(𝐸) + and 𝑣 𝑖 (𝑡) = 𝑣 𝑖 (𝑡, 𝑥) is defined by the system of equations

∫ 𝑡 ∫
𝑣 𝑖 (𝑡, 𝑥) = 𝑃𝑖 (𝑡) 𝑓𝑖 (𝑥) − d𝑠 𝜙𝑖 (𝑦, 𝑣 𝑖 (𝑡 − 𝑠))𝑃𝑖 (𝑠, 𝑥, d𝑦)
∫ 𝑡 ∫ ∑︁ 0 𝐸
+ d𝑠 𝑝 𝑖 𝑗 (𝑦)𝜓 𝑗 (𝑦, 𝑣 𝑗 (𝑡 − 𝑠)) 𝑃𝑖 (𝑠, 𝑥, d𝑦). (6.18)
0 𝐸 𝑗 ∈𝑇
6.2 Multitype Superprocesses 151
Proof Let 𝜉 be the Borel right process in the product space 𝐸 × 𝑇 with transition
semigroup (𝑃𝑡 )𝑡 ≥0 defined by
∫
𝑃𝑡 𝑓 (𝑥, 𝑖) = 𝑓 (𝑦, 𝑖)𝑃𝑖 (𝑡, 𝑥, d𝑦), (𝑥, 𝑖) ∈ 𝐸 × 𝑇 .
𝐸
Let 𝜙(𝑥, 𝑖, 𝑓 ) = 𝜙𝑖 (𝑥, 𝑓 ) and let 𝜋(𝑥, 𝑖, ·) be the Markov kernel from 𝐸 × 𝑇 to 𝑇
defined by
∑︁
𝜋(𝑥, 𝑖, ·) = 𝑝 𝑖 𝑗 (𝑥)𝛿 𝑗 (·),
𝑗 ∈𝑇
where 𝛿 𝑗 (·) stands for the unit mass at 𝑗 ∈ 𝑇. Then we have a Borel right superprocess
{𝑋𝑡 : 𝑡 ≥ 0} in 𝑀 (𝐸 ×𝑇) defined by (6.13) and (6.15). For 𝑖 ∈ 𝑇 and 𝜇 ∈ 𝑀 (𝐸 ×𝑇) we
define 𝑈𝑖 𝜇 ∈ 𝑀 (𝐸) by 𝑈𝑖 𝜇(𝐵) = 𝜇(𝐵×{𝑖}) for 𝐵 ∈ ℬ(𝐸). Then 𝜇 ↦→ (𝑈𝑖 𝜇 : 𝑖 ∈ 𝑇)
is a homeomorphism between 𝑀 (𝐸 ×𝑇) and 𝑀𝑇 (𝐸). Let 𝑌𝑖 (𝑡) = 𝑈𝑖 𝑋𝑡 . It is clear that
{(𝑌𝑖 (𝑡) : 𝑖 ∈ 𝑇) : 𝑡 ≥ 0} is a Markov process in 𝑀𝑇 (𝐸) with transition probabilities
defined by (6.17) and (6.18). By Theorems 6.4 and A.21 this process has a realization
as a right process. □
The heuristical meaning of the process {(𝑌𝑖 (𝑡) : 𝑖 ∈ 𝑇) : 𝑡 ≥ 0} constructed

in Theorem 6.5 is described as follows. The process 𝜉𝑖 gives the law of migration
of the particles of type 𝑖 ∈ 𝑇. The functional 𝜙𝑖 (𝑦, ·) describes the reproduction of
a parent at site 𝑦 ∈ 𝐸 of type 𝑖 ∈ 𝑇 without mutation and 𝜓 𝑗 (𝑦, ·) describes the
reproduction of a parent with mutated type 𝑗 ∈ 𝑇 chosen randomly according to the
discrete distribution 𝑝 𝑖 (𝑦) = {𝑝 𝑖 𝑗 (𝑦) : 𝑗 ∈ 𝑇 }. The process {𝑌𝑖 (𝑡) : 𝑡 ≥ 0} gives the
mass distribution in 𝐸 of particles of type 𝑖 ∈ 𝑇.
Since the multitype superprocesses are constructed from the single-type pro-
cesses, the results we established before apply to the multitype case by simple
modifications. In particular, by Corollary 5.17 we have:
Corollary 6.6 In the setup of Theorem 6.5, for any 𝑡 ≥ 0 and 𝑓𝑖 , 𝑔𝑖 ∈ 𝐵(𝐸) + , 𝑖 ∈ 𝑇
we have
∑︁ ∫ 𝑡 n ∑︁ o
Q 𝜇 exp − ⟨𝑌𝑖 (𝑡), 𝑓𝑖 ⟩ + ⟨𝑌𝑖 (𝑠), 𝑔𝑖 ⟩d𝑠 = exp − ⟨𝜇𝑖 , 𝑣 𝑖 (𝑡)⟩ ,
𝑖 ∈𝑇 0 𝑖 ∈𝑇
where 𝑣 𝑖 (𝑡) = 𝑣 𝑖 (𝑡, 𝑥) is defined by the system of equations

∫ 𝑡 ∫ ∑︁
𝑣 𝑖 (𝑡, 𝑥) = 𝑃𝑖 (𝑡) 𝑓𝑖 (𝑥) + d𝑠 𝑝 𝑖 𝑗 (𝑦)𝜓 𝑗 (𝑦, 𝑣 𝑗 (𝑡 − 𝑠)) 𝑃𝑖 (𝑠, 𝑥, d𝑦)
0 𝐸 𝑗 ∈𝑇
∫ 𝑡 ∫ 𝑡 ∫
+ 𝑃𝑖 (𝑠)𝑔𝑖 (𝑥)d𝑠 − d𝑠 𝜙𝑖 (𝑦, 𝑣 𝑖 (𝑡 − 𝑠))𝑃𝑖 (𝑠, 𝑥, d𝑦).
0 0 𝐸
6.3 Two-Type Superprocesses
Let 𝜉1 and 𝜉2 be Borel right processes in 𝐸 with transition semigroups (𝑃1 (𝑡))𝑡 ≥0
and (𝑃2 (𝑡))𝑡 ≥0 , respectively. Let 𝜙1 and 𝜙2 be operators belonging to the class given
by (2.29) or (2.30). Let 𝜓 an operator of the form (2.21). By Theorem 6.5, we have
the following:
Theorem 6.7 There is a Borel right two-type superprocess 𝑌 = (𝑊, 𝑌𝑡 , 𝒢, 𝒢𝑡 , Q 𝜇 )

in 𝑀 (𝐸) 2 with transition probabilities defined by, for 𝑓1 , 𝑓2 ∈ 𝐵(𝐸) + ,

Q 𝜇 exp − ⟨𝑌1 (𝑡), 𝑓1 ⟩ − ⟨𝑌2 (𝑡), 𝑓2 ⟩

= exp − ⟨𝜇1 , 𝑣 1 (𝑡)⟩ − ⟨𝜇2 , 𝑣 2 (𝑡)⟩ , (6.19)
where 𝑣 1 (𝑡, 𝑥) = 𝑣 1 (𝑡, 𝑥, 𝑓1 , 𝑓2 ) and 𝑣 2 (𝑡, 𝑥) = 𝑣 2 (𝑡, 𝑥, 𝑓2 ) are defined by the system
of equations
∫ 𝑡 ∫
𝑣 1 (𝑡, 𝑥) = 𝑃1 (𝑡) 𝑓1 (𝑥) − d𝑠 𝜙1 (𝑦, 𝑣 1 (𝑡 − 𝑠))𝑃1 (𝑠, 𝑥, d𝑦)
∫ 𝑡 ∫ 0 𝐸
+ d𝑠 𝜓(𝑦, 𝑣 2 (𝑡 − 𝑠))𝑃1 (𝑠, 𝑥, d𝑦) (6.20)

0 𝐸
and
∫ 𝑡 ∫
𝑣 2 (𝑡, 𝑥) = 𝑃2 (𝑡) 𝑓2 (𝑥) − d𝑠 𝜙2 (𝑦, 𝑣 2 (𝑡 − 𝑠))𝑃2 (𝑠, 𝑥, d𝑦). (6.21)
0 𝐸
In this model, particles of type one can produce the two types of offspring, but
particles of type two can only produce offspring of their own type.
Corollary 6.8 Let 𝑌 be the two-type superprocess defined in Theorem 6.7. Then
(𝑊, 𝑌1 (𝑡), 𝒢, 𝒢𝑡 , Q ( 𝜇1 ,0) ) is a (𝜉1 , 𝜙1 )-superprocess.
Proof By (6.20) we see (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) = 𝑣 1 (𝑡, 𝑥, 𝑓1 , 0) is the unique locally bounded
∫ 𝑡 ∫
𝑣 𝑡 (𝑥) = 𝑃1 (𝑡) 𝑓1 (𝑥) − d𝑠 𝜙1 (𝑦, 𝑣 𝑡−𝑠 )𝑃1 (𝑠, 𝑥, d𝑦).
0 𝐸
Then the result follows by Theorem A.21. □
Corollary 6.9 Let 𝑌 be the two-type superprocess defined in Theorem 6.7 with
𝜉1 = 𝜉2 and 𝜙2 = 𝜙1 + 𝜓. Then (𝑊, 𝑌1 (𝑡) + 𝑌2 (𝑡), 𝒢, 𝒢𝑡 , Q ( 𝜇1 ,0) ) is a (𝜉2 , 𝜙2 )-
superprocess.
Proof From (6.20) and (6.21)it is easy to see that 𝑣 1 (𝑡, 𝑥, 𝑓 , 𝑓 ) = 𝑣 2 (𝑡, 𝑥, 𝑓 ). Then
we get the result by Theorem A.21. □
6.4 A Change of the Probability Measure 153
Theorem 6.10 Let (𝑉𝑡 )𝑡 ≥0 be the cumulant semigroup of the (𝜉, 𝜙)-superprocess
with branching mechanism 𝜙 given by (2.29) or (2.30). Let 𝜓 an operator of the
form (2.21). Then for any 𝛾 ∈ 𝑀 (𝐸) there is a Borel right process in 𝑀 (𝐸) with
semigroup (𝑄 𝑡 )𝑡 ≥0 defined by, for 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸) + ,
𝛾
∫ ∫ 𝑡
− ⟨𝜈, 𝑓 ⟩ 𝛾
e 𝑄 𝑡 (𝜇, d𝜈) = exp − ⟨𝜇, 𝑉𝑡 𝑓 ⟩ − ⟨𝛾, 𝜓(·, 𝑉𝑠 𝑓 ))⟩d𝑠 .
𝑀 (𝐸) 0
Proof Let 𝑌 be the two-type superprocess defined in Theorem 6.7 such that 𝜉1 (𝑡) ≡
𝜉1 (0), 𝜙1 = 0, 𝜉2 = 𝜉 and 𝜙2 = 𝜙. From (6.20) and (6.21) it follows that 𝑣 2 (𝑡, 𝑥, 𝑓 ) =
𝑉𝑡 𝑓 (𝑥) and
∫ 𝑡
𝑣 1 (𝑡, 𝑥, 0, 𝑓 ) = 𝜓(𝑥, 𝑉𝑠 𝑓 )d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 .
0
𝛾
Let Q 𝜇 = Q (𝛾, 𝜇) for 𝜇 ∈ 𝑀 (𝐸). Then one can use Theorem A.21 to see that
𝛾
(𝑊, 𝑌2 (𝑡), 𝒢, 𝒢𝑡 , Q 𝜇 ) is a Borel right process in 𝑀 (𝐸) with transition semigroup
𝛾
(𝑄 𝑡 )𝑡 ≥0 . □
6.4 A Change of the Probability Measure
Let 𝐸 be a Lusin topological space and let 𝜉 be a conservative Borel right process in
𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 . For simplicity we consider a local branching
mechanism (𝑥, 𝜆) ↦→ 𝜙(𝑥, 𝜆) given by (2.49) with constant function 𝑏(𝑥) ≡ 𝑏 ≥ 0.
Let (𝑄 𝑡 )𝑡 ≥0 denote the transition semigroup of the (𝜉, 𝜙)-superprocess defined by
(2.35) and (2.36). By Corollary 2.28,
∫
𝜈(1)𝑄 𝑡 (𝜇, d𝜈) = e−𝑏𝑡 𝜇(1)
𝑀 (𝐸)
for 𝑡 ≥ 0 and 𝜇 ∈ 𝑀 (𝐸). Then we can define a Borel transition semigroup ( 𝑄˜ 𝑡 )𝑡 ≥0

on 𝑀 (𝐸) ◦ by
𝑄˜ 𝑡 (𝜇, d𝜈) = e𝑏𝑡 𝜇(1) −1 𝜈(1)𝑄 𝑡 (𝜇, d𝜈). (6.22)
This formula is a simple variation of the ℎ-transform of Doob; see, e.g., Sharpe
(1988, p. 298). A realization of ( 𝑄˜ 𝑡 )𝑡 ≥0 can be obtained by a change of the probability
measure in the (𝜉, 𝜙)-superprocess.
Let 𝑊 be the space of paths 𝑤 : [0, ∞) → 𝑀 (𝐸) that are right continuous in
both 𝑀 (𝐸) and 𝑀 (𝐸 𝜌 ) and have left limits in 𝑀 ( 𝐸), ¯ where 𝐸¯ is a Ray–Knight
completion of 𝐸 with respect to 𝜉 and 𝐸 𝜌 denotes the set 𝐸 with the Ray topology
inherited from 𝐸.¯ Let 𝑊0 be the set of paths 𝑤 ∈ 𝑊 that have zero as a trap.
Let 𝑋 = (𝑊0 , 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) be the canonical Borel right realization of the (𝜉, 𝜙)-
superprocess. Let 𝜏0 = inf{𝑡 ≥ 0 : 𝑋𝑡 (1) = 0} denote the extinction time of 𝑋. It is
easy to show that
𝑚 𝑡 := e𝑏𝑡 𝑋0 (1) −1 𝑋𝑡 (1), 𝑡 ≥ 0, (6.23)
defines a positive martingale multiplicative functional of the restriction of 𝑋 on

𝑀 (𝐸) ◦ . Let (𝒢𝑢 , 𝒢𝑡𝑢 ) be the natural 𝜎-algebras on 𝑊0 generated by {𝑋𝑡 : 𝑡 ≥ 0} as
random variables on 𝑀 (𝐸) furnished with the universal 𝜎-algebra ℬ𝑢 (𝑀 (𝐸)). By
the results in Sharpe (1988, p. 296), for each 𝜇 ∈ 𝑀 (𝐸) ◦ there is a unique probability
measure Q̃ 𝜇 on (𝑊0 , 𝒢𝑢 ) such that {𝑋𝑡 : 𝑡 ≥ 0} is a Markov process with transition
semigroup ( 𝑄˜ 𝑡 )𝑡 ≥0 and Q̃ 𝜇 {𝑋0 = 𝜇} = 1. In addition, we have
Q̃ 𝜇 (𝐻1 {𝑡 <𝜏0 } ) = 𝜇(1) −1 Q 𝜇 e𝑏𝑡 𝑋𝑡 (1)𝐻 ,

𝑡 ≥ 0, 𝐻 ∈ b𝒢𝑡𝑢 .
For each initial law 𝐾 on 𝑀 (𝐸) ◦ define Q̃𝐾 in the usual way. Then the system
˜ 𝒢˜ 𝑡 , 𝑋𝑡 , Q̃ 𝜇 ) is a Borel right process, where (𝒢,
𝑋˜ = (𝑊0 , 𝒢, ˜ 𝒢˜ 𝑡 ) is the augmentation
𝑢 𝑢 ◦
of (𝒢 , 𝒢𝑡 ) by {Q̃𝐾 : 𝐾 is an initial law on 𝑀 (𝐸) }. Consequently, we have the
following:
Theorem 6.11 The semigroup ( 𝑄˜ 𝑡 )𝑡 ≥0 on 𝑀 (𝐸) ◦ has a right realization.
The process 𝑋˜ defined above is called the subprocess of the (𝜉, 𝜙)-superprocess
𝑋 generated by the martingale multiplicative functional {𝑚 𝑡 : 𝑡 ≥ 0}. Let
∫ ∞
𝜙0′ (𝑥, 𝜆) = 2𝑐(𝑥)𝜆 + 𝑢 1 − e−𝑧𝜆 𝑚(𝑥, d𝑧), 𝑥 ∈ 𝐸, 𝜆 ≥ 0.

(6.24)
0
The next theorem gives a characterization of the transition semigroup (𝑄˜ 𝑡 )𝑡 ≥0 .
Theorem 6.12 For every 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) ◦ and 𝑓 ∈ 𝐵(𝐸) + we have

∫
e−𝜈 ( 𝑓 ) 𝑄˜ 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )} 𝜇(𝑈
ˆ 𝑡 𝑓 ), (6.25)
𝑀 (𝐸) ◦
where 𝜇ˆ = 𝜇(1) −1 𝜇 and (𝑡, 𝑥) ↦→ 𝑈𝑡 𝑓 (𝑥) is the unique locally bounded positive
solution to
∫ 𝑡 ∫
𝑈𝑡 𝑓 (𝑥) = 1 − d𝑠 𝜙0′ (𝑦, 𝑉𝑡−𝑠 𝑓 (𝑦))𝑈𝑡−𝑠 𝑓 (𝑦)𝑃𝑠 (𝑥, d𝑦). (6.26)
0 𝐸
Proof We first use Proposition 2.29 to see

∫
𝜈(1)e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}𝜇(𝑉𝑡1 𝑓 ),
𝑀 (𝐸)
where (𝑡, 𝑥) ↦→ 𝑉𝑡1 𝑓 (𝑥) is the unique locally bounded positive solution of
∫ 𝑡 ∫
1
𝑉𝑡 𝑓 (𝑥) = 1 − d𝑠 [𝑏 + 𝜙0′ (𝑦, 𝑉𝑡−𝑠 𝑓 (𝑦))]𝑉𝑡−𝑠
1
𝑓 (𝑦)𝑃𝑠 (𝑥, d𝑦).
0 𝐸
6.5 Time-Inhomogeneous Superprocesses 155
By Proposition 2.9 the above equation is equivalent to

∫ 𝑡 ∫
−𝑏𝑡
1
𝑉𝑡 𝑓 (𝑥) = e − d𝑠 𝜙0′ (𝑦, 𝑉𝑡−𝑠 𝑓 (𝑦))𝑉𝑡−𝑠
1
𝑓 (𝑦)𝑃𝑠𝑏 (𝑥, d𝑦).
0 𝐸
Then we have (6.25) and (6.26) with 𝑈𝑡 𝑓 (𝑥) = e𝑏𝑡 𝑉𝑡1 𝑓 (𝑥). □
By a modification of the proof of Proposition 2.9 it is not hard to show that the
solution of (6.26) can be expressed in terms of the spatial motion process as
∫ 𝑡
𝑈𝑡 𝑓 (𝑥) = P 𝑥 exp − 𝜙0′ (𝜉 𝑠 , 𝑉𝑡−𝑠 𝑓 (𝜉 𝑠 ))d𝑠 .
0
Using Theorems 1.36 and 1.38 we see that the quantity under expectation gives the
Laplace functional of an infinitely divisible probability measure on 𝑀 (𝐸). Then for
each 𝜇 ∈ 𝑀 (𝐸) ◦ a probability measure 𝑁𝑡 (𝜇, d𝜈) on 𝑀 (𝐸) is defined by
∫
e−𝜈 ( 𝑓 ) 𝑁𝑡 (𝜇, d𝜈) = 𝜇(𝑈
ˆ 𝑡 𝑓 ), 𝑓 ∈ 𝐵(𝐸) + .
𝑀 (𝐸)
Now (6.25) implies
𝑄˜ 𝑡 (𝜇, ·) = 𝑄 𝑡 (𝜇, ·) ∗ 𝑁𝑡 (𝜇, ·). (6.27)
This decomposition describes an interesting structure of the semigroup (𝑄˜ 𝑡 )𝑡 ≥0 .

Recall that 𝜏0 = inf{𝑡 ≥ 0 : 𝑋𝑡 (1) = 0}. The next theorem shows that in the
subcritical case we can understand 𝑋˜ as the conditioned superprocess given the null
event {𝜏0 = ∞}. The proof is very similar to that of Theorem 3.31 and is left to the
reader.
Theorem 6.13 Suppose that the branching mechanism 𝜙 is spatially constant and
satisfies Condition 3.9. Then for any 𝑡 ≥ 0 and 𝜇 ∈ 𝑀 (𝐸) ◦ , the distribution of 𝑋𝑡
under Q 𝜇 {·|𝑟 + 𝑡 < 𝜏0 } converges to 𝑄˜ 𝑡 (𝜇, ·) as 𝑟 → ∞.
6.5 Time-Inhomogeneous Superprocesses
Suppose that 𝑇 ⊂ R is an interval and 𝐹 is a Lusin topological space. Let 𝐸˜ be a

Borel subset of 𝑇 × 𝐹. For 𝑡 ∈ 𝑇 let 𝐸 𝑡 = {𝑥 ∈ 𝐹 : (𝑡, 𝑥) ∈ 𝐸˜ }. We fix an abstract
point 𝜕 ∉ 𝑇 × 𝐹 and assume all functions on 𝐸˜ ⊂ 𝑇 × 𝐹 have been extended trivially
to 𝐸˜ 𝑐 ∪ {𝜕}. For 𝐼 ⊂ 𝑇 let 𝐸˜ (𝐼) = {(𝑡, 𝑥) ∈ 𝐸˜ : 𝑡 ∈ 𝐼}. We say a function on 𝐸˜ is
locally bounded if it is bounded on 𝐸˜ (𝐼) for every bounded interval 𝐼 ⊂ 𝑇. For 𝑡 ∈ 𝑇
let 𝑇≤𝑡 = (−∞, 𝑡] ∩ 𝑇 and 𝐸˜ ≤𝑡 = 𝐸˜ (𝑇≤𝑡 ).
Let us consider an inhomogeneous Borel right transition semigroup (𝑃𝑟 ,𝑡 : 𝑡 ≥
𝑟 ∈ 𝑇) with global state space 𝐸. ˜ Let ( 𝑃˜𝑡 )𝑡 ≥0 be the corresponding time–space
semigroup on 𝐸˜ defined by (A.52). Suppose that 𝜉˜ = (Ω, ℱ, ℱ̃𝑡 , (𝛼𝑡 , 𝑦 𝑡 ), P𝑟 , 𝑥 ) is a
right process realizing ( 𝑃˜𝑡 )𝑡 ≥0 , where 𝛼𝑡 = 𝛼0 + 𝑡 for all 𝑡 ≥ 0. For 𝜔 ∈ Ω define
𝑡−𝛼0 ( 𝜔) (𝜔) if 𝑡 ∈ 𝑇 ∩ [𝛼0 (𝜔), ∞),

n𝑦
𝜉𝑡 (𝜔) =
𝜕 if 𝑡 ∈ 𝑇 ∩ (−∞, 𝛼0 (𝜔)).
For 𝑡 ≥ 𝑟 ∈ 𝑇 let ℱ𝑟 ,𝑡 = 𝜎({𝜉 𝑠 : 𝑟 ≤ 𝑠 ≤ 𝑡}). By Theorem A.64, the sys-

tem 𝜉 = (Ω, ℱ, ℱ𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) is an inhomogeneous Markov process realizing
(𝑃𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇).
Lemma 6.14 The set 𝑀˜ := {(𝑡, 𝜇) : 𝑡 ∈ 𝑇, 𝜇 ∈ 𝑀 (𝐸 𝑡 )} with the topology inherited
from 𝑇 × 𝑀 (𝐹) is a Lusin topological space.
Proof Here we understand that 𝑀˜ = {(𝑡, 𝜇) ∈ 𝑇 × 𝑀 (𝐹) : 𝜇(𝐹 \ 𝐸 𝑡 ) = 0}. For
(𝑡, 𝜇) ∈ 𝑇 × 𝑀 (𝐹) define 𝛾𝑡 ∈ 𝑀 (𝑇 × 𝐹) by 𝛾𝑡 (𝐵) = 𝜇({𝑥 ∈ 𝐹 : (𝑡, 𝑥) ∈ 𝐵}), where
𝐵 ∈ ℬ(𝑇 × 𝐹). Let
𝑀0 = {𝛾 ∈ 𝑀 (𝑇 × 𝐹) : 𝛾((𝑇 \ {𝑡}) × 𝐹) = 0 for some 𝑡 ∈ 𝑇 }.
Let 𝑄 = {𝑟 1 , 𝑟 2 , . . .} be the set of rationals. For 𝑟 ∈ 𝑄 and 𝑛 ≥ 1 let
𝑀𝑛,𝑟 = {𝛾 ∈ 𝑀 (𝑇 × 𝐹) : 𝛾((𝑇 \ [𝑟, 𝑟 + 1/𝑛]) × 𝐹) = 0}.
Then 𝑀0 = ∩𝑛≥1 ∪𝑟 ∈𝑄 𝑀𝑛,𝑟 , so 𝑀0 is a Borel subset of 𝑀 (𝑇 ×𝐹). It is easy to see that

the mapping (𝑡, 𝜇) ↦→ 𝛾𝑡 induces a homeomorphism between 𝑀˜ and 𝑀0 ∩ 𝑀 ( 𝐸). ˜
˜
Therefore 𝑀 is a Lusin topological space. □
Let 𝑏 ∈ 𝐵( 𝐸) ˜ and 𝑐 ∈ 𝐵( 𝐸) ˜ + . Let 𝜂(𝑠, 𝑥, d𝑦) be a bounded kernel on 𝐸˜ and let
𝐻 (𝑠, 𝑥, d𝜈) be a 𝜎-finite kernel from 𝐸˜ to 𝑀 ( 𝐸) ˜ ◦ . For every (𝑠, 𝑥) ∈ 𝐸˜ we assume
𝜂(𝑠, 𝑥, d𝑦) is supported by {𝑠} × 𝐸 𝑠 and 𝐻 (𝑠, 𝑥, d𝜈) is supposed by 𝑀 ({𝑠} × 𝐸 𝑠 ) ◦ .
Then for any (𝑠, 𝑥) ∈ 𝐸˜ we can regard 𝜂(𝑠, 𝑥, d𝑦) as a measure on 𝐸 𝑠 and regard
𝐻 (𝑠, 𝑥, d𝜈) as a measure on 𝑀 (𝐸 𝑠 ) ◦ . In addition, we assume
∫
𝜈(1) ∧ 𝜈(1) 2 + 𝜈 𝑥 (1) 𝐻 (𝑠, 𝑥, d𝜈) < ∞,

sup (6.28)
(𝑠, 𝑥) ∈ 𝐸˜ 𝑀 (𝐸𝑠 ) ◦
where 𝜈 𝑥 (d𝑦) denotes the restriction of 𝜈(d𝑦) to 𝐸 𝑠 \ {𝑥}. For (𝑠, 𝑥) ∈ 𝐸˜ and
𝑓 ∈ 𝐵(𝐸 𝑠 ) + define
∫
2
𝜙(𝑠, 𝑥, 𝑓 ) = 𝑏(𝑠, 𝑥) 𝑓 (𝑥) + 𝑐(𝑠, 𝑥) 𝑓 (𝑥) − 𝑓 (𝑦)𝜂(𝑠, 𝑥, d𝑦)
∫ 𝐸𝑠
−𝜈 ( 𝑓 )
+ e − 1 + 𝜈({𝑥}) 𝑓 (𝑥) 𝐻 (𝑠, 𝑥, d𝜈). (6.29)
𝑀 (𝐸𝑠 ) ◦
Theorem 6.15 For every 𝑡 ∈ 𝑇 and 𝑓 ∈ 𝐵(𝐸 𝑡 ) + there is a unique locally bounded
positive solution (𝑟, 𝑥) ↦→ 𝑣 𝑟 ,𝑡 (𝑥) = 𝑉𝑟 ,𝑡 𝑓 (𝑥) on 𝐸˜ ≤𝑡 of the integral equation
∫ 𝑡

𝑣 𝑟 ,𝑡 (𝑥) = P𝑟 , 𝑥 [ 𝑓 (𝜉𝑡 )] − P𝑟 , 𝑥 𝜙(𝑠, 𝜉 𝑠 , 𝑣 𝑠,𝑡 ) d𝑠. (6.30)
𝑟
Moreover, an inhomogeneous Borel right transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇)

with global state space 𝑀˜ is defined by
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑟 ,𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑟 ,𝑡 𝑓 )}, (6.31)
𝑀 (𝐸𝑡 )
where 𝜇 ∈ 𝑀 (𝐸𝑟 ) and 𝑓 ∈ 𝐵(𝐸 𝑡 ) + .
Proof Given 𝑓˜ ∈ 𝐵( 𝐸) ˜ + we can apply Theorem 2.21 to the time–space process

˜
𝜉 to see there is a unique locally bounded positive solution (𝑡, 𝑟, 𝑥) ↦→ 𝑣˜ 𝑡 (𝑟, 𝑥) =
𝑉˜𝑡 𝑓˜(𝑟, 𝑥) to the evolution equation
∫ 𝑡
˜

𝑣˜ 𝑡 (𝑟, 𝑥) = P𝑟 , 𝑥 [ 𝑓 (𝑟 + 𝑡, 𝑦 𝑡 )] − P𝑟 , 𝑥 𝜙(𝑟 + 𝑠, 𝑦 𝑠 , 𝑣˜ 𝑡−𝑠 ) d𝑠, (6.32)
0
where 𝑡 ≥ 0 and (𝑟, 𝑥) ∈ 𝐸. ˜ Moreover, the family of operators (𝑉˜𝑡 )𝑡 ≥0 constitute a

cumulant semigroup. By Theorem 5.13, the corresponding superprocess in 𝑀 ( 𝐸) ˜
˜ ˜ ˜ ˜ ˜ ˜
has a right realization 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q̃ 𝜇 ). We define a bounded kernel on 𝐸 by
∫
𝛾(𝑠, 𝑥, d𝑦) = 𝜂(𝑠, 𝑥, d𝑦) + 𝜈 (𝑠, 𝑥) (d𝑦)𝐻 (𝑠, 𝑥, d𝜈),
𝑀 ( {𝑠 }×𝐸𝑠 ) ◦
where 𝜈 (𝑠, 𝑥) (d𝑦) denotes the restriction of 𝜈(d𝑦) to 𝐸˜ \ {(𝑠, 𝑥)}. For any (𝑠, 𝑥) ∈ 𝐸˜
we can also regard 𝛾(𝑠, 𝑥, d𝑦) as a measure on 𝐸 𝑠 . Let ( 𝜋˜ 𝑡 )𝑡 ≥0 be the semigroup of
linear operators on 𝐵( 𝐸) ˜ defined by
∫ 𝑡
𝜋˜ 𝑡 𝑓˜(𝑟, 𝑥) = P𝑟 , 𝑥 [ 𝑓˜(𝑟 + 𝑡, 𝑦 𝑡 )] − P𝑟 , 𝑥 𝑏(𝑟 + 𝑠, 𝑦 𝑠 ) 𝜋˜ 𝑡−𝑠 𝑓˜(𝑟 + 𝑠, 𝑦 𝑠 ) d𝑠

∫ 𝑡 0
P𝑟 , 𝑥 𝛾(𝑟 + 𝑠, 𝑦 𝑠 , 𝜋˜ 𝑡−𝑠 𝑓˜(𝑟 + 𝑠, ·)) d𝑠.

+
0
By the construction given in Proposition A.42 it is not hard to see that for any 𝑡 ≥ 0
˜ By
and (𝑟, 𝑥) ∈ 𝐸˜ the finite measure 𝜋˜ 𝑡 (𝑟, 𝑥, ·) is supported by {𝑟 + 𝑡} × 𝐸𝑟+𝑡 ⊂ 𝐸.
˜
Proposition 2.27 one can see for any 𝜇 ∈ 𝑀 ( 𝐸) carried by {𝑟 } × 𝐸𝑟 the random
measure 𝑋˜ 𝑡 ∈ 𝑀 ( 𝐸)˜ is Q̃ 𝜇 -a.s. carried by {𝑟 + 𝑡} × 𝐸𝑟+𝑡 . In particular, for any
+
𝑓 ∈ 𝐵(𝐸𝑟+𝑡 ) we have 𝜋˜ 𝑡 (𝑠, 𝑥, 1 {𝑟+𝑡 } 𝑓 ) = 0 if 𝑠 ∈ 𝑇 \ {𝑟}. Then we can use the
result of Proposition 2.20 to see
𝑉˜𝑡 (1 {𝑟+𝑡 } 𝑓 ) (𝑠, 𝑥) = 1 {𝑟 } (𝑠)𝑉˜𝑡 (1 {𝑟+𝑡 } 𝑓 ) (𝑠, 𝑥), (𝑠, 𝑥) ∈ 𝐸˜ . (6.33)
Let 𝑋¯ = (𝑊, ¯ 𝒢, ¯ 𝒢¯ 𝑡 , ( 𝛼¯ 𝑡 , 𝑋¯ 𝑡 ), Q̄𝑟 , 𝜇 ) be a Borel right time–space process in 𝑇 ×

˜
𝑀 ( 𝐸) associated with 𝑋. ˜ The existence of 𝑋¯ follows from Theorem A.62. For
˜
(𝑠, 𝜇) ∈ 𝑇 × 𝑀 ( 𝐸) let 𝜓(𝑠, 𝜇) = (𝑠, 𝜇 𝑠 ), where 𝜇 𝑠 ∈ 𝑀 (𝐸 𝑠 ) is defined by 𝜇 𝑠 (𝐵) =
𝜇({𝑠} × 𝐵) for 𝐵 ∈ ℬ(𝐸 𝑠 ). Then 𝜓 is a surjective and continuous map from
˜ to 𝑀.
𝑇 × 𝑀 ( 𝐸) ˜ From 𝑋¯ and 𝜓 we can use Theorem A.21 to obtain a Borel right
ˆ ˆ
process 𝑋 = (𝑊, 𝒢, ˆ 𝒢ˆ 𝑡 , ( 𝛼ˆ 𝑡 , 𝑋ˆ 𝑡 ), Q̂𝑟 , 𝜇 ) with state space 𝑀. ˜ 𝑟 ≤𝑡 ∈𝑇
˜ For (𝑟, 𝑥) ∈ 𝐸,
+ ˜
and 𝑓 ∈ 𝐵(𝐸 𝑡 ) let 𝑉𝑟 ,𝑡 𝑓 (𝑥) = 𝑉𝑡−𝑟 (1 {𝑡 } 𝑓 ) (𝑟, 𝑥). From (6.32) one may see that
(𝑟, 𝑥) ↦→ 𝑉𝑟 ,𝑡 𝑓 (𝑥) solves the equation (6.30). On the other hand, starting from any
solution to (6.30) one can also construct a solution to (6.32). Then the uniqueness
of the solution to (6.30) follows from that of (6.32). From (6.33) and the semigroup
property of (𝑉˜𝑡 )𝑡 ≥0 it follows that 𝑉𝑟 ,𝑠 𝑉𝑠,𝑡 = 𝑉𝑟 ,𝑡 for 𝑟 ≤ 𝑡 ∈ 𝑇. For 𝑟 ≤ 𝑟 + 𝑡 ∈ 𝑇,

𝜇 ∈ 𝑀 (𝐸𝑟 ) and 𝑓 ∈ 𝐵(𝐸𝑟+𝑡 ) + it is easy to see
ˆ ¯
Q̂𝑟 , 𝜇 e− ⟨𝑋𝑡 , 𝑓 ⟩ = Q̄𝑟 , 𝛿𝑟 ×𝜇 e− ⟨𝑋𝑡 ,1{𝑟+𝑡} 𝑓 ⟩
˜
= e− ⟨𝜇,𝑉𝑡 (1{𝑟+𝑡} 𝑓 ) (𝑟 ,·) ⟩ = e− ⟨𝜇,𝑉𝑟 ,𝑟+𝑡 𝑓 ⟩ .
Then (6.30) and (6.31) defines an inhomogeneous transition semigroup

(𝑄 𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝑇) with global space 𝑀˜ and 𝑋ˆ is a right realization of the cor-
responding homogeneous time–space semigroup. This gives the desired result. □
If an inhomogeneous Markov process with global state space 𝑀˜ has transition
semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by (6.30) and (6.31), we call it an inho-
mogeneous Dawson–Watanabe superprocess with spatial motion 𝜉 and branching
mechanism 𝜙. By a modification of the proof of Theorem 5.15 we get following
theorem:
Theorem 6.16 Suppose that 𝑋 = (𝑊, 𝑋𝑡 , 𝒢, 𝒢𝑟 ,𝑡 , Q𝑟 , 𝜇 ) is a right continuous real-
ization of the inhomogeneous superprocess with transition semigroup
(𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by (6.30) and (6.31). Let 𝜆 be a Radon measure on
𝑇 and let (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) be a locally bounded positive Borel function on 𝐸. ˜ Then
for any 𝑡 ∈ 𝑇 we have
∫

Q𝑟 , 𝜇 exp − 𝑋𝑠 ( 𝑓𝑠 )𝜆(d𝑠) = exp − 𝜇(𝑢𝑟 ) , 𝑟 ∈ 𝑇≤𝑡 , (6.34)
[𝑟 ,𝑡 ]
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique locally bounded positive solution on 𝐸˜ ≤𝑡 of

∫ 𝑡 ∫

𝑢𝑟 (𝑥) + P𝑟 , 𝑥 𝜙(𝑠, 𝜉 𝑠 , 𝑢 𝑠 ) d𝑠 = P𝑟 , 𝑥 𝑓𝑠 (𝜉 𝑠 ) 𝜆(d𝑠). (6.35)
𝑟 [𝑟 ,𝑡 ]
Let 𝑏 ∈ 𝐵(𝑇) and 𝑐 ∈ 𝐵(𝑇) + . Suppose that (𝑧 ∧ 𝑧2 )𝑚(𝑠, d𝑧) is a bounded kernel
from 𝑇 to (0, ∞). For 𝑠 ∈ 𝑇 and 𝜆 ≥ 0 define
∫ ∞
𝜙(𝑠, 𝜆) = 𝑏(𝑠)𝜆 + 𝑐(𝑠)𝜆2 + e−𝜆𝑧 − 1 + 𝜆𝑧 𝑚(𝑠, d𝑧).

(6.36)
0
Theorem 6.17 There is an inhomogeneous Borel right transition semigroup

(𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) on [0, ∞) defined by
∫
e−𝜆𝑦 𝑄 𝑟 ,𝑡 (𝑥, d𝑦) = e−𝑥𝑣𝑟 ,𝑡 (𝜆) , 𝜆 ≥ 0, (6.37)
[0,∞)
where 𝑟 ↦→ 𝑣 𝑟 ,𝑡 (𝜆) is the unique locally bounded positive solution of

∫ 𝑡
𝑣 𝑟 ,𝑡 (𝜆) = 𝜆 − 𝜙(𝑠, 𝑣 𝑠,𝑡 (𝜆))d𝑠, 𝑟 ∈ 𝑇≤𝑡 . (6.38)
𝑟
Moreover, the semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) has a càdlàg realization.

Proof The first assertion follows from Theorem 6.15. Using the notation intro-
duced in the proof of that theorem, one can see that the time–space underlying
process 𝜉˜ is actually the uniform motion to the right on 𝑇, which is a Hunt process.
By Theorem 5.13, the superprocess 𝑋˜ has a realization as a Hunt process. Then
(𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) has a càdlàg realization. □
A Markov process in [0, ∞) with transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇)
defined by (6.37) and (6.38) is called an inhomogeneous CB-process with branching
mechanism 𝜙. As a consequence of Theorem 6.16 we have the following:
Theorem 6.18 Suppose that 𝑋 = (𝑊, 𝒢, 𝒢𝑟 ,𝑡 , 𝑥(𝑡), Q𝑟 , 𝑥 ) is a right continuous in-
homogeneous CB-process with transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by
(6.37) and (6.38). Let 𝜆 ≥ 0 and let 𝑠 ↦→ 𝑓 (𝑠) be a locally bounded Borel function
on 𝑇. Then for any 𝑡 ≥ 𝑟 ∈ 𝑇 we have
∫ 𝑡

Q𝑟 , 𝑥 exp − 𝜆𝑥(𝑡) − 𝑓 (𝑠)𝑥(𝑠)d𝑠 = exp − 𝑥𝑢(𝑟, 𝜆, 𝑓 ) , (6.39)
𝑟
where 𝑟 ↦→ 𝑢(𝑟, 𝜆, 𝑓 ) is the unique locally bounded positive solution to

∫ 𝑡 ∫ 𝑡
𝑢(𝑟, 𝜆, 𝑓 ) + 𝜙(𝑠, 𝑢(𝑠, 𝜆, 𝑓 ))d𝑠 = 𝜆 + 𝑓 (𝑠)d𝑠, 𝑟 ∈ 𝑇≤𝑡 . (6.40)
𝑟 𝑟
Example 6.6 Let 𝐸 be a complete separable metric space. Suppose that (𝑃𝑡 )𝑡 ≥0 is
a Borel right semigroup on 𝐸 with a càdlàg realization. Let 𝐷 𝐸 := 𝐷 ( [0, ∞), 𝐸)
be the space of càdlàg paths from [0, ∞) to 𝐸 furnished with the Skorokhod met-
ric. Let 𝜉 = (𝐷 𝐸 , ℱ 0 , ℱ𝑡0 , 𝜉𝑡 , P 𝑥 ) be the canonical realization of (𝑃𝑡 )𝑡 ≥0 and let
𝜉¯ = (𝐷 𝐸 , ℱ 0 , ℱ𝑟0,𝑡 , 𝜉¯𝑡 , P̄𝑟 ,𝑦 ) be the path process of 𝜉 defined in Example A.3.
Then 𝜉¯ is an inhomogeneous càdlàg Markov process with global state space 𝑆 :=
{(𝑡, 𝑦) ∈ [0, ∞) × 𝐷 𝐸 : 𝑦 = 𝑦 𝑡 }. For 𝑡 ≥ 0 let 𝑆𝑡 = {(𝑠, 𝑦) ∈ 𝑆 : 𝑠 ≤ 𝑡} and let
𝐷 𝑡𝐸 be defined as in Example A.3. We regard 𝑀 (𝐷 𝑡𝐸 ) as a subspace of 𝑀 (𝐷 𝐸 ) and
endow
𝑀˜ := {(𝑡, 𝜇) ∈ [0, ∞) × 𝑀 (𝐷 𝐸 ) : 𝜇(𝐷 𝐸 \ 𝐷 𝑡𝐸 ) = 0}
with the topology inherited from [0, ∞)×𝑀 (𝐷 𝐸 ). Suppose that 𝜙 is a local branching
mechanism on 𝐸 given by (2.49) and let
¯ 𝑦, 𝜆) = 𝜙(𝑦(𝑠), 𝜆),
𝜙(𝑠, (𝑠, 𝑦) ∈ 𝑆, 𝜆 ≥ 0.
¯ 𝜙)-superprocess
The ( 𝜉, ¯ is an inhomogeneous Markov process with global state
space 𝑀˜ and Borel right transition semigroup ( 𝑄¯ 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) given by
∫
e−𝜈 ( 𝑓 ) 𝑄¯ 𝑟 ,𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉¯𝑟 ,𝑡 𝑓 )}, 𝑓 ∈ 𝐵(𝐷 𝑡𝐸 ) + , (6.41)
𝑡 )
𝑀 (𝐷𝐸
where (𝑟, 𝑦) ↦→ 𝑣¯ 𝑟 ,𝑡 (𝑦) = 𝑉¯𝑟 ,𝑡 𝑓 (𝑦) is the unique bounded positive solution on 𝑆𝑡 of
the equation
∫ 𝑡
𝑣¯ 𝑟 ,𝑡 (𝑦) = P̄𝑟 ,𝑦 [ 𝑓 ( 𝜉¯𝑡 )] − ¯ 𝜉¯𝑠 , 𝑣¯ 𝑠,𝑡 ( 𝜉¯𝑠 )) d𝑠.

P̄𝑟 ,𝑦 𝜙(𝑠, (6.42)
𝑟
In view of (A.56) we can rewrite (6.42) as

∫ 𝑡

𝑣¯ 𝑟 ,𝑡 (𝑦) = P 𝑦 (𝑟) [ 𝑓 (𝑦/𝑟/𝜉 𝑡−𝑟 )] − P 𝑦 (𝑟) 𝜙(𝜉 (𝑠 − 𝑟), 𝑣¯ 𝑠,𝑡 (𝑦/𝑟/𝜉 𝑠−𝑟 )) d𝑠.
𝑟
A realization of the ( 𝜉, ¯ 𝜙)-superprocess

¯ is called a (𝜉, 𝜙)-historical superprocess.
Let 𝑝 𝑡 (𝑦) = 𝑦(𝑡) for 𝑡 ≥ 0 and 𝑦 ∈ 𝐷 𝐸 . Then each 𝑝 𝑡 is a Borel mapping from 𝐷 𝐸
to 𝐸. Suppose that 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a realization of the (𝜉, 𝜙)-superprocess
and 𝑋¯ = (𝑊, ¯ 𝒢¯ 𝑟 ,𝑡 , 𝑋¯ 𝑡 , Q̄𝑟 , 𝜇 ) is a realization of the (𝜉, 𝜙)-historical superprocess.
¯ 𝒢,
If we identify 𝐷 0𝐸 with 𝐸, then for every 𝜇 ∈ 𝑀 (𝐸), the process { 𝑋¯ 𝑡 ◦ 𝑝 −1 𝑡 : 𝑡 ≥ 0}
under Q̄0, 𝜇 is distributed identically as {𝑋𝑡 : 𝑡 ≥ 0} under Q 𝜇 ; see Dawson and
Perkins (1991, p. 29). The historical superprocess not only contains the information
on the current distribution of the population but also the records the past histories
of all the individuals. This feature makes it a very powerful tool in studying the
structural properties of the superprocess.
Example 6.7 Let 𝐸 be a complete separable metric space. Suppose that 𝜉 is a càdlàg
Borel right process with state space 𝐸 satisfying Condition 4.7. In the setting of
Example 4.1 we can use the 𝜉-Brownian snake {(𝜂 𝑠 , 𝜁 𝑠 ) : 𝑠 ≥ 0} to define a process
{ 𝑋¯ 𝑡 : 𝑡 ≥ 0} taking values in 𝑀 (𝐷 𝐸 ) by
∫ 𝜎 (𝑢)
𝑋¯ 𝑡 (𝐹) = 𝐹 (𝜂 𝑠 )d𝑙 𝑠 (𝑡), 𝐹 ∈ 𝐵(𝐷 𝐸 ). (6.43)
0
Since 𝑠 ↦→ 𝑙 𝑠 (𝑡) increases only when 𝜁 𝑠 = 𝑡, the random measure 𝑋¯ 𝑡 takes values
in 𝑀 (𝐷 𝑡𝐸 ). In fact, the process { 𝑋¯ 𝑡 : 𝑡 ≥ 0} is a realization of the (𝜉, 𝜙)-historical
superprocess with local branching mechanism 𝜙(𝑧) = 𝑧 2 .
The transformation 𝜇(d𝑥) ↦→ ℎ(𝑥) −1 𝜇(d𝑥) in the construction of superprocesses in

spaces of infinite measures was used in Schied (1999); see also El Karoui and Roelly
(1991) and Li (1992b). A special form of the superprocess in Example 6.2 was first
given in Fleischmann and Mueller (1997); see also Wang (2002).
The study of multitype superprocesses was initiated by Gorostiza and Lopez-
Mimbela (1990); see also Gorostiza and Roelly (1991), Gorostiza et al. (1992) and
Li (1992a). A special form of the two-type superprocess in Section 6.3 was studied
in Hong and Li (1999), where {𝑋2 (𝑡) : 𝑡 ≥ 0} was interpreted as a superprocess
with immigration governed by the trajectory of {𝑋1 (𝑡) : 𝑡 ≥ 0}. Hong and Li (1999)
proved a central limit theorem of {𝑋2 (𝑡) : 𝑡 ≥ 0} for Brownian spatial motion
and binary local branching. The corresponding moderate and large deviations were
studied in Hong (2002, 2003) and the quenched mean limit theorems and moderate
deviations were discussed in Hong (2005). A quenched central limit theorem was
given in Hong and Zeitouni (2007). The multitype super-Brownian motion was
studied in Ceci and Gerardi (2006) in the framework of marked trees.
Bellman and Harris (1952) introduced and studied a branching population model
with general life-length distribution, where an individual gave birth to offspring
at its death time. A generalization of the model was introduced independently by
Crump and Mode (1968, 1969) and Jagers (1969), where the offspring production
of an individual was described by a random point process on its lifespan. The
age-structured superprocess defined in Example 6.5 was obtained by Bose and Kaj
(2000) as the scaling limit of branching particle systems. The process was studied
in detail by Kaj and Sagitov (1998) when 𝐸 was a singleton. In this case, the model
provides an approximation for a special case of the Crump–Mode–Jagers process.
A closely related model was studied by Fleischmann er al. (2002) and Vatutin and
Wakolbinger (1998). Some other models of superprocesses that can be obtained by
transformations were given in Dawson et al. (2002c).
Theorems 6.12 and 6.13 are modifications of the results of Roelly and Rouault
(1989). Evans (1993) gave two representations of the conditioned superprocess with
transition semigroup (𝑄˜ 𝑡 )𝑡 ≥0 defined by (6.25) or (6.27). One of those involves
an “immortal particle” that moves according to the underlying spatial motion and
throws off pieces of mass which then proceed to evolve as the original superprocess;
see also Etheridge and Williams (2003). This representation was used in Engländer
and Kyprianou (2004) and Liu et al. (2009) to investigate the long-time growth rate
of the process. A number of limit theorems of the conditioned superprocess were
proved in Evans (1991) and Evans and Perkins (1990); see also Liu and Ren (2009),
Overbeck (1993) and Zhao (1994, 1996).
The concepts of path process and historical superprocess were introduced by
Dawson and Perkins (1991); see also Dynkin (1991a, 1991c). A nonstandard model
containing the genealogical trees of the super-Brownian motion was introduced
in Perkins (1988); see also Dawson et al. (1989b). The representation (6.43) of
historical superprocesses using Brownian snakes was given in Le Gall (1993). A
different approach to the genealogical structures was developed in Donnelly and
Kurtz (1996, 1999a, 1999b) using lookdown processes. A super-Brownian motion
with reflecting historical paths was constructed in Burdzy and Le Gall (2001) and
Burdzy and Mytnik (2005) by discrete approximations.
Let 𝐶𝑑 := 𝐶 ( [0, ∞), R𝑑 ) be the set of continuous paths from [0, ∞) to R𝑑 fur-
nished with the topology of locally uniform convergence. We consider the canonical
realization 𝜉 = (𝐶𝑑 , ℱ, ℱ𝑡 , 𝜉𝑡 , P 𝑥 ) of the 𝑑-dimensional diffusion process gener-
ated by the differential operator 𝐴 specified in Example 6.1. Let (𝑥, 𝑧) ↦→ 𝜙(𝑥, 𝑧)
be a subcritical local branching mechanism given by (2.49) which is jointly con-
tinuous in (𝑥, 𝑧) ∈ R𝑑 × [0, ∞). Suppose that 𝐷 ⊂ R𝑑 is a bounded domain with
smooth boundary 𝜕𝐷. Let 𝜏𝐷 = inf{𝑡 ≥ 0 : 𝜉𝑡 ∈ 𝐷 𝑐 } be the exit time of 𝜉
from 𝐷 and let 𝜉𝑡𝐷 = 𝜉𝑡∧𝜏𝐷 for 𝑡 ≥ 0. We consider the stopped diffusion process
𝜉 𝐷 = (𝐶𝑑 , ℱ, ℱ𝑡 , 𝜉𝑡𝐷 , P 𝑥 ). Let 𝜙 𝐷 (𝑥, 𝑧) = 1𝐷 (𝑥)𝜙(𝑥, 𝑧) for 𝑥 ∈ R𝑑 and 𝑧 ≥ 0.
Suppose that 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡𝐷 , Q 𝜇 ) is a realization of the (𝜉 𝐷 , 𝜙 𝐷 )-superprocess.
Then for any 𝜇 ∈ 𝑀 (R𝑑 ) we have
Q 𝜇 exp{−𝑋𝑡𝐷 ( 𝑓 )} = exp{−𝜇(𝑣 𝑡𝐷 )}, 𝑡 ≥ 0, 𝑓 ∈ 𝐶 (R𝑑 ) + , (6.44)
where (𝑡, 𝑥) ↦→ 𝑣 𝑡𝐷 (𝑥) is the unique bounded positive solution to the integral evolu-
tion equation
∫ 𝑡∧𝜏𝐷
𝐷 𝐷
𝑣 𝑡 (𝑥) = P 𝑥 [ 𝑓 (𝜉𝑡∧𝜏𝐷 )] − P 𝑥 𝜙(𝜉 𝑠 , 𝑣 𝑡−𝑠 (𝜉 𝑠 ))d𝑠 . (6.45)
0
In view of (6.44) and (6.45) one would expect there is a random measure 𝑋 𝐷 ∈
𝑀 (𝐷 𝑐 ) defined on the probability space (𝑊, 𝒢, Q 𝜇 ) such that
Q 𝜇 exp{−𝑋 𝐷 ( 𝑓 )} = exp{−𝜇(𝑣 𝐷 )}, 𝑓 ∈ 𝐶 (R𝑑 ) + ,
where 𝑥 ↦→ 𝑣 𝐷 (𝑥) is the unique bounded positive solution to the equation

∫ 𝜏𝐷
𝑣(𝑥) = P 𝑥 [ 𝑓 (𝜉 𝜏𝐷 )] − P 𝑥 𝜙(𝜉 𝑠 , 𝑣(𝜉 𝑠 ))d𝑠 .
0
This observation was made rigorous by Dynkin (1991b), who showed that 𝑥 ↦→
𝑣 𝐷 (𝑥) can also be defined by the nonlinear partial differential equation
n 𝐴𝑣(𝑥) = 𝜙(𝑥, 𝑣(𝑥)), 𝑥 ∈ 𝐷,
(6.46)
𝑣(𝑥) = 𝑓 (𝑥), 𝑥 ∈ 𝐷𝑐.
The random measure 𝑋 𝐷 is called the exit measure of the (𝜉, 𝜙)-superprocess from
𝐷. It can be obtained via a limit theorem of the same type as Theorem 4.6 by freezing
each particle at its exit time from 𝐷. Using the (𝜉, 𝜙)-historical superprocess 𝑋,¯ the
exit measure can be represented formally as
1 ∞
∫ ∫
𝐷
𝑋 ( 𝑓 ) = lim d𝑡 𝑓 (𝑤(𝜏𝐷 (𝑤))1 [𝑡−𝜀,𝑡 ] (𝜏𝐷 (𝑤)) 𝑋¯ 𝑡 (d𝑤),
𝜀↓0 𝜀 0 𝐶𝑑
where 𝜏𝐷 (𝑤) = inf{𝑡 ≥ 0 : 𝑤(𝑡) ∈ 𝐷 𝑐 } for 𝑤 ∈ 𝐶𝑑 ; see Dynkin (1991c). In the

binary local branching case, it can also be represented in terms of the 𝜉-Brownian
snake; see Le Gall (1999) for details. In Salisbury and Verzani (1999, 2000), some
conditioned exit measures of the super-Brownian motion were defined and char-
acterized. Mselati (2004) applied the Brownian snake to give classifications and
probabilistic representations of positive solutions of the equation Δ𝑣(𝑥) = 𝑣(𝑥) 2 in
a bounded smooth domain; see also Le Gall (1995). The interplay between super-
processes and nonlinear partial differential equations has led to many deep results.
We refer the reader to Dynkin (2002, 2004) and Le Gall (1999, 2005) for the devel-
opments in this subject. The behavior of a super-Brownian motion upon exiting an
increasing family of balls was studied by Hesse and Kyprianou (2014). They showed
that the mass process is an inhomogeneous CB-process, where the increasing radii of
the balls are taken as the time-parameter. In the recent work of Beznea et al. (2020),
a probabilistic representation was given for the solution to some nonlinear evolution
equation in terms of a non-local branching superprocess.
The inhomogeneous CB-process with transition semigroup defined by (6.37) and
(6.38) is a particular form of the CB-process in varying environments introduced by
Bansaye and Simatos (2015), where the map 𝑟 ↦→ 𝑣 𝑟 ,𝑡 (𝜆) may have discontinuous
points. The models arise naturally as scaling limits of discrete branching processes
whose individuals in different generations may have different reproduction distri-
butions. A limit theorem of this type was proved by Bansaye and Simatos (2015),
who provided general sufficient conditions for the weak convergence of the rescaled
discrete processes. Their conditions allow infinite variance of the reproduction distri-
butions and considerably extend results previously established in this line. They also
observed some interesting phenomena of the process at its bottlenecks, which mean
the times when the process goes to zero instantaneously. The CB-process in varying
environments was constructed in Fang and Li (2022) as the pathwise unique solution
to a stochastic integral equation driven by inhomogeneous time–space noises, which
yields an explicit characterization of the behavior at the bottlenecks. A simple suffi-
cient condition for the convergence of rescaled Galton–Watson processes in varying
environments is given by Fang et al. (2022).
Chapter 7
Martingale Problems of Superprocesses
Martingale problems play a very important role in the study of Markov processes.
In this chapter we investigate some martingale problems associated with Dawson–
Watanabe superprocesses. Those problems induce martingale measures which are
not necessarily orthogonal, but still worthy in the sense of Walsh (1986). We give a
representation for the superprocesses in terms of stochastic integrals. The Girsanov
type transform of Dawson (1978) is used to derive superprocesses with interactive
growth rates. For simplicity, we only consider locally compact underlying spaces
and establish the results under Feller type assumptions.
7.1 The Differential Evolution Equation
Suppose that 𝐸 is a locally compact separable metric space. Let 𝜉 be a Borel right
process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 . We assume that (𝑃𝑡 )𝑡 ≥0 preserves
𝐶0 (𝐸) and 𝑡 ↦→ 𝑃𝑡 𝑓 is continuous in the supremum norm for every 𝑓 ∈ 𝐶0 (𝐸), but
the semigroup is not necessarily conservative. Let 𝐴 denote the strong generator of
(𝑃𝑡 )𝑡 ≥0 defined by
1
𝐴 𝑓 (𝑥) = lim 𝑃𝑡 𝑓 (𝑥) − 𝑓 (𝑥) , 𝑥 ∈ 𝐸, (7.1)
𝑡→0 𝑡
where the limit is taken in the supremum norm. The domain 𝐷 0 ( 𝐴) of 𝐴 is the
totality of functions 𝑓 ∈ 𝐶0 (𝐸) for which the above limit exists. It is known that for
𝑓 ∈ 𝐷 0 ( 𝐴) we have 𝑃𝑡 𝑓 ∈ 𝐷 0 ( 𝐴) and
d
𝑃𝑡 𝑓 (𝑥) = 𝑃𝑡 𝐴 𝑓 (𝑥) = 𝐴𝑃𝑡 𝑓 (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸, (7.2)
d𝑡
where the derivative is taken in the supremum norm; see, e.g., Ethier and Kurtz
(1986, p. 9). Let (𝑈 𝛼 ) 𝛼>0 be the resolvent of (𝑃𝑡 )𝑡 ≥0 defined by (A.6). Let 𝜙 be a
branching mechanism given by (2.29) or (2.30). We assume the following conditions:

166 7 Martingale Problems of Superprocesses
Condition 7.1 𝑏 ∈ 𝐶 (𝐸), 𝑐 ∈ 𝐶 (𝐸) + and the operator 𝑓 ↦→ 𝛾(·, 𝑓 ) preserves

𝐶0 (𝐸) + .
Condition 7.2 𝑥 ↦→ [𝜈(1) ∧ 𝜈(1) 2 ]𝐻 (𝑥, d𝜈) is continuous by weak convergence on

𝑀 (𝐸) ◦ and 𝐶0 (𝐸) + is preserved by the operator
∫
𝜈( 𝑓 ) ∧ 𝜈( 𝑓 ) 2 𝐻 (𝑥, d𝜈).

𝑓 ↦→
𝑀 (𝐸) ◦
We are going to prove some analytic properties of the cumulant semigroup (𝑉𝑡 )𝑡 ≥0
of the (𝜉, 𝜙)-superprocess. Recall that the cumulant semigroup is defined by the
nonlinear integral evolution equation, for 𝑓 ∈ 𝐵(𝐸) + ,
∫ 𝑡 ∫
𝑉𝑡 𝑓 (𝑥) + d𝑠 𝜙(𝑦, 𝑉𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦) = 𝑃𝑡 𝑓 (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (7.3)
0 𝐸
Proposition 7.3 For any 𝛼 > 0 we have 𝐷 0 ( 𝐴) = 𝑈 𝛼 𝐶0 (𝐸). Moreover, if 𝑓 =

𝑈 𝛼 𝑔 ∈ 𝐷 0 ( 𝐴) for 𝑔 ∈ 𝐶0 (𝐸), then 𝐴 𝑓 = 𝛼 𝑓 − 𝑔.
Proof We first prove 𝐷 0 ( 𝐴) ⊂ 𝑈 𝛼 𝐶0 (𝐸) for 𝛼 > 0. Let 𝑓 ∈ 𝐷 0 ( 𝐴). For any 𝑡 ≥ 0
we have
∫ ∞ ∫ ∞
−𝛼𝑠
𝛼
𝑈 𝑃𝑡 𝑓 = e 𝑃𝑠+𝑡 𝑓 d𝑠 = 𝑒 𝛼𝑡
e−𝛼𝑠 𝑃𝑠 𝑓 d𝑠.
0 𝑡
By differentiating the equality at 𝑡 = 0 and applying the dominated convergence

theorem we get 𝑈 𝛼 𝐴 𝑓 = 𝛼𝑈 𝛼 𝑓 − 𝑓 and so 𝑓 = 𝑈 𝛼 (𝛼− 𝐴) 𝑓 ∈ 𝑈 𝛼 𝐶0 (𝐸). This shows
𝐷 0 ( 𝐴) ⊂ 𝑈 𝛼 𝐶0 (𝐸). We next assume 𝑓 = 𝑈 𝛼 𝑔 for some 𝛼 > 0 and 𝑔 ∈ 𝐶0 (𝐸). For
𝑡 ≥ 0 we have
∫ ∞ ∫ ∞
−𝛼𝑠
𝑃𝑡 𝑓 = e 𝑃𝑡+𝑠 𝑔d𝑠 = e 𝛼𝑡
e−𝛼𝑠 𝑃𝑠 𝑔d𝑠.
0 𝑡
Then we can differentiate the equality at 𝑡 = 0 to see that 𝑓 ∈ 𝐷 0 ( 𝐴) and 𝐴 𝑓 =

𝛼 𝑓 − 𝑔. □
Let 𝜙 𝑛 (𝑥, 𝑓 ) be defined by (2.32). Then Conditions 7.1 and 7.1 imply that both
𝑓 ↦→ 𝜙(·, 𝑓 ) and 𝑓 ↦→ 𝜙 𝑛 (·, 𝑓 ) map 𝐶0 (𝐸) + into 𝐶0 (𝐸). By Theorem A.53 we have
∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0, where 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)].
Lemma 7.4 Let 𝑓 ∈ 𝐶0 (𝐸) + and let 𝑡 ↦→ 𝜋𝑡 𝑓 be defined by (2.38). Then as 𝑛 → ∞

we have 𝜙 𝑛 (𝑥, 𝜋𝑡 𝑓 ) → 𝜙(𝑥, 𝜋𝑡 𝑓 ) uniformly and increasingly on the set [0, 𝑇] × 𝐸
for each 𝑇 ≥ 0.
Proof Clearly, 𝜙 𝑛 (𝑥, 𝑓 ) → 𝜙(𝑥, 𝑓 ) increasingly for 𝑓 ∈ 𝐶0 (𝐸) + . Let 𝑏 ∗ = ∥𝑏 − ∥ and

let 𝑡 ↦→ 𝜋𝑡∗ 𝑓 be defined by (2.38) with 𝑏 replaced by −𝑏 ∗ . By Theorem 5.28 we have
𝜋𝑡 𝑓 ≤ 𝜋𝑡∗ 𝑓 for 𝑡 ≥ 0. From (2.40) it is easy to see the operators (𝜋𝑡∗ )𝑡 ≥0 preserve
∗
𝐶0 (𝐸) + and 𝑡 ↦→ 𝜋𝑡∗ 𝑓 is strongly continuous for each 𝑓 ∈ 𝐶0 (𝐸) + . Then ∥𝜋𝑡∗ ∥ ≤ e𝑐 𝑡
for 𝑡 ≥ 0, where 𝑐∗ = ∥𝛾(·, 1) + 𝑏 ∗ ∥. Observe that
7.1 The Differential Evolution Equation 167
𝜙(𝑥, 𝑓 ) = 𝜙 𝑛 (𝑥, 𝑓 ) + 𝑐(𝑥) 𝑓 (𝑥) 2 − 2𝑛2 𝑐(𝑥)𝐾 (𝛿 𝑥 , 𝑓 /𝑛)

∫
+ 𝐾 (𝜈, 𝑓 ) [1 − 𝑛𝜈(1)]𝐻 (𝑥, d𝜈). (7.4)
{𝑛𝜈 (1) <1}
Then we have
0 ≤ 𝜙(𝑥, 𝑓 ) − 𝜙 𝑛 (𝑥, 𝑓 ) ≤ 𝜀 𝑛 (𝑥, 𝑓 ) + 𝜂 𝑛 (𝑥, 𝑓 ),
where
𝜀 𝑛 (𝑥, 𝑓 ) = 𝑐(𝑥) 𝑓 (𝑥) 2 − 2𝑛2 𝑐(𝑥)𝐾 (𝛿 𝑥 , 𝑓 /𝑛)
and
∫
1
𝜂 𝑛 (𝑥, 𝑓 ) = 𝜈( 𝑓 ) 2 (1 − 𝑛𝜈(1))𝐻 (𝑥, d𝜈).
2 {𝑛𝜈 (1) <1}
By Taylor’s expansion it is easy to see that

1 1 3𝑐∗ 𝑡
𝜀 𝑛 (𝑥, 𝜋𝑡 𝑓 ) ≤ 𝜀 𝑛 (𝑥, 𝜋𝑡∗ 𝑓 ) ≤ ∥𝑐∥∥𝜋𝑡∗ 𝑓 ∥ 3 ≤ e ∥𝑐∥∥ 𝑓 ∥ 3 .
3𝑛 3𝑛
Then 𝜀 𝑛 (𝑥, 𝜋𝑡 𝑓 ) → 0 uniformly on the set [0, 𝑇] × 𝐸 for each 𝑇 ≥ 0. By the
assumptions on the kernel 𝐻 (𝑥, d𝜈), it is elementary to see that 𝑓 ↦→ 𝜂 𝑛 (·, 𝑓 )
preserves 𝐶0 (𝐸) + and 𝜂 𝑛 (𝑥, 𝑓 ) → 0 decreasingly as 𝑛 → ∞. Moreover, we have
|𝜂 𝑛 (𝑥, 𝜋𝑡∗ 𝑓 ) − 𝜂 𝑛 (𝑥, 𝑓 )|

∫
1
≤ 𝜈(|𝜋𝑡∗ 𝑓 − 𝑓 |)𝜈(|𝜋𝑡∗ 𝑓 + 𝑓 |)𝐻 (𝑥, d𝜈)
2 {𝑛𝜈 (1) <1} ∫
1
≤ ∥𝜋𝑡∗ 𝑓 − 𝑓 ∥∥𝜋𝑡∗ 𝑓 + 𝑓 ∥ 𝜈(1) 2 𝐻 (𝑥, d𝜈),
2 {𝑛𝜈 (1) <1}
so 𝑡 ↦→ 𝜂 𝑛 (·, 𝜋𝑡∗ 𝑓 ) is strongly continuous on 𝐶0 (𝐸) + . Let 𝐸¯ = 𝐸 ∪ {𝜕} with 𝜕 being

an isolated point if 𝐸 is compact and with 𝐸¯ being the one-point compactification
of 𝐸 otherwise. Then (𝑡, 𝑥) ↦→ 𝜂 𝑛 (𝑥, 𝜋𝑡∗ 𝑓 ) extends continuously onto [0, ∞) × 𝐸¯
with 𝜂 𝑛 (𝜕, 𝜋𝑡∗ 𝑓 ) = 0 for all 𝑡 ≥ 0. Given 𝜀 > 0 let 𝑛0 (𝑡, 𝑥) ≥ 1 be sufficiently
large so that 𝜂 𝑛0 (𝑡 ,𝑥) (𝑥, 𝜋𝑡∗ 𝑓 ) < 𝜀/2. Then there is a neighborhood 𝑈 (𝑡, 𝑥) of (𝑡, 𝑥)
such that 𝜂 𝑛0 (𝑡 ,𝑥) (𝑦, 𝜋 𝑠∗ 𝑓 ) < 𝜀 for (𝑠, 𝑦) ∈ 𝑈 (𝑡, 𝑥). By the compactness, for each
𝑇 ≥ 0 we can find a finite subset {(𝑡𝑖 , 𝑥𝑖 ) : 𝑖 = 1, 2, . . . , 𝑘 } of [0, 𝑇] × 𝐸¯ such that
∪𝑖=1
𝑘 𝑈 (𝑡 , 𝑥 ) ⊃ [0, 𝑇] × 𝐸.
𝑖 𝑖 ¯ Then 𝜂 𝑛 (𝑥, 𝜋 𝑠 𝑓 ) ≤ 𝜂 𝑛 (𝑥, 𝜋 𝑠∗ 𝑓 ) < 𝜀 for (𝑠, 𝑦) ∈ [0, 𝑇] × 𝐸¯
and 𝑛 ≥ 𝑛0 := max1≤𝑖 ≤𝑘 𝑛0 (𝑡 𝑖 , 𝑥𝑖 ). It follows that 𝜂 𝑛 (𝑥, 𝜋𝑡 𝑓 ) → 0 uniformly on
[0, 𝑇] × 𝐸 for each 𝑇 ≥ 0. This proves the desired result. □
Theorem 7.5 The operators (𝑉𝑡 )𝑡 ≥0 preserve 𝐶0 (𝐸) + and 𝑡 ↦→ 𝑉𝑡 𝑓 is continuous in

the supremum norm for each 𝑓 ∈ 𝐶0 (𝐸) + .
Proof For 𝑛 ≥ 1 and 𝑓 ∈ 𝐶0 (𝐸) + let (𝑡, 𝑥) ↦→ 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) be the unique locally
bounded positive solution of
∫ 𝑡 ∫
𝑣(𝑡, 𝑥) + d𝑠 𝜙 𝑛 (𝑦, 𝑣(𝑠))𝑃𝑡−𝑠 (𝑥, d𝑦) = 𝑃𝑡 𝑓 (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (7.5)
0 𝐸
The above equation is a special case of (2.24). By the approximation of the solution
provided by Proposition 2.19 it is easy to infer that 𝑓 ↦→ 𝑣 𝑛 (𝑡, ·, 𝑓 ) preserves
𝐶0 (𝐸) + and 𝑡 ↦→ 𝑣 𝑛 (𝑡) = 𝑣 𝑛 (𝑡, ·, 𝑓 ) is continuous in the supremum norm for each
𝑓 ∈ 𝐶0 (𝐸) + . By Proposition 2.20 we have 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) → 𝑉𝑡 𝑓 (𝑥) decreasingly. Recall
that 𝑓 ↦→ 𝜙 𝑛 (·, 𝑓 ) maps 𝐶0 (𝐸) + into 𝐶0 (𝐸). Now fix 𝑇 ≥ 0 and 𝑓 ∈ 𝐶0 (𝐸) + and let
+
𝑎 = ∥ 𝑓 ∥e𝑐0 𝑇 , where 𝑐+0 = 0 ∨ 𝑐 0 . By Corollary 2.25 and Theorem 5.28,
𝑉𝑡 𝑓 (𝑥) ≤ 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) ≤ 𝜋𝑡 𝑓 (𝑥) ≤ 𝑎, 0 ≤ 𝑡 ≤ 𝑇, 𝑥 ∈ 𝐸 . (7.6)
By Lemma 7.4 for 𝜀 > 0 there is an integer 𝑁 = 𝑁 (𝜀, 𝑇) ≥ 1 such that 𝜙(𝑥, 𝜋𝑡 𝑓 ) −
𝜙 𝑛 (𝑥, 𝜋𝑡 𝑓 ) ≤ 𝜀 for (𝑡, 𝑥) ∈ [0, 𝑇] × 𝐸 and 𝑛 ≥ 𝑁. In view of (7.4) and (7.6), we
have 𝜙(𝑥, 𝑣 𝑛 (𝑡)) − 𝜙 𝑛 (𝑥, 𝑣 𝑛 (𝑡)) ≤ 𝜀 for (𝑡, 𝑥) ∈ [0, 𝑇] × 𝐸 and 𝑛 ≥ 𝑁. From (7.3)
and (7.5) we have
∫ 𝑡

∥𝑣 𝑛 (𝑡) − 𝑉𝑡 𝑓 ∥ ≤ 𝜀 + ∥𝜙(·, 𝑣 𝑛 (𝑠)) − 𝜙(·, 𝑉𝑠 𝑓 ) ∥ d𝑠
0 ∫ 𝑡
≤ 𝜀𝑇 + 𝐿 𝑎 ∥𝑣 𝑛 (𝑠) − 𝑉𝑠 𝑓 ∥d𝑠
0
for 0 ≤ 𝑡 ≤ 𝑇 and 𝑛 ≥ 𝑁, where 𝐿 𝑎 ≥ 0 is a Lipschitz constant for the restriction of

the operator 𝑓 ↦→ 𝜙(·, 𝑓 ) on 𝐶0 (𝐸) + ∩ 𝐵 𝑎 (𝐸) + . By applying Gronwall’s inequality
we get
∥𝑣 𝑛 (𝑡) − 𝑉𝑡 𝑓 ∥ ≤ 𝜀𝑇 exp{𝐿 𝑎 𝑡}.
It follows that 𝑣 𝑛 (𝑡, 𝑥, 𝑓 ) → 𝑉𝑡 𝑓 (𝑥) uniformly on [0, 𝑇] × 𝐸. Then (𝑉𝑡 )𝑡 ≥0 preserves

𝐶0 (𝐸) + and 𝑡 ↦→ 𝑉𝑡 𝑓 is continuous in the supremum norm. □
Corollary 7.6 Let 𝑓 ∈ 𝐶0 (𝐸) + and let 𝑡 ↦→ 𝑉𝑡 𝑓 be the unique locally bounded
positive solution of (7.3). Then 𝑡 ↦→ 𝑉𝑡 𝑓 is continuous in the supremum norm
uniformly on each bounded interval.
Corollary 7.7 Let 𝑓 ∈ 𝐶0 (𝐸) and let 𝑡 ↦→ 𝜋𝑡 𝑓 be the unique locally bounded
solution of (2.38). Then 𝑡 ↦→ 𝜋𝑡 𝑓 is continuous in the supremum norm uniformly on
each bounded interval.
Proof For 𝑓 ∈ 𝐶0 (𝐸) + the result follows as a special case of Corollary 7.6. The
extension to 𝑓 ∈ 𝐶0 (𝐸) is immediate by linearity. □
Let us introduce a differential form of the equation (7.3). Given 𝑓 ∈ 𝐷 0 ( 𝐴) + we

consider the nonlinear differential evolution equation
 d


 𝑉𝑡 𝑓 (𝑥) = 𝐴𝑉𝑡 𝑓 (𝑥) − 𝜙(𝑥, 𝑉𝑡 𝑓 ), 𝑡 ≥ 0, 𝑥 ∈ 𝐸,
d𝑡 (7.7)
 𝑉0 𝑓 (𝑥) = 𝑓 (𝑥),

𝑥 ∈ 𝐸.

By a positive solution of (7.7) we mean a mapping 𝑡 ↦→ 𝑉𝑡 𝑓 from [0, ∞) to 𝐷 0 ( 𝐴) +

that is continuously differentiable in 𝑡 ≥ 0 by the supremum norm and satisfies the
equalities in (7.7). The main purpose of this section is to prove that (7.3) and (7.7)
are equivalent for any 𝑓 ∈ 𝐷 0 ( 𝐴) + .
Theorem 7.8 Let 𝑓 ∈ 𝐷 0 ( 𝐴) + . If 𝑡 ↦→ 𝑉𝑡 𝑓 is a positive solution of the differential

equation (7.7), it also solves the integral equation (7.3).
Proof Fix 𝑡 ≥ 0 and let 𝑔(𝑠) = 𝑃𝑡−𝑠 𝑉𝑠 𝑓 for 0 ≤ 𝑠 ≤ 𝑡. If 𝑡 ↦→ 𝑉𝑡 𝑓 is a positive

solution of the differential equation (7.7), it is easy to show that
d d
𝑔(𝑠) = 𝑃𝑡−𝑠 𝑉𝑠 𝑓 − 𝑃𝑡−𝑠 𝐴𝑉𝑠 𝑓 = −𝑃𝑡−𝑠 𝜙(𝑉𝑠 𝑓 ), 0 ≤ 𝑠 ≤ 𝑡.
d𝑠 d𝑠
Then 𝑠 ↦→ (d/d𝑠)𝑔(𝑠) is continuous by the supremum norm, and (7.3) follows by
integrating both sides of the above equation over [0, 𝑡]. □
We next show that (7.3) also implies (7.7) for 𝑓 ∈ 𝐷 0 ( 𝐴) + . Recall that the
cumulant semigroup (𝑉𝑡 )𝑡 ≥0 has the canonical representation (2.5). Given 𝑓 ∈
𝐷 0 ( 𝐴) + we define 𝐵0 𝑓 (𝑥) = 𝐴 𝑓 (𝑥) − 𝜙(𝑥, 𝑓 ) and 𝐵𝑡 𝑓 (𝑥) = 𝑉𝑡 0 𝑓 (𝑥), using the
𝐵 𝑓
notation of Proposition 2.29. Let 𝜓 be defined by (2.59). Then, for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸,

∫ 𝑡 ∫
𝐵𝑡 𝑓 (𝑥) = 𝑃𝑡 𝐵0 (𝑥) − d𝑠 𝜓(𝑦, 𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦) (7.8)
0 𝐸
and
∫
𝐵𝑡 𝑓 (𝑥) = 𝜆 𝑡 (𝑥, 𝐵0 𝑓 ) + e−𝜈 ( 𝑓 ) 𝜈(𝐵0 𝑓 )𝐿 𝑡 (𝑥, d𝜈). (7.9)
𝑀 (𝐸) ◦
Lemma 7.9 For every 𝑡 ≥ 0 and 𝑓 ∈ 𝐷 0 ( 𝐴) + we have 𝐵𝑡 𝑓 ∈ 𝐶0 (𝐸) and the

mapping 𝑡 ↦→ 𝐵𝑡 𝑓 is continuous in the supremum norm.
Proof Since 𝐵0 𝑓 ∈ 𝐶0 (𝐸), by Proposition 2.31 we have immediately 𝐵𝑡 𝑓 ∈ 𝐶0 (𝐸)

for every 𝑡 ≥ 0. By (7.8) it is easy to show ∥𝐵𝑡 𝑓 − 𝐵0 𝑓 ∥ → 0 as 𝑡 → 0. Moreover,
for any 𝑡 ≥ 𝑟 ≥ 0 we have
∫ 𝑡
∥𝐵𝑡 𝑓 − 𝐵𝑟 𝑓 ∥ ≤ ∥𝑃𝑡 𝐵0 𝑓 − 𝑃𝑟 𝐵0 𝑓 ∥ + ∥𝑃𝑡−𝑠 𝜓(𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 ) ∥d𝑠
∫ 𝑟 𝑟
+ ∥𝑃𝑡−𝑠 𝜓(𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 ) − 𝑃𝑟−𝑠 𝜓(𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 ) ∥d𝑠

0 ∫ 𝑡
≤ ∥𝑃𝑡 𝐵0 𝑓 − 𝑃𝑟 𝐵0 𝑓 ∥ + ∥𝑃𝑡−𝑠 𝜓(𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 ) ∥d𝑠
∫ 𝑟 𝑟
+ ∥𝑃𝑡−𝑟 𝜓(𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 ) − 𝜓(𝑉𝑠 𝑓 , 𝐵𝑠 𝑓 ) ∥d𝑠.

0
Clearly, the right-hand side tends to zero as 𝑡 → 𝑟 or 𝑟 → 𝑡. Then 𝑡 ↦→ 𝐵𝑡 𝑓 is

continuous in the supremum norm. □
Lemma 7.10 Let 𝑓 ∈ 𝐷 0 ( 𝐴) + and let 𝑡 ↦→ 𝑉𝑡 𝑓 be the unique locally bounded

positive solution of the integral equation (7.3). Then
d
𝑉𝑡 𝑓 (𝑥) = 𝐵𝑡 𝑓 (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸, (7.10)
d𝑡
where the derivative is taken in the supremum norm.
Proof By (7.3) and Corollary 7.6 it is easy to show that (7.10) holds at 𝑡 = 0. For
𝑡, 𝑠 > 0 we can use (2.5) and (7.9) to get
1
𝑉𝑡+𝑠 𝑓 (𝑥) − 𝑉𝑡 𝑓 (𝑥) − 𝐵𝑡 𝑓 (𝑥)
𝑠 1 ∫
≤ 𝜆 𝑡 𝑥, (𝑉𝑠 𝑓 − 𝑓 ) − 𝐵0 𝑓 + 𝐽𝑠 (𝜈, 𝑓 )𝐿 𝑡 (𝑥, d𝜈),
𝑠 𝑀 (𝐸) ◦
where
1 −𝜈 ( 𝑓 )
𝐽𝑠 (𝜈, 𝑓 ) = (e − e−𝜈 (𝑉𝑠 𝑓 ) ) − e−𝜈 ( 𝑓 ) 𝜈(𝐵0 𝑓 ) .
𝑠
By the mean-value theorem we have
1
𝐽𝑠 (𝜈, 𝑓 ) = e−𝜂𝑠 ( 𝑓 ) 𝜈(𝑉𝑠 𝑓 − 𝑓 ) − e−𝜈 ( 𝑓 ) 𝜈(𝐵0 𝑓 )
𝑠
1
≤ 𝜈(𝑉𝑠 𝑓 − 𝑓 ) − 𝜈(𝐵0 𝑓 ) + e−𝜂𝑠 ( 𝑓 ) − e−𝜈 ( 𝑓 ) 𝜈(|𝐵0 𝑓 |),
𝑠
where
𝜈( 𝑓 ) ∧ 𝜈(𝑉𝑠 𝑓 ) ≤ 𝜂 𝑠 ( 𝑓 ) ≤ 𝜈( 𝑓 ) ∨ 𝜈(𝑉𝑠 𝑓 ).
Then we get
1
𝑉𝑡+𝑠 𝑓 (𝑥) − 𝑉𝑡 𝑓 (𝑥) − 𝐵𝑡 𝑓 (𝑥)
𝑠
1
≤ (𝑉𝑠 𝑓 − 𝑓 ) − 𝐵0 𝑓 𝜋𝑡 1(𝑥)
𝑠 ∫
+ ∥𝐵0 𝑓 ∥ e−𝜂𝑠 ( 𝑓 ) − e−𝜈 ( 𝑓 ) 𝜈(1)𝐿 𝑡 (𝑥, d𝜈).
𝑀 (𝐸) ◦
Given 𝜀 > 0 we take 𝑁 = 𝑁𝑡 (𝑥, 𝜀) ≥ 1 so that

∫
𝜈(1)𝐿 𝑡 (𝑥, d𝜈) < 𝜀.
{𝜈 (1) >𝑁 }
If 𝜈(1) ≤ 𝑁, we have
e−𝜂𝑠 ( 𝑓 ) − e−𝜈 ( 𝑓 ) ≤ 𝜈(𝑉𝑠 𝑓 ) − 𝜈( 𝑓 ) ≤ 𝑁 ∥𝑉𝑠 𝑓 − 𝑓 ∥.

It follows that
1
[𝑉𝑡+𝑠 𝑓 (𝑥) − 𝑉𝑡 𝑓 (𝑥)] − 𝐵𝑡 𝑓 (𝑥)
𝑠
1
≤ (𝑉𝑠 𝑓 − 𝑓 ) − 𝐵0 𝑓 𝜋𝑡 1(𝑥) + 𝜀∥𝐵0 𝑓 ∥
𝑠 ∫
+ 𝑁 ∥𝐵0 𝑓 ∥ ∥𝑉𝑠 𝑓 − 𝑓 ∥ 𝜈(1)𝐿 𝑡 (𝑥, d𝜈)
𝑀 (𝐸) ◦
1
≤ (𝑉𝑠 𝑓 − 𝑓 ) − 𝐵0 𝑓 + 𝑁 ∥𝐵0 𝑓 ∥ ∥𝑉𝑠 𝑓 − 𝑓 ∥ 𝜋𝑡 1(𝑥) + 𝜀∥𝐵0 𝑓 ∥.
𝑠
Consequently,
1
lim (𝑉𝑡+𝑠 𝑓 − 𝑉𝑡 𝑓 ) − 𝐵𝑡 𝑓 = 0.
𝑠↓0 𝑠
In particular, for any 𝑥 ∈ 𝐸 the function 𝑡 ↦→ 𝑉𝑡 𝑓 (𝑥) has continuous right derivative
𝑡 ↦→ 𝐵𝑡 𝑓 (𝑥), and thus 𝑡 ↦→ 𝑉𝑡 𝑓 (𝑥) is continuously differentiable. This implies
∫ 𝑡
𝑉𝑡 𝑓 (𝑥) = 𝑓 (𝑥) + 𝐵𝑠 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 .
0
Then one can use the strong continuity of 𝑡 ↦→ 𝐵𝑡 𝑓 to see (7.10) holds in the
supremum norm. □
Theorem 7.11 For 𝑓 ∈ 𝐷 0 ( 𝐴) + the unique locally bounded positive solution 𝑡 ↦→

𝑉𝑡 𝑓 of the integral equation (7.3) also solves the differential equation (7.7).
Proof Recall that 𝑉𝑡+𝑟 𝑓 = 𝑉𝑟 𝑉𝑡 𝑓 for 𝑡, 𝑢 ≥ 0. Then from (7.3) it follows that
∫ 𝑟
𝑃𝑟 𝑉𝑡 𝑓 − 𝑉𝑡 𝑓 = 𝑉𝑡+𝑟 𝑓 − 𝑉𝑡 𝑓 + 𝑃𝑟−𝑠 𝜙(𝑉𝑠+𝑡 𝑓 )d𝑠.
0
By Corollary 7.6 and Lemma 7.10 we see 𝑉𝑡 𝑓 ∈ 𝐷 0 ( 𝐴) + and 𝐴𝑉𝑡 𝑓 = 𝐵𝑡 𝑓 + 𝜙(𝑉𝑡 𝑓 ).

This gives (7.7). □
Corollary 7.12 Let (𝜋𝑡 )𝑡 ≥0 be defined by (2.38). Then for 𝑡 ≥ 0 and 𝑓 ∈ 𝐷 0 ( 𝐴) we

have 𝜋𝑡 𝑓 ∈ 𝐷 0 ( 𝐴) and
d
𝜋𝑡 𝑓 (𝑥) = 𝜋𝑡 ( 𝐴 + 𝛾 − 𝑏) 𝑓 (𝑥) = ( 𝐴 + 𝛾 − 𝑏)𝜋𝑡 𝑓 (𝑥), 𝑥 ∈ 𝐸, (7.11)
d𝑡
where the derivative is taken in the supremum norm.
Proof The first equality in (7.11) is a consequence of Theorem A.59. If 𝑓 ∈ 𝐷 0 ( 𝐴) + ,

the second equality follows from Theorem 7.11. For an arbitrary 𝑓 ∈ 𝐷 0 ( 𝐴), we
may assume 𝑓 = 𝑈 𝛼 𝑔 for some 𝛼 > 0 and 𝑔 ∈ 𝐶0 (𝐸) by Proposition 7.3. Let
𝑔 + = 0 ∨ 𝑔 ∈ 𝐶0 (𝐸) + and 𝑔 − = 0 ∨ (−𝑔) ∈ 𝐶0 (𝐸) + . Then the second equality holds
for
𝑓+ := 𝑈 𝛼 𝑔 + ∈ 𝐷 0 ( 𝐴) + and 𝑓− := 𝑈 𝛼 𝑔 − ∈ 𝐷 0 ( 𝐴) + . (7.12)
By linearity the equality also holds for 𝑓 = 𝑓+ − 𝑓− . □

By a combination of Theorems 7.8 and 7.11 we obtain:
Theorem 7.13 For any 𝑓 ∈ 𝐷 0 ( 𝐴) + , the integral equation (7.3) and the differential
equation (7.7) for (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) are equivalent.
By modifications of the arguments given above one can prove the following:
Theorem 7.14 For any 𝑓 ∈ 𝐷 0 ( 𝐴) + and 𝑔 ∈ 𝐶0 (𝐸) + , the integral equation (5.32)
is equivalent to the differential evolution equation
 d


 𝑣 𝑡 (𝑥) = 𝐴𝑣 𝑡 (𝑥) − 𝜙(𝑥, 𝑣 𝑡 ) + 𝑔(𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸,
d𝑡 (7.13)
 𝑣 0 (𝑥) = 𝑓 (𝑥),

𝑥 ∈ 𝐸.

Suppose that 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a right continuous realization of the
(𝜉, 𝜙)-superprocess. Since any function in 𝐶 (𝐸) + is the increasing limit of a sequence
of functions from 𝐶0 (𝐸) + , we can define the transition semigroup (𝑄 𝑡 )𝑡 ≥0 of 𝑋 by
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 )}, 𝑓 ∈ 𝐶0 (𝐸) + , (7.14)
𝑀 (𝐸)
where 𝑡 ↦→ 𝑉𝑡 𝑓 is the unique locally bounded positive solution of (7.3). Since

𝛼𝑈 𝛼 𝑓 → 𝑓 uniformly as 𝛼 → ∞ for any 𝑓 ∈ 𝐶0 (𝐸), by Proposition 7.3 we see
that 𝐷 0 ( 𝐴) + is uniformly dense in 𝐶0 (𝐸) + . It follows that the operators (𝑉𝑡 )𝑡 ≥0 are
uniquely determined by their restrictions to 𝐷 0 ( 𝐴) + . Then the transition semigroup
(𝑄 𝑡 )𝑡 ≥0 can be defined by (7.14) for 𝑓 ∈ 𝐷 0 ( 𝐴) + with 𝑡 ↦→ 𝑉𝑡 𝑓 being the unique
positive solution
∫𝑡 of the differential equation (7.7). Similarly, the joint distribution
of 𝑋𝑡 and 0 𝑋𝑠 d𝑠 can also be determined by (5.31) and (7.13). In applications we
may also consider (7.7) in a smaller class of functions, as shown in the following
example.
Example 7.1 Let 𝐶02 (R𝑑 ) denote the set of twice continuously differentiable func-
tions on R𝑑 that together with all their partial derivatives up to the second order
vanish at infinity. If 𝜉 is a 𝑑-dimensional diffusion process with generator 𝐴 speci-
fied in Example 6.1, then for any 𝑓 ∈ 𝐶02 (R𝑑 ) + we can also define (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥)
by the nonlinear partial differential equation
( d
𝑉𝑡 𝑓 (𝑥) = 𝐴𝑉𝑡 𝑓 (𝑥) − 𝜙(𝑥, 𝑉𝑡 𝑓 ), 𝑡 ≥ 0, 𝑥 ∈ R𝑑 ,
d𝑡 (7.15)
𝑉0 𝑓 (𝑥) = 𝑓 (𝑥), 𝑥 ∈ R𝑑 .
The operators (𝑉𝑡 )𝑡 ≥0 are uniquely determined by their restrictions on 𝐶02 (R𝑑 ) + .
This follows from the fact that any function in 𝐶0 (R𝑑 ) + is the limit of a sequence of
functions from 𝐶02 (R𝑑 ) + in the supremum norm.
7.2 Generators and Martingale Problems 173
7.2 Generators and Martingale Problems
Suppose that 𝐸 is a locally compact separable metric space. Let 𝜉 be a Hunt process
in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and let 𝜙 be a branching mechanism given
by (2.29) or (2.30). We assume that (𝑃𝑡 )𝑡 ≥0 and 𝜙 satisfy the conditions specified
at the beginning of Section 7.1. Let (𝑄 𝑡 )𝑡 ≥0 and (𝑉𝑡 )𝑡 ≥0 denote respectively the
transition semigroup and the cumulant semigroup of the (𝜉, 𝜙)-superprocess. By
Theorem 5.13, the process has a càdlàg realization in 𝑀 (𝐸).
Proposition 7.15 If {𝑋𝑡 : 𝑡 ≥ 0} is a càdlàg Markov process in 𝑀 (𝐸) relative to

a filtration (ℱ𝑡 )𝑡 ≥0 with transition semigroup (𝑄 𝑡 )𝑡 ≥0 , then {𝑋𝑡 : 𝑡 ≥ 0} is also a
Markov process relative to the augmented right continuous filtration ( ℱ̄𝑡+ )𝑡 ≥0 with
the same transition semigroup.
Proof Under the condition of the proposition, one easily sees that {𝑋𝑡 : 𝑡 ≥ 0}
is a Markov process relative to the augmented filtration ( ℱ̄𝑡 )𝑡 ≥0 with transition
semigroup (𝑄 𝑡 )𝑡 ≥0 . Let 𝑡 > 𝑟 ≥ 0 and let {𝑟 𝑛 } ⊂ (𝑟, 𝑡] be a decreasing sequence
such that lim𝑛→∞ 𝑟 𝑛 = 𝑟. For any 𝑓 ∈ 𝐶0 (𝐸) + we have
P e−𝑌𝑡 ( 𝑓 ) | ℱ̄𝑟𝑛 = exp{−𝑋𝑟𝑛 (𝑉𝑡−𝑟𝑛 𝑓 )}.

Then we can let 𝑛 → ∞ and use Corollary 7.6 to get
P e−𝑋𝑡 ( 𝑓 ) ℱ̄𝑟+ = exp{−𝑋𝑟 (𝑉𝑡−𝑟 𝑓 )}.

This gives the Markov property of {𝑋𝑡 : 𝑡 ≥ 0} relative to ( ℱ̄𝑡+ )𝑡 ≥0 with the same
transition semigroup. □
We shall give several equivalent formulations of the (𝜉, 𝜙)-superprocess in terms

of martingale problems and discuss some consequences. Let 𝒟0 be the class of
functions on 𝑀 (𝐸) of the form
𝐹 (𝜇) = 𝐺 (𝜇( 𝑓1 ), . . . , 𝜇( 𝑓𝑛 )), (7.16)
where 𝐺 ∈ 𝐶 2 (R𝑛 ) and { 𝑓1 , . . . , 𝑓𝑛 } ⊂ 𝐷 0 ( 𝐴). For 𝐹 ∈ 𝒟0 define

∫
′
𝐴𝐹 (𝜇; 𝑥) + 𝛾(𝑥, 𝐹 ′ (𝜇)) − 𝑏(𝑥)𝐹 ′ (𝜇; 𝑥) 𝜇(d𝑥)

𝐿 0 𝐹 (𝜇) =
𝐸
∫ ∫ ∫
𝑐(𝑥)𝐹 ′′ (𝜇; 𝑥)𝜇(d𝑥) +

+ 𝜇(d𝑥) 𝐹 (𝜇 + 𝜈)
𝐸 𝐸 𝑀 (𝐸) ◦
− 𝐹 (𝜇) − 𝜈(𝐹 ′ (𝜇)) 𝐻 (𝑥, d𝜈),

(7.17)
where
1
𝐹 ′ (𝜇; 𝑥) = lim

𝐹 (𝜇 + 𝜀𝛿 𝑥 ) − 𝐹 (𝜇)
𝜀↓0 𝜀
and 𝐹 ′′ (𝜇; 𝑥) is defined by the limit with 𝐹 (·) replaced by 𝐹 ′ (·; 𝑥). In particular, if
𝜙 is the local branching mechanism given by (2.49), the operator 𝐿 0 is given by
∫
′
𝐴𝐹 (𝜇; 𝑥) − 𝑏(𝑥)𝐹 ′ (𝜇; 𝑥) 𝜇(d𝑥)

𝐿 0 𝐹 (𝜇) =
𝐸
∫ ∫ ∫ ∞
𝑐(𝑥)𝐹 ′′ (𝜇; 𝑥)𝜇(d𝑥) +

+ 𝜇(d𝑥) 𝐹 (𝜇 + 𝑢𝛿 𝑥 )
𝐸 𝐸 0
− 𝐹 (𝜇) − 𝑢𝐹 ′ (𝜇; 𝑥) 𝑚(𝑥, d𝑢).

(7.18)
Suppose that (Ω, 𝒢, 𝒢𝑡 , P) is a filtered probability space satisfying the usual

hypotheses and {𝑋𝑡 : 𝑡 ≥ 0} is a càdlàg process in 𝑀 (𝐸) that is adapted to (𝒢𝑡 )𝑡 ≥0
and satisfies P[𝑋0 (1)] < ∞. Let us consider the following properties:
(1) For every 𝑇 ≥ 0 and 𝑓 ∈ 𝐶0 (𝐸) + ,
exp{−𝑋𝑡 (𝑉𝑇−𝑡 𝑓 )}, 0 ≤ 𝑡 ≤ 𝑇,
is a martingale.
(2) For every 𝑓 ∈ 𝐷 0 ( 𝐴) + ,
∫ 𝑡
𝐻𝑡 ( 𝑓 ) := exp − 𝑋𝑡 ( 𝑓 ) + 𝑋𝑠 ( 𝐴 𝑓 − 𝜙( 𝑓 ))d𝑠 , 𝑡 ≥ 0,
0
is a local martingale.
(3) The process {𝑋𝑡 : 𝑡 ≥ 0} has no negative jumps. Moreover, we have:
(a) Let 𝑁 (d𝑠, d𝜈) be the optional random measure on [0, ∞) × 𝑀 (𝐸) ◦ defined
by
∑︁
𝑁 (d𝑠, d𝜈) = 1 {Δ𝑋𝑠 ≠0} 𝛿 (𝑠,Δ𝑋𝑠 ) (d𝑠, d𝜈), (7.19)
𝑠>0
where Δ𝑋𝑠 = 𝑋𝑠 −𝑋𝑠− . Then 𝑁 (d𝑠, d𝜈) has predictable compensator 𝑁ˆ (d𝑠, d𝜈) =
d𝑠𝐾 (𝑋𝑠− , d𝜈), where
∫
𝐾 (𝜇, d𝜈) = 𝜇(d𝑥)𝐻 (𝑥, d𝜈).
𝐸
(b) Let 𝑁˜ (d𝑠, d𝜈) = 𝑁 (d𝑠, d𝜈) − 𝑁ˆ (d𝑠, d𝜈) be the compensated random measure.
Then for any 𝑓 ∈ 𝐷 0 ( 𝐴) we have
∫ 𝑡
𝑐 𝑑
𝑋𝑡 ( 𝑓 ) = 𝑋0 ( 𝑓 ) + 𝑀𝑡 ( 𝑓 ) + 𝑀𝑡 ( 𝑓 ) + 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠, (7.20)
0
where 𝑡 ↦→ 𝑀𝑡𝑐 ( 𝑓 ) is a continuous local martingale with quadratic variation

2𝑋𝑡 (𝑐 𝑓 2 )d𝑡 and
∫ 𝑡 ∫
𝑡 ↦→ 𝑀𝑡𝑑 ( 𝑓 ) = 𝜈( 𝑓 ) 𝑁˜ (d𝑠, d𝜈) (7.21)
0 𝑀 (𝐸) ◦
is a purely discontinuous local martingale.

(4) For every 𝐹 ∈ 𝒟0 we have
∫ 𝑡
𝐹 (𝑋𝑡 ) = 𝐹 (𝑋0 ) + 𝐿 0 𝐹 (𝑋𝑠 )d𝑠 + local mart. (7.22)
0
(5) For every 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐷 0 ( 𝐴) we have

∫ 𝑡
𝐺 (𝑋𝑡 ( 𝑓 )) = 𝐺 (𝑋0 ( 𝑓 )) + 𝐺 ′ (𝑋𝑠 ( 𝑓 )) 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠
∫ 𝑡 0
+ 𝐺 ′′ (𝑋𝑠 ( 𝑓 )) 𝑋𝑠 (𝑐 𝑓 2 )d𝑠 + local mart.

0
∫ 𝑡 ∫ ∫

+ d𝑠 𝑋𝑠 (d𝑥) 𝐺 (𝑋𝑠 ( 𝑓 ) + 𝜈( 𝑓 ))
0 𝐸 𝑀 (𝐸) ◦
− 𝐺 (𝑋𝑠 ( 𝑓 )) − 𝜈( 𝑓 )𝐺 ′ (𝑋𝑠 ( 𝑓 )) 𝐻 (𝑥, d𝜈).

(7.23)
Theorem 7.16 The above properties (1), (2), (3), (4) and (5) are equivalent to each
other. Those properties hold if and only if {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess
with transition semigroup (𝑄 𝑡 )𝑡 ≥0 .
Proof Clearly, (1) holds if and only if {𝑋𝑡 : 𝑡 ≥ 0} is a Markov process relative to
(𝒢𝑡 )𝑡 ≥0 with transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (7.14). Then we only need to
prove the equivalence of the five properties.
(1)⇒(2): If (1) holds, then {𝑋𝑡 : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess, so Corollary 2.28
implies
P[𝑋𝑡 ( 𝑓 )] = P[𝑋0 (𝜋𝑡 𝑓 )], 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸), (7.24)
where (𝜋𝑡 )𝑡 ≥0 is defined by (2.38). Now we fix 𝑟 ≥ 0 and 𝐵 ∈ 𝒢𝑟 and define
𝐽𝑡 ( 𝑓 ) = P[1 𝐵 e−𝑋𝑡 ( 𝑓 ) ] = P[1 𝐵 e−𝑋𝑟 (𝑉𝑡−𝑟 𝑓 ) ]
for 𝑡 ≥ 𝑟 and 𝑓 ∈ 𝐷 0 ( 𝐴) + . In view of (7.24), we can use Theorem 7.11 and the
dominated convergence theorem to show that 𝐽𝑡 ( 𝑓 ) is continuously differentiable in
𝑡 ≥ 𝑟. By calculating the right derivative, we have
d d
𝐽𝑡 ( 𝑓 ) = P[1 𝐵 e−𝑋𝑡 (𝑉𝑠 𝑓 ) ] = −P 1 𝐵 𝑋𝑡 ( 𝐴 𝑓 − 𝜙( 𝑓 ))e−𝑋𝑡 ( 𝑓 ) .

d𝑡 d𝑠 𝑠=0
It follows that
∫ 𝑡
−𝑋𝑡 ( 𝑓 )
𝑌𝑡 ( 𝑓 ) := e + 𝑋𝑠 ( 𝐴 𝑓 − 𝜙( 𝑓 ))e−𝑋𝑠 ( 𝑓 ) d𝑠, 𝑡≥0
0
is a martingale. By integration by parts applied to

∫ 𝑡
𝑍𝑡 ( 𝑓 ) := e−𝑋𝑡 ( 𝑓 ) and 𝑊𝑡 ( 𝑓 ) := exp 𝑋𝑠 ( 𝐴 𝑓 − 𝜙( 𝑓 ))d𝑠 (7.25)
0
we obtain
d𝐻𝑡 ( 𝑓 ) = e−𝑋𝑡− ( 𝑓 ) d𝑊𝑡 ( 𝑓 ) + 𝑊𝑡 ( 𝑓 )de−𝑋𝑡 ( 𝑓 ) = 𝑊𝑡 ( 𝑓 )d𝑌𝑡 ( 𝑓 ).
Then {𝐻𝑡 ( 𝑓 )} is a local martingale.
(2)⇒(3): For 𝑓 ∈ 𝐷 0 ( 𝐴) + define 𝑍𝑡 ( 𝑓 ) and 𝑊𝑡 ( 𝑓 ) by (7.25). We have 𝑍𝑡 ( 𝑓 ) =

𝐻𝑡 ( 𝑓 )𝑊𝑡 ( 𝑓 ) −1 and so
d𝑍𝑡 ( 𝑓 ) = 𝑊𝑡 ( 𝑓 ) −1 d𝐻𝑡 ( 𝑓 ) − 𝑍𝑡− ( 𝑓 ) 𝑋𝑡− ( 𝐴 𝑓 − 𝜙( 𝑓 ))d𝑡 (7.26)
by integration by parts. Then {𝑍𝑡 ( 𝑓 )} is a special semi-martingale; see, e.g.,

Dellacherie and Meyer (1982, p. 213). By Itô’s formula we find that {𝑋𝑡 ( 𝑓 )} is a
semi-martingale. Let 𝑆(𝐸) denote the space of finite Borel signed measures on 𝐸 en-
dowed with the 𝜎-algebra generated by the mappings 𝜇 ↦→ 𝜇(𝐵) for all 𝐵 ∈ ℬ(𝐸).
Let 𝑆(𝐸) ◦ = 𝑆(𝐸) \ {0}. We define the optional random measure 𝑁 (d𝑠, d𝜈) on
[0, ∞) × 𝑆(𝐸) ◦ by
∑︁
𝑁 (d𝑠, d𝜈) = 1 {Δ𝑋𝑠 ≠0} 𝛿 (𝑠,Δ𝑋𝑠 ) (d𝑠, d𝜈),
𝑠>0
where Δ𝑋𝑠 = 𝑋𝑠 − 𝑋𝑠− ∈ 𝑆(𝐸). Let 𝑁ˆ (d𝑠, d𝜈) denote the predictable compen-
sator of 𝑁 (d𝑠, d𝜈) and let 𝑁˜ (d𝑠, d𝜈) denote the compensated random measure; see
Dellacherie and Meyer (1982, pp. 371–374). Then there is a càdlàg process {𝑈𝑡 ( 𝑓 )}
with locally bounded variations such that
𝑋𝑡 ( 𝑓 ) = 𝑋0 ( 𝑓 ) + 𝑈𝑡 ( 𝑓 ) + 𝑀𝑡𝑐 ( 𝑓 ) + 𝑀𝑡𝑑 ( 𝑓 ), (7.27)
where {𝑀𝑡𝑐 ( 𝑓 )} is a continuous local martingale and

∫ 𝑡∫
𝑑
𝑀𝑡 ( 𝑓 ) = 𝜈( 𝑓 ) 𝑁˜ (d𝑠, d𝜈), 𝑡 ≥ 0, (7.28)
0 𝑆 (𝐸) ◦
is a purely discontinuous local martingale; see Dellacherie and Meyer (1982, p. 353
and p. 376) or Jacod and Shiryaev (2003, p. 84). Let {𝐶𝑡 ( 𝑓 )} denote the quadratic
variation process of {𝑀𝑡𝑐 ( 𝑓 )}. By Itô’s formula,
∫ 𝑡 ∫
1 𝑡
𝑍𝑡 ( 𝑓 ) = 𝑍0 ( 𝑓 ) − 𝑍 𝑠− ( 𝑓 )d𝑈𝑠 ( 𝑓 ) + 𝑍 𝑠− ( 𝑓 )d𝐶𝑠 ( 𝑓 )
∫ 𝑡∫ 0 2 0
+ 𝑍 𝑠− ( 𝑓 )𝐾 (𝜈, 𝑓 ) 𝑁ˆ (d𝑠, d𝜈) + local mart., (7.29)
0 𝑆 (𝐸) ◦
where 𝐾 (𝜈, 𝑓 ) = e−𝜈 ( 𝑓 ) − 1 + 𝜈( 𝑓 ). In view of (7.26) and (7.29) we get

∫
1
d𝑈𝑡 ( 𝑓 ) = d𝐶𝑡 ( 𝑓 ) + 𝑋𝑡− ( 𝐴 𝑓 − 𝜙( 𝑓 ))d𝑡 + 𝐾 (𝜈, 𝑓 ) 𝑁ˆ (d𝑡, d𝜈)
2 𝑆 (𝐸) ◦
by the uniqueness of canonical decomposition of the special semi-martingale; see

Dellacherie and Meyer (1982, p. 213). By substituting the representation (2.30) of
𝜙 into the above equation and comparing both sides it is easy to show that (3.a) and
(3.b) hold for 𝑓 ∈ 𝐷 0 ( 𝐴) + . By linearity we see that (3.b) also holds for an arbitrary
𝑓 = 𝑓+ − 𝑓− ∈ 𝐷 0 ( 𝐴), where 𝑓+ ∈ 𝐷 0 ( 𝐴) + and 𝑓− ∈ 𝐷 0 ( 𝐴) + are defined by (7.12).
(3)⇒(4): For the function 𝐹 ∈ 𝒟0 given by (7.16), it is easy to show that

𝑛
∑︁
𝐹 ′ (𝜇; 𝑥) = 𝑓𝑖 (𝑥)𝐺 𝑖′ (𝜇( 𝑓1 ), . . . , 𝜇( 𝑓𝑛 ))
𝑖=1
and
𝑛
∑︁
𝐹 ′′ (𝜇; 𝑥) = 𝑓𝑖 (𝑥) 𝑓 𝑗 (𝑥)𝐺 𝑖′′𝑗 (𝜇( 𝑓1 ), . . . , 𝜇( 𝑓𝑛 )).
𝑖, 𝑗=1
Consequently, we have
𝑛
∑︁
𝐿0 𝐹 ( 𝜇) = 𝐺𝑖′ ( 𝜇 ( 𝑓1 ), . . . , 𝜇 ( 𝑓 𝑛 )) 𝜇 ( 𝐴 𝑓𝑖 + 𝛾 𝑓𝑖 − 𝑏 𝑓𝑖 )
𝑖=1
∫ ∫ h
+ 𝜇 (d𝑥) 𝐺 ( 𝜇 ( 𝑓1 ) + 𝜈 ( 𝑓1 ) , . . . , 𝜇 ( 𝑓 𝑛 ) + 𝜈 ( 𝑓 𝑛 ))
𝐸 𝑀 (𝐸) ◦
𝑛
∑︁ i
− 𝐺 ( 𝜇 ( 𝑓1 ) , . . . , 𝜇 ( 𝑓 𝑛 )) − 𝜈 ( 𝑓𝑖 )𝐺𝑖′ ( 𝜇 ( 𝑓1 ) , . . . , 𝜇 ( 𝑓 𝑛 )) 𝐻 ( 𝑥, d𝜈)
𝑖=1
𝑛
∑︁
+ 𝐺𝑖′′𝑗 ( 𝜇 ( 𝑓1 ) , . . . , 𝜇 ( 𝑓 𝑛 )) 𝜇 (𝑐 𝑓𝑖 𝑓 𝑗 ). (7.30)
𝑖, 𝑗=1
Clearly, the continuous local martingales 𝑡 ↦→ 𝑀𝑡𝑐 ( 𝑓𝑖 ) and 𝑡 ↦→ 𝑀𝑡𝑐 ( 𝑓 𝑗 ) have

quadratic covariation 2𝑋𝑡 (𝑐 𝑓𝑖 𝑓 𝑗 )d𝑡. Then by Itô’s formula,
𝑛 ∫
∑︁ 𝑡
𝐹 (𝑋𝑡 ) = 𝐹 (𝑋0 ) + 𝐺 𝑖′ (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 ))d𝑀𝑠𝑐 ( 𝑓𝑖 )
𝑖=1 0
∫ 𝑡 ∫ 𝑛
∑︁
+ 𝐺 𝑖′ (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 ))𝜈( 𝑓𝑖 ) 𝑁˜ (d𝑠, d𝜈)
0𝑀 (𝐸) ◦ 𝑖=1
𝑛
∫ 𝑡 ∑︁
+ 𝐺 𝑖′ (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 )) 𝑋𝑠− ( 𝐴 𝑓𝑖 + 𝛾 𝑓𝑖 − 𝑏 𝑓𝑖 )d𝑠
0 𝑖=1
∫ 𝑡 ∑︁𝑛
+ 𝐺 𝑖′′𝑗 (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 )) 𝑋𝑠− (𝑐 𝑓𝑖 𝑓 𝑗 )d𝑠
0 𝑖, 𝑗=1
∫ 𝑡∫

+ 𝐺 (𝑋𝑠− ( 𝑓1 ) + 𝜈( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 ) + 𝜈( 𝑓𝑛 ))
0 𝑀 (𝐸) ◦
− 𝐺 (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 ))
𝑛
∑︁
𝜈( 𝑓𝑖 )𝐺 𝑖′ (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 )) 𝑁 (d𝑠, d𝜈)

−
𝑖=1
∫ 𝑡
= 𝐹 (𝑋0 ) + 𝐿 0 𝐹 (𝑋𝑠 )d𝑠 + 𝑀𝑡 (𝐹),
0
where
𝑛 ∫
∑︁ 𝑡
𝑀𝑡 (𝐹) = 𝐺 𝑖′ (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 ))d𝑀𝑠𝑐 ( 𝑓𝑖 )
𝑖=1 0
∫ 𝑡∫

+ 𝐺 (𝑋𝑠− ( 𝑓1 ) + 𝜈( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 ) + 𝜈( 𝑓𝑛 ))
0 𝑀 (𝐸) ◦
− 𝐺 (𝑋𝑠− ( 𝑓1 ), . . . , 𝑋𝑠− ( 𝑓𝑛 )) 𝑁˜ (d𝑠, d𝜈).

(7.31)
For 𝑛 ≥ 1 define the stopping time 𝑇𝑛 = {𝑡 ≥ 0 : 𝑋𝑡 (1) ≥ 𝑛}. Then {𝑀𝑡 (𝐹) : 𝑡 ≥ 0}
is a local martingale with localization sequence {𝑇𝑛 }. This proves (4).
(4)⇒(5): Let 𝐹 (𝜇) = 𝐺 (𝜇( 𝑓 )) for 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐷 0 ( 𝐴). As a special case
of (7.30), we have
𝐿 0 𝐹 (𝜇) = 𝐺 ′ (𝜇( 𝑓 ))𝜇( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 ) + 𝐺 ′′ (𝜇( 𝑓 ))𝜇(𝑐 𝑓 2 )

∫ ∫ h
+ 𝜇(d𝑥) 𝐺 (𝜇( 𝑓 ) + 𝜈( 𝑓 )) − 𝐺 (𝜇( 𝑓 ))
𝐸 𝑀 (𝐸) ◦
i
− 𝜈( 𝑓 )𝐺 ′ (𝜇( 𝑓 )) 𝐻 (𝑥, d𝜈). (7.32)
Then (5) follows from (4).
(5)⇒(1): Let 𝐺 ∈ 𝐶 2 (R) and let 𝑡 ↦→ 𝑓𝑡 be a mapping from [0, 𝑇] to 𝐷 0 ( 𝐴) +

such that 𝑡 ↦→ 𝑓𝑡 is continuously differentiable and 𝑡 ↦→ 𝐴 𝑓𝑡 is continuous by the
supremum norm. For 0 ≤ 𝑡 ≤ 𝑇 and 𝑘 ≥ 1 we have
∞
∑︁
𝐺 (𝑋𝑡 ( 𝑓𝑡 )) = 𝐺 (𝑋0 ( 𝑓0 )) + 𝐺 (𝑋𝑡∧( 𝑗+1)/𝑘 ( 𝑓𝑡∧ 𝑗/𝑘 )) − 𝐺 (𝑋𝑡∧ 𝑗/𝑘 ( 𝑓𝑡∧ 𝑗/𝑘 ))
𝑗=0
∞
∑︁
+ 𝐺 (𝑋𝑡∧( 𝑗+1)/𝑘 ( 𝑓𝑡∧( 𝑗+1)/𝑘 )) − 𝐺 (𝑋𝑡∧( 𝑗+1)/𝑘 ( 𝑓𝑡∧ 𝑗/𝑘 )) ,
𝑗=0
where the summations only consist of finitely many non-trivial terms. By applying
(5) term by term we obtain
∞ ∫
∑︁ 𝑡∧( 𝑗+1)/𝑘
𝐺 (𝑋𝑡 ( 𝑓𝑡 )) = 𝐺 (𝑋0 ( 𝑓0 )) + 𝐺 ′ (𝑋𝑠 ( 𝑓𝑡∧ 𝑗/𝑘 )) 𝑋𝑠 (( 𝐴 + 𝛾) 𝑓𝑡∧ 𝑗/𝑘 )
𝑗=0 𝑡∧ 𝑗/𝑘
− 𝐺 (𝑋𝑠 ( 𝑓𝑡∧ 𝑗/𝑘 )) 𝑋𝑠 (𝑏 𝑓𝑡∧ 𝑗/𝑘 ) + 𝐺 ′′ (𝑋𝑠 ( 𝑓𝑡∧ 𝑗/𝑘 )) 𝑋𝑠 (𝑐 𝑓𝑡∧

′ 2
𝑗/𝑘 )
∫ ∫ h
+ 𝑋𝑠 (d𝑥) 𝐺 (𝑋𝑠 ( 𝑓𝑡∧ 𝑗/𝑘 ) + 𝜈( 𝑓𝑡∧ 𝑗/𝑘 ))
𝐸 𝑀 (𝐸) ◦
i
− 𝐺 (𝑋𝑠 ( 𝑓𝑡∧ 𝑗/𝑘 )) − 𝜈( 𝑓𝑡∧ 𝑗/𝑘 )𝐺 ′ (𝑋𝑠 ( 𝑓𝑡∧ 𝑗/𝑘 )) 𝐻 (𝑥, d𝜈) d𝑠
∞ ∫
∑︁ 𝑡∧( 𝑗+1)/𝑘
+ 𝐺 ′ (𝑋𝑡∧( 𝑗+1)/𝑘 ( 𝑓𝑠 )) 𝑋𝑡∧( 𝑗+1)/𝑘 ( 𝑓𝑠′)d𝑠 + 𝑀𝑘 (𝑡),
𝑗=0 𝑡∧ 𝑗/𝑘
where {𝑀𝑘 (𝑡)} is a local martingale. Since {𝑋𝑡 } is a càdlàg process, letting 𝑘 → ∞
in the equation above gives
∫ 𝑡
𝐺 (𝑋𝑡 ( 𝑓𝑡 )) = 𝐺 (𝑋0 ( 𝑓0 )) + 𝐺 ′ (𝑋𝑠 ( 𝑓𝑠 )) 𝑋𝑠 ( 𝐴 𝑓𝑠 + 𝛾 𝑓𝑠 − 𝑏 𝑓𝑠 + 𝑓𝑠′)
0 ∫ ∫ h
+ 𝐺 ′′ (𝑋𝑠 ( 𝑓𝑠 )) 𝑋𝑠 (𝑐 𝑓𝑠2 ) + 𝑋𝑠 (d𝑥) 𝐺 (𝑋𝑠 ( 𝑓𝑠 ) + 𝜈( 𝑓𝑠 ))
𝐸 𝑀 (𝐸) ◦
i
− 𝐺 (𝑋𝑠 ( 𝑓𝑠 )) − 𝜈( 𝑓𝑠 )𝐺 ′ (𝑋𝑠 ( 𝑓𝑠 )) 𝐻 (𝑥, d𝜈) d𝑠 + 𝑀 (𝑡),
where {𝑀 (𝑡)} is a local martingale. For any 𝑓 ∈ 𝐷 0 ( 𝐴) + we may apply the above
to 𝐺 (𝑧) = e−𝑧 and 𝑓𝑡 = 𝑉𝑇−𝑡 𝑓 to see 𝑡 ↦→ exp{−𝑋𝑡 (𝑉𝑇−𝑡 𝑓 )} is a local martingale.
Then the assertion of (1) follows by the dominated convergence theorem. □
Corollary 7.17 Suppose that {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a càdlàg (𝜉, 𝜙)-superprocess

satisfying P[𝑋0 (1)] < ∞. Then the local martingales in the above properties (3), (4)
and (5) are martingales.
Proof For any 𝑓 ∈ 𝐷 0 ( 𝐴) let 𝑀𝑡𝑐 ( 𝑓 ) and 𝑀𝑡𝑑 ( 𝑓 ) be defined by (7.20) and (7.21).
By Corollary 2.28 it is easy to see that
h∫ 𝑡 i h∫ 𝑡 i
P[𝑀𝑡𝑐 ( 𝑓 ) 2 ] = 2P 𝑋𝑠 (𝑐 𝑓 2 )d𝑠 ≤ 2∥𝑐 𝑓 2 ∥P 𝑋𝑠 (1)d𝑠 < ∞.
0 0
Then {𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0} is a square-integrable martingale. Moreover, we have

nh ∫ 𝑡 ∫ i2o
P 𝜈( 𝑓 ) 𝑁˜ (d𝑠, d𝜈)
0 {𝜈 (1) ≤1}
h∫ 𝑡 ∫ ∫ i
=P d𝑠 𝑋𝑠 (d𝑥) 𝜈( 𝑓 ) 2 𝐻 (𝑥, d𝜈)
0 𝐸 {𝜈 (1)∫≤1}
h∫ 𝑡 ∫ i
2
≤ ∥𝑓∥ P d𝑠 𝑋𝑠 (d𝑥) 𝜈(1) 2 𝐻 (𝑥, d𝜈) < ∞
0 𝐸 {𝜈 (1) ≤1}
and
h∫ 𝑡 ∫ i
P 𝜈( 𝑓 )𝑁 (d𝑠, d𝜈)
0 {𝜈∫(1) >1} ∫ ∫
h 𝑡 i
=P d𝑠 𝑋𝑠 (d𝑥) 𝜈( 𝑓 )𝐻 (𝑥, d𝜈)
0 ∫ 𝐸 ∫ {𝜈 (1)
∫ >1}
h 𝑡 i
≤ ∥ 𝑓 ∥P d𝑠 𝑋𝑠 (d𝑥) 𝜈(1)𝐻 (𝑥, d𝜈) < ∞.
0 𝐸 {𝜈 (1) >1}
Then {𝑀𝑡𝑑 ( 𝑓 ) : 𝑡 ≥ 0} is a martingale. For 𝐹 ∈ 𝒟0 with representation (7.16), the

local martingale in (7.22) is expressed explicitly by (7.31). Using this expression and
the above estimates one can show that {𝑀𝑡 (𝐹)} is a martingale. □
Corollary 7.18 Suppose that {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a càdlàg (𝜉, 𝜙)-superprocess

satisfying P[𝑋0 (1)] < ∞. Then for every 𝑇 ≥ 0 and 𝑓 ∈ 𝐷 0 ( 𝐴) there is a constant
𝐶 (𝑇, 𝑓 ) ≥ 0 such that
h i n √︁ o
P sup |𝑋𝑡 ( 𝑓 )| ≤ 𝐶 (𝑇, 𝑓 ) P[𝑋0 (1)] + P[𝑋0 (1)] .
0≤𝑡 ≤𝑇
Proof By the above property (3.b) and Doob’s martingale inequality we have
h i h i
P sup |𝑋𝑡 ( 𝑓 )| ≤ P[|𝑋0 ( 𝑓 )|] + P sup |𝑀𝑡𝑐 ( 𝑓 )|
0≤𝑡 ≤𝑇 ∫ 𝑡 ∫0≤𝑡 ≤𝑇
h i
+ P sup 𝜈( 𝑓 )1 {𝜈 (1) ≤1} 𝑁˜ (d𝑠, d𝜈)
0≤𝑡 ≤𝑇 ∫0 ∫𝑀 (𝐸) ◦
h 𝑡 i
+ P sup 𝜈( 𝑓 )1 {𝜈 (1) >1} 𝑁˜ (d𝑠, d𝜈)
0≤𝑡 ≤𝑇 0 𝑀 (𝐸) ◦
h∫ 𝑇 i
+P |𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )|d𝑠
0
√ n h∫ 𝑇 i o 1/2
≤ P[|𝑋0 ( 𝑓 )|] + 2 2 P 𝑋𝑠 (𝑐 𝑓 2 )d𝑠
0 ∫
n h∫ 𝑇 ∫ i o 1/2
+2 P d𝑠 𝑋𝑠 (d𝑥) 𝜈( 𝑓 ) 2 𝐻 (𝑥, d𝜈)
0
h∫ 𝑇 ∫
𝐸
∫ {𝜈 (1) ≤1} i
+ 2P d𝑠 𝑋𝑠 (d𝑥) 𝜈(| 𝑓 |)𝐻 (𝑥, d𝜈)
0 𝐸 {𝜈 (1) >1}
h∫ 𝑇 i
+P 𝑋𝑠 (| 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 |)d𝑠 .
0
Then the desired inequality follows by simple estimates based on Corollary 2.28. □
Corollary 7.19 Suppose that 𝜈(1) 2 𝐻 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦
and {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a càdlàg (𝜉, 𝜙)-superprocess satisfying P[𝑋0 (1)] < ∞.
Then for every 𝑓 ∈ 𝐷 0 ( 𝐴),
∫ 𝑡
𝑀𝑡 ( 𝑓 ) = 𝑋𝑡 ( 𝑓 ) − 𝑋0 ( 𝑓 ) − 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠 (7.33)
0
is a square integrable (𝒢𝑡 )-martingale with quadratic variation process

∫ 𝑡 ∫
⟨𝑀 ( 𝑓 )⟩𝑡 = d𝑠 𝑞(𝑥, 𝑓 ) 𝑋𝑠 (d𝑥), (7.34)
0 𝐸
where 𝑞(𝑥, 𝑓 ) is defined by (2.64).

Proof Since {𝑋𝑡 : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess, it satisfies the properties (1)–(5).

In particular, from (3) one sees that (7.33) defines a local martingale with quadratic
variation process (7.34). From (7.24) we see that 𝑡 ↦→ P[𝑋𝑡 (1)] is locally bounded,
so {𝑀𝑡 ( 𝑓 )} is actually a square integral martingale. □
Corollary 7.20 Suppose that the branching mechanism 𝜙 has the special form
with 𝐻 (𝑥, 𝑀 (𝐸) ◦ ) = 0 for all 𝑥 ∈ 𝐸. Then any càdlàg (𝜉, 𝜙)-superprocess
{(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a.s. continuous. Conversely, if {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a continuous
process in 𝑀 (𝐸) and if for every 𝑓 ∈ 𝐷 0 ( 𝐴) the process {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} defined
by (7.33) is a (𝒢𝑡 )-local martingale with quadratic variation process
∫ 𝑡 ∫
⟨𝑀 ( 𝑓 )⟩𝑡 = 2 d𝑠 𝑐(𝑥) 𝑓 (𝑥) 2 𝑋𝑠 (d𝑥), (7.35)
0 𝐸
then {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess.

Proof If {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a càdlàg (𝜉, 𝜙)-superprocess, by Theorem 7.16 it has
property (3) with 𝐾 (𝜇, 𝑀 (𝐸) ◦ ) = 0. Then {𝑋𝑡 : 𝑡 ≥ 0} is a.s. continuous. This
gives the first assertion. Conversely, if {𝑋𝑡 : 𝑡 ≥ 0} is continuous in 𝑀 (𝐸) and if for
every 𝑓 ∈ 𝐷 0 ( 𝐴) the process in (7.33) is a local martingale with quadratic variation
process given by (7.35), we can use Itô’s formula to obtain
∫ 𝑡
𝐺 (𝑋𝑡 ( 𝑓 )) = 𝐺 (𝑋0 ( 𝑓 )) + 𝐺 ′ (𝑋𝑠 ( 𝑓 )) 𝑋𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠
∫ 𝑡 0
+ 𝐺 ′′ (𝑋𝑠 ( 𝑓 )) 𝑋𝑠 (𝑐 𝑓 2 )d𝑠 + local mart.

0
Then another application of Theorem 7.16 gives the second assertion. □

The above property (4) means that the (𝜉, 𝜙)-superprocess is a solution of
the martingale problem for the operator (𝐿 0 , 𝒟0 ). Then the generator of the
(𝜉, 𝜙)-superprocess is the closure of (𝐿 0 , 𝒟0 ); see, e.g., Theorem 4.1 in Ethier
and Kurtz (1986, p. 182). Under suitable assumptions, we can replace 𝐷 0 ( 𝐴) by a
larger function class in Theorem 7.16 and its corollaries. In particular, if 𝑃𝑡 1 ∈ 𝐶 (𝐸)
for every 𝑡 ≥ 0 and there exists a function 𝐴1 ∈ 𝐶 (𝐸) such that
1
lim 𝑃𝑡 1(𝑥) − 1 = 𝐴1(𝑥), 𝑥 ∈ 𝐸, (7.36)
𝑡→0 𝑡
where the convergence is uniform, we can extend the operator 𝐴 to the linear span
𝐷 ( 𝐴) of 𝐷 0 ( 𝐴) and the constant functions. In this case, the results of Theorem 7.16
and its corollaries remain true with 𝐷 0 ( 𝐴) replaced by 𝐷 ( 𝐴). Of course, we have
𝐷 ( 𝐴) = 𝐷 0 ( 𝐴) if 𝐸 is a compact metric space.
The martingale problems for the (𝜉, 𝜙)-superprocess can also be reformulated on
the state space of tempered measures. Let ℎ ∈ 𝐷 0 ( 𝐴) be a strictly positive function
satisfying 𝐴ℎ ≤ 𝛼ℎ for some constant 𝛼 > 0. From (6.12) we see that ℎ is an 𝛼-
excessive function for (𝑃𝑡 )𝑡 ≥0 . Let 𝐶ℎ (𝐸) be the set of continuous functions 𝑓 on 𝐸
satisfying | 𝑓 | ≤ const.·ℎ and let 𝐷 ℎ ( 𝐴) = { 𝑓 ∈ 𝐷 0 ( 𝐴)∩𝐶ℎ (𝐸) : 𝐴 𝑓 ∈ 𝐶ℎ (𝐸)}. Let
𝑓 ↦→ 𝜙(·, 𝑓 ) be a branching mechanism given as in Section 6.1 with 𝜌 = ℎ. Suppose

that 𝑓 ↦→ ℎ−1 𝜙(·, ℎ 𝑓 ) − 𝛼 𝑓 satisfies the conditions for the branching mechanism
specified at the beginning of Section 7.1. Let 𝑀ℎ (𝐸) be the space of measures 𝜇
on 𝐸 satisfying 𝜇(ℎ) < ∞ and let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup on 𝑀ℎ (𝐸)
defined by (6.6) and (6.11). The proof of the following theorem is similar to that of
Theorem 7.16.
Theorem 7.21 Let (Ω, 𝒢, 𝒢𝑡 , P) be a filtered probability space satisfying the usual
hypotheses and let {𝑋𝑡 : 𝑡 ≥ 0} be a càdlàg process in 𝑀ℎ (𝐸) that is adapted to
(𝒢𝑡 )𝑡 ≥0 and satisfies P[𝑋0 (ℎ)] < ∞. Then Theorem 7.16 still holds when 𝑀 (𝐸),
𝐶0 (𝐸) and 𝐷 0 ( 𝐴) are replaced by 𝑀ℎ (𝐸), 𝐶ℎ (𝐸) and 𝐷 ℎ ( 𝐴), respectively.
If the semigroup ( 𝑃˜𝑡 )𝑡 ≥0 given by (6.10) has a Hunt realization, the
(𝜉, 𝜙)-superprocess has a càdlàg realization in 𝑀ℎ (𝐸) by Theorem 6.3. The fol-
lowing theorem describes another way to construct a càdlàg realization of the
(𝜉, 𝜙)-superprocess in 𝑀ℎ (𝐸).
Theorem 7.22 For every 𝜇 ∈ 𝑀ℎ (𝐸) the (𝜉, 𝜙)-superprocess has a càdlàg realiza-
tion {𝑋𝑡 : 𝑡 ≥ 0} in 𝑀ℎ (𝐸) with initial value 𝑋0 = 𝜇.
Proof This is based on a construction of Í∞ the process by a series of càdlàg pro-
cesses. Given 𝜇 ∈ 𝑀ℎ (𝐸) we write 𝜇 = 𝑖=1 𝜇𝑖 for a sequence of finite measures
{𝜇𝑖 : 𝑖 = 1, 2, . . .} ⊂ 𝑀 (𝐸). Let {𝑋𝑖 (𝑡) : 𝑡 ≥ 0}, 𝑖 = 1, 2, . . ., be a sequence of
independent càdlàg (𝜉, 𝜙)-superprocesses in 𝑀 (𝐸) with 𝑋𝑖 (0) = 𝜇𝑖 , 𝑖 = 1, 2, . . ..
For 𝑛 ≥ 𝑘 ≥ 1 it is easy to see that
𝑛
∑︁
𝑍 𝑘,𝑛 (𝑡) = 𝑋𝑖 (𝑡), 𝑡≥0
𝑖=𝑘
is a càdlàg realization of the (𝜉, 𝜙)-superprocess in 𝑀 (𝐸) with initial state 𝜇 𝑘,𝑛 :=
Í𝑛 −1
𝑖=𝑘 𝜇𝑖 . The result of Theorem 6.3 implies 𝑡 ↦→ ∥ℎ 𝜋 𝑡 ℎ∥ is a locally bounded
function. Then, by a modification of the proof of Corollary 7.18, we have
h i h i
P sup ⟨𝑍 𝑘,𝑛 (𝑠), ℎ⟩ ≤ 𝐶 (𝑡, ℎ) ⟨𝜇 𝑘,𝑛 , ℎ⟩ + ⟨𝜇 𝑘,𝑛 , ℎ⟩ 1/2 ,
0≤𝑠 ≤𝑡
where 𝑡 ↦→ 𝐶 (𝑡, ℎ) is a locally bounded function. The right-hand side tends to zero
as 𝑘, 𝑛 → ∞. Then
∞
∑︁
𝑋𝑡 = 𝑋𝑖 (𝑡), 𝑡≥0
𝑖=1
defines a càdlàg process in 𝑀ℎ (𝐸). This process is clearly a realization of the

(𝜉, 𝜙)-superprocess with 𝑋0 = 𝜇. □
Recall that 𝐶 2 (R+ ) denotes the set of bounded continuous real functions on R+
with bounded continuous derivatives up to the second order. From Theorem 7.16 we
derive immediately the following characterization of a CB-process.
7.3 Worthy Martingale Measures 183
Theorem 7.23 Suppose that {(𝑥(𝑡), 𝒢𝑡 ) : 𝑡 ≥ 0} is a positive càdlàg process such

that P[𝑥(0)] < ∞. Then {(𝑥(𝑡), 𝒢𝑡 ) : 𝑡 ≥ 0} is a CB-process with branching
mechanism given by (3.1) if and only if for every 𝑓 ∈ 𝐶 2 (R+ ) we have
∫ 𝑡
𝑓 (𝑥(𝑡)) = 𝑓 (𝑥(0)) + 𝐿 0 𝑓 (𝑥(𝑠))d𝑠 + local mart., (7.37)
0
where
∫ ∞
𝐿 0 𝑓 (𝑥) = 𝑐𝑥 𝑓 ′′ (𝑥) − 𝑏𝑥 𝑓 ′ (𝑥) + 𝑥 [ 𝑓 (𝑥 + 𝑧) − 𝑓 (𝑥) − 𝑧 𝑓 ′ (𝑥)]𝑚(d𝑧).
0
By Corollary 7.17, if {(𝑥(𝑡), 𝒢𝑡 ) : 𝑡 ≥ 0} is a CB-process with branching mech-

anism given by (3.1), the local martingale in (7.37) is actually a martingale.
7.3 Worthy Martingale Measures
In this section, we assume 𝐸 is a Lusin topological space. However, the results

obtained here can obviously be modified to the case of a Lusin measurable space.
Given a signed measure 𝐾 (d𝑠, d𝑥, d𝑦) on ℬ((0, ∞) × 𝐸 2 ) with the total variation
|𝐾 |(d𝑠, d𝑥, d𝑦) satisfying |𝐾 |((0, 𝑇] × 𝐸 2 ) < ∞ for all 𝑇 ≥ 0, we define the bilinear
form
∫ 𝑇∫
( 𝑓 , 𝑔) 𝐾 ,𝑇 = 𝑓 (𝑠, 𝑥)𝑔(𝑠, 𝑦)𝐾 (d𝑠, d𝑥, d𝑦), (7.38)
0 𝐸2
where 𝑓 , 𝑔 ∈ 𝐵((0, 𝑇] × 𝐸). We say the signed measure is symmetric if ( 𝑓 , 𝑔) 𝐾 ,𝑇 =

(𝑔, 𝑓 ) 𝐾 ,𝑇 for all 𝑇 ≥ 0 and 𝑓 , 𝑔 ∈ 𝐵((0, 𝑇] × 𝐸), and say 𝐾 (d𝑠, d𝑥, d𝑦) is positive
definite if ( 𝑓 , 𝑓 ) 𝐾 ,𝑇 ≥ 0 for all 𝑇 ≥ 0 and 𝑓 ∈ 𝐵((0, 𝑇] × 𝐸). For a symmetric and
positive definite signed measure 𝐾 (d𝑠, d𝑥, d𝑦), one shows by a standard argument
the following Schwarz’s inequality
2
( 𝑓 , 𝑔) 𝐾 ,𝑇 ≤ ( 𝑓 , 𝑓 ) 𝐾 ,𝑇 (𝑔, 𝑔) 𝐾 ,𝑇 . (7.39)
In particular, these apply to random (positive) measures 𝐾 (d𝑠, d𝑥, d𝑦).

Now let (Ω, 𝒢, 𝒢𝑡 , P) be a filtered probability space satisfying the usual hy-
potheses. Suppose that for each 𝐵 ∈ ℬ(𝐸) there exists a square-integrable
càdlàg (𝒢𝑡 )-martingale {𝑀𝑡 (𝐵) : 𝑡 ≥ 0} satisfying 𝑀0 (𝐵) = 0. The system
{𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} is called a martingale measure on 𝐸 if for every
𝑡 ≥ 0 and every disjoint sequence {𝐵1 , 𝐵2 , . . .} ⊂ ℬ(𝐸) we have
∞
Ø ∞
∑︁
𝑀𝑡 𝐵𝑘 = 𝑀𝑡 (𝐵 𝑘 )
𝑘=1 𝑘=1
by the convergence in 𝐿 2 (Ω, P). A martingale measure {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)}

is said to be worthy if there is a random measure 𝐾 (d𝑠, d𝑥, d𝑦) on ℬ((0, ∞) × 𝐸 2 )
such that:
(1) 𝐾 (d𝑠, d𝑥, d𝑦) is symmetric and positive definite;
(2) 𝑡 ↦→ 𝐾 ((0, 𝑡] × 𝐴 × 𝐵) is predictable for all 𝐴, 𝐵 ∈ ℬ(𝐸) and
P 𝐾 ((0, 𝑡] × 𝐸 2 ) < ∞,

𝑡 ≥ 0; (7.40)
(3) for every 𝑡 ≥ 𝑠 ≥ 0 and 𝐴, 𝐵 ∈ ℬ(𝐸) we have
|⟨𝑀 ( 𝐴), 𝑀 (𝐵)⟩𝑡 − ⟨𝑀 ( 𝐴), 𝑀 (𝐵)⟩𝑠 | ≤ 𝐾 ((𝑠, 𝑡] × 𝐴 × 𝐵). (7.41)
In this case, we call 𝐾 (d𝑠, d𝑥, d𝑦) the dominating measure of {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈
ℬ(𝐸)}.
Let ℛ denote the semi-algebra consisting of rectangles on (0, ∞) × 𝐸 2 of the
form (𝑠, 𝑡] × 𝐴 × 𝐵 for 𝑡 ≥ 𝑠 ≥ 0 and 𝐴, 𝐵 ∈ ℬ(𝐸). Given a worthy martingale
measure {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} with dominating measure 𝐾 (d𝑠, d𝑥, d𝑦), we
define a random set function 𝜂(·) on ℛ by
𝜂((𝑠, 𝑡] × 𝐴 × 𝐵) = ⟨𝑀 ( 𝐴), 𝑀 (𝐵)⟩𝑡 − ⟨𝑀 ( 𝐴), 𝑀 (𝐵)⟩𝑠 .
Since the 𝜎-algebra ℬ(𝐸) is separable, we can extend 𝜂(·) to a random signed mea-
sure 𝜂(d𝑠, d𝑥, d𝑦) on ℬ((0, ∞)×𝐸 2 ) with total variation dominated by 𝐾 (d𝑠, d𝑥, d𝑦).
It is easy to see that 𝜂(d𝑠, d𝑥, d𝑦) is symmetric and positive definite. We refer to
𝜂(d𝑠, d𝑥, d𝑦) as the covariance measure of {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)}.
We say a martingale measure {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} is orthogonal if its
covariance measure 𝜂(d𝑠, d𝑥, d𝑦) is a.s. carried by [0, ∞) × Δ(𝐸), where Δ(𝐸) =
{(𝑥, 𝑥) : 𝑥 ∈ 𝐸 }. In this case, we let 𝜂(d𝑠, d𝑥) denote the image of 𝜂(d𝑠, d𝑥, d𝑦)
induced by the mapping (𝑠, 𝑥, 𝑦) ↦→ (𝑠, 𝑥) and also call 𝜂(d𝑠, d𝑥) the covariance
measure or intensity of {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)}. An orthogonal martingale
measure is called a time–space Gaussian white noise if the one-dimensional process
{𝑀𝑡 (𝐵) : 𝑡 ≥ 0} has Gaussian and independent increments for every 𝐵 ∈ ℬ(𝐸).
Proposition 7.24 A worthy martingale measure {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} is
orthogonal if and only if {𝑀𝑡 ( 𝐴) : 𝑡 ≥ 0} and {𝑀𝑡 (𝐵) : 𝑡 ≥ 0} are orthogonal
martingales whenever 𝐴 and 𝐵 ∈ ℬ(𝐸) are disjoint.
Proof Suppose that {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} is orthogonal and 𝐴, 𝐵 ∈ ℬ(𝐸)
are disjoint sets. Then ⟨𝑀 ( 𝐴), 𝑀 (𝐵)⟩𝑡 = 𝜂((0, 𝑡] × 𝐴 × 𝐵) vanishes, so {𝑀𝑡 ( 𝐴) :
𝑡 ≥ 0} and {𝑀𝑡 (𝐵) : 𝑡 ≥ 0} are orthogonal martingales. Conversely, suppose that
{𝑀𝑡 ( 𝐴) : 𝑡 ≥ 0} and {𝑀𝑡 (𝐵) : 𝑡 ≥ 0} are orthogonal whenever 𝐴 and 𝐵 ∈ ℬ(𝐸) are
disjoint. Then 𝜂((0, 𝑡] × 𝐴 × 𝐵) = ⟨𝑀 ( 𝐴), 𝑀 (𝐵)⟩𝑡 vanishes when 𝐴 and 𝐵 ∈ ℬ(𝐸)
are disjoint, and hence 𝜂(d𝑠, d𝑥, d𝑦) is carried by [0, ∞) × Δ(𝐸). □
Let ℒ be a linear space of Borel functions on 𝐸. Suppose that for each 𝑓 ∈ ℒ
there is a square-integrable càdlàg (𝒢𝑡 )-martingale {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} satisfying
𝑀0 ( 𝑓 ) = 0. The family {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ ℒ} is called a martingale functional if
for every 𝑡 ≥ 0 the following properties hold:
(1) For each 𝑐 ∈ R and each 𝑓 ∈ ℒ we have a.s. 𝑀𝑡 (𝑐 𝑓 ) = 𝑐𝑀𝑡 ( 𝑓 ).

(2) If 𝑓 , 𝑓1 , 𝑓2 , . . . ∈ ℒ and 𝑓 = ∞
Í
𝑘=1 𝑓 𝑘 by bounded pointwise convergence, then
∞
∑︁
𝑀𝑡 ( 𝑓 ) = 𝑀𝑡 ( 𝑓 𝑘 )
𝑘=1
by the convergence in 𝐿 2 (Ω, P).
Proposition 7.25 For each worthy martingale measure {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)}
there is a martingale functional {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐵(𝐸)} such that 𝑀𝑡 (1 𝐵 ) =
𝑀𝑡 (𝐵) a.s. for every 𝑡 ≥ 0 and every 𝐵 ∈ ℬ(𝐸). Moreover, for any 𝑓 ∈ 𝐵(𝐸) the
(𝒢𝑡 )-martingale {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} has quadratic variation process
∫ 𝑡∫
( 𝑓 , 𝑓 ) 𝜂,𝑡 = 𝑓 (𝑥) 𝑓 (𝑦)𝜂(d𝑠, d𝑥, d𝑦). (7.42)
0 𝐸2
Proof We shall give an explicit construction of the martingale functional

{𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐵(𝐸)}. If 𝑓 ∈ 𝐵(𝐸) is a simple function given by
𝑛
∑︁
𝑓 (𝑥) = 𝑏 𝑖 1 𝐵𝑖 (𝑥), 𝑥 ∈ 𝐸,
𝑖=1
where 𝑏 𝑖 ∈ R and 𝐵𝑖 ∈ ℬ(𝐸) for 𝑖 = 1, . . . , 𝑛, we define

𝑛
∑︁
𝑀𝑡 ( 𝑓 ) = 𝑏 𝑖 𝑀𝑡 (𝐵𝑖 ), 𝑡 ≥ 0.
𝑖=1
It is easy to see that {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} is a càdlàg martingale with quadratic variation

process given by (7.42). For a general function 𝑓 ∈ 𝐵(𝐸) let { 𝑓 𝑘 } be a sequence of
simple functions on 𝐸 such that ∥ 𝑓 𝑘 − 𝑓 ∥ → 0 as 𝑘 → ∞. By Doob’s martingale
inequality and the definition of the worthy martingale measure,
h i
P sup |𝑀𝑠 ( 𝑓 𝑘 ) − 𝑀𝑠 ( 𝑓 𝑗 )| 2 ≤ 4P ( 𝑓 𝑘 − 𝑓 𝑗 , 𝑓 𝑘 − 𝑓 𝑗 ) 𝜂,𝑡

0≤𝑠 ≤𝑡
≤ 4∥ 𝑓 𝑘 − 𝑓 𝑗 ∥ 2 P 𝐾 ( [0, 𝑡] × 𝐸 2 )

for any 𝑘 ≥ 𝑗 ≥ 1. Then there is a square-integrable càdlàg (𝒢𝑡 )-martingale

{𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} independent of the choice of { 𝑓 𝑘 } such that
h i
lim P sup |𝑀𝑠 ( 𝑓 𝑘 ) − 𝑀𝑠 ( 𝑓 )| 2 = 0, 𝑡 ≥ 0.
𝑘→∞ 0≤𝑠 ≤𝑡
Since (7.42) holds when 𝑓 is replaced by 𝑓 𝑘 , for any 𝑡 ≥ 𝑟 ≥ 0 we have
E 𝑀𝑡 ( 𝑓 𝑘 ) 2 − 𝑀𝑟 ( 𝑓 𝑘 ) 2 − ( 𝑓 𝑘 , 𝑓 𝑘 ) 𝜂,𝑡 + ( 𝑓 𝑘 , 𝑓 𝑘 ) 𝜂,𝑟 = 0.

Then we can let 𝑘 → ∞ to see {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0} has quadratic variation process

(7.42). It is easy to show that {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐵(𝐸)} satisfies the two properties
in the definition of a martingale functional. □
Now suppose we are given a worthy martingale measure {𝑀𝑡 (𝐵) : 𝑡 ≥

0; 𝐵 ∈ ℬ(𝐸)} on 𝐸 with covariance and dominating measures 𝜂(d𝑠, d𝑥, d𝑦) and
𝐾 (d𝑠, d𝑥, d𝑦), respectively. The martingale functional {𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐵(𝐸)}
given in Proposition 7.25 is clearly unique in the following sense: If {𝑍𝑡 ( 𝑓 ) : 𝑡 ≥
0; 𝑓 ∈ 𝐵(𝐸)} is also a martingale functional such that 𝑍𝑡 (1 𝐵 ) = 𝑀𝑡 (𝐵) a.s. for
every 𝑡 ≥ 0 and every 𝐵 ∈ ℬ(𝐸), then 𝑀𝑡 ( 𝑓 ) = 𝑍𝑡 ( 𝑓 ) a.s. for every 𝑡 ≥ 0 and
every 𝑓 ∈ 𝐵(𝐸). A real-valued two-parameter process {ℎ 𝑠 (𝑥) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸 } is said
to be progressive if for every 𝑡 ≥ 0 the mapping (𝜔, 𝑠, 𝑥) ↦→ ℎ 𝑠 (𝜔, 𝑥) restricted to
Ω × [0, 𝑡] × 𝐸 is measurable relative to 𝒢𝑡 × ℬ( [0, 𝑡] × 𝐸). Let 𝒫 = 𝒫(𝒢𝑡 ) denote
the 𝜎-algebra on Ω × [0, ∞) generated by all real-valued left continuous processes
adapted to (𝒢𝑡 ). A two-parameter process {ℎ 𝑠 (𝑥) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸 } is said to be pre-
dictable if the mapping (𝜔, 𝑠, 𝑥) ↦→ ℎ 𝑠 (𝜔, 𝑥) is (𝒫×ℬ(𝐸))-measurable. Let ℒ𝐾2 (𝐸)
be the space of two-parameter predictable processes ℎ = {ℎ 𝑠 (𝑥) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸 }
satisfying
1/2
∥ℎ∥ 𝐾 ,𝑇 := P (|ℎ|, |ℎ|) 𝐾 ,𝑇 < ∞, 𝑇 ≥ 0. (7.43)
It is easy to show that each ∥ · ∥ 𝐾 ,𝑇 is a seminorm on ℒ𝐾2 (𝐸). We identify ℎ1 and

ℎ2 ∈ ℒ𝐾2 (𝐸) if ∥ℎ1 − ℎ2 ∥ 𝐾 ,𝑇 = 0 for every 𝑇 ≥ 1. Then
∞
∑︁ 1
𝑑2 (ℎ1 , ℎ2 ) = (1 ∧ ∥ℎ1 − ℎ2 ∥ 𝐾 ,𝑛 ) (7.44)
𝑛=1
2𝑛
defines a metric on ℒ𝐾2 (𝐸). We call {𝑞 𝑠 (𝑥) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸 } a step process if it is of

the form
∞
∑︁
𝑞 𝑠 (𝑥) = 𝑔0 (𝑥)1 {0} (𝑠) + 𝑔𝑖 (𝑥)1 (𝑟𝑖 ,𝑟𝑖+1 ] (𝑠), (7.45)
𝑖=0
where each (𝜔, 𝑥) ↦→ 𝑔𝑖 (𝜔, 𝑥) is a (𝒢𝑟𝑖 × ℬ(𝐸))-measurable function and

{0 = 𝑟 0 < 𝑟 1 < 𝑟 2 < · · · } is a sequence increasing to infinity. Clearly, a step process
is predictable and 𝒫 × ℬ(𝐸) is generated by the collection of step processes. Let
ℒ𝐾0 (𝐸) be the set of step processes in ℒ𝐾2 (𝐸).
Proposition 7.26 The metric space (ℒ𝐾2 (𝐸), 𝑑2 ) is complete and ℒ𝐾0 (𝐸) is a dense
subset of ℒ𝐾2 (𝐸).
Proof Suppose that {ℎ 𝑘 } is a Cauchy sequence in ℒ𝐾2 (𝐸). Then for any fixed 𝑛 ≥ 1
the restrictions of {ℎ 𝑘 } to Ω × [0, 𝑛] × 𝐸 form a Cauchy sequence with respect to
the seminorm ∥ · ∥ 𝐾 ,𝑛 defined by (7.43). It is easily seen that
Q𝑛 (d𝜔, d𝑠, d𝑥, d𝑦) = P(d𝜔)𝐾 (𝜔, d𝑠, d𝑥, d𝑦)

defines a finite measure on 𝒢 × ℬ((0, 𝑛] × 𝐸 2 ). For any 𝜀 > 0 and 𝑗, 𝑘 ≥ 1 we have
Q𝑛 {(𝜔, 𝑠, 𝑥, 𝑦) : |ℎ 𝑗 (𝜔, 𝑠, 𝑥) − ℎ 𝑘 (𝜔, 𝑠, 𝑥)| ≥ 𝜀}

∫ 𝑛∫
1
≤ P |ℎ 𝑗 (𝑠, 𝑥) − ℎ 𝑘 (𝑠, 𝑥)|𝐾 (d𝑠, d𝑥, d𝑦)
𝜀 0 𝐸2
1 h 1/2 1/2 i
≤ P |ℎ 𝑗 − ℎ 𝑘 |, |ℎ 𝑗 − ℎ 𝑘 | 𝐾 ,𝑛 𝐾 (0, 𝑛] × 𝐸 2
𝜀
1 1/2
≤ ∥ℎ 𝑗 − ℎ 𝑘 ∥ 𝐾 ,𝑛 P 𝐾 (0, 𝑛] × 𝐸 2

,
𝜀
where the second inequality follows from (7.39). Then for each 𝑖 ≥ 1 we can choose
𝑙𝑖 ≥ 1 so that

Q𝑛 (𝜔, 𝑠, 𝑥, 𝑦) : |ℎ 𝑗 (𝜔, 𝑠, 𝑥) − ℎ 𝑘 (𝜔, 𝑠, 𝑥)| ≥ 1/2𝑖 < 1/2𝑖
for all 𝑗, 𝑘 ≥ 𝑙𝑖 . In addition, we can assume 𝑙𝑖 → ∞ increasingly as 𝑖 → ∞. Let

𝐹𝑖 = (𝜔, 𝑠, 𝑥, 𝑦) : |ℎ𝑙𝑖 (𝜔, 𝑠, 𝑥) − ℎ𝑙𝑖+1 (𝜔, 𝑠, 𝑥)| ≥ 1/2𝑖
and 𝑁1 = ∩∞ ∞
𝑚=1 ∪𝑖=𝑚 𝐹𝑖 . We have
∞ ∞
Ø ∑︁ 1 1
Q𝑛 𝐹𝑖 ≤ = 𝑚−1
𝑖=𝑚 𝑖=𝑚
2𝑖 2
and hence Q𝑛 (𝑁1 ) = 0. For any (𝜔, 𝑠, 𝑥, 𝑦) ∈ 𝑁1𝑐 there is some 𝑚 ≥ 1 such that
|ℎ𝑙𝑖 (𝜔, 𝑠, 𝑥) − ℎ𝑙𝑖+1 (𝜔, 𝑠, 𝑥)| < 1/2𝑖 for all 𝑖 ≥ 𝑚, and hence {ℎ𝑙𝑖 (𝜔, 𝑠, 𝑥)} is a Cauchy
sequence. Now define the predictable process
ℎ(𝜔, 𝑠, 𝑥) = lim sup ℎ𝑙𝑖 (𝜔, 𝑠, 𝑥), 𝜔 ∈ Ω, 𝑠 ≥ 0, 𝑥 ∈ 𝐸 .
𝑖→∞
We have ℎ𝑙𝑖 (𝜔, 𝑠, 𝑥) → ℎ(𝜔, 𝑠, 𝑥) for all (𝜔, 𝑠, 𝑥, 𝑦) ∈ 𝑁1𝑐 . Let
𝑁 = (𝜔, 𝑠, 𝑥, 𝑦) ∈ Ω × (0, 𝑛] × 𝐸 2 : (𝜔, 𝑠, 𝑥, 𝑦) or (𝜔, 𝑠, 𝑦, 𝑥) ∈ 𝑁1 .

Then Q𝑛 (𝑁) = 0 by the symmetry of 𝐾 (d𝑠, d𝑥, d𝑦). Moreover, ℎ𝑙𝑖 (𝜔, 𝑠, 𝑥) →
ℎ(𝜔, 𝑠, 𝑥) and ℎ𝑙𝑖 (𝜔, 𝑠, 𝑦) → ℎ(𝜔, 𝑠, 𝑦) for all (𝜔, 𝑠, 𝑥, 𝑦) ∈ 𝑁 𝑐 . For any 𝜀 > 0 let
𝑚(𝜀) ≥ 1 be such that ∥ℎ 𝑘 − ℎ 𝑗 ∥ 𝐾 ,𝑛 ≤ 𝜀 for 𝑗, 𝑘 ≥ 𝑚(𝜀). Letting 𝑗 → ∞ along the
sequence {𝑙𝑖 } and applying Fatou’s lemma we see ∥ℎ 𝑘 − ℎ∥ 𝐾 ,𝑛 ≤ 𝜀 for 𝑘 ≥ 𝑚(𝜀).
Thus ∥ℎ 𝑘 − ℎ∥ 𝐾 ,𝑛 → 0 as 𝑘 → ∞. Since 𝑛 ≥ 1 was arbitrary, it is easy to define
a process ℎ ∈ ℒ𝐾2 (𝐸) so that ℎ 𝑘 → ℎ relative to the metric defined by (7.44).
This gives the first assertion of the proposition. We next prove the second assertion.
Let ℒ = {ℎ ∈ ℒ𝐾2 (𝐸) : there exists {𝑞 𝑘 } ⊂ ℒ𝐾0 (𝐸) such that 𝑑2 (ℎ, 𝑞 𝑘 ) → 0 as
𝑘 → ∞}. It is easy to see that ℒ is a vector space. Suppose that {ℎ 𝑘 } is a bounded
and increasing sequence of positive elements of ℒ such that ℎ 𝑘 → ℎ pointwise
as 𝑘 → ∞. Then ℎ is a bounded positive two-parameter predictable process. In
view of (7.43) and (7.44), we can use the dominated convergence theorem to see
that 𝑑2 (ℎ, ℎ 𝑘 ) → 0 as 𝑘 → ∞. For each 𝑘 ≥ 1 choose 𝑞 𝑘 ∈ ℒ𝐾0 (𝐸) such that
𝑑2 (ℎ 𝑘 , 𝑞 𝑘 ) ≤ 1/𝑘. Then 𝑑2 (ℎ, 𝑞 𝑘 ) → 0 as 𝑘 → ∞, and so ℎ ∈ ℒ. This shows ℒ

is a monotone vector space. Since ℒ ⊃ ℒ𝐾0 (𝐸) and 𝜎(ℒ𝐾0 (𝐸)) = 𝒫 × ℬ(𝐸), by
Proposition A.1 we have ℒ ⊃ b(𝒫×ℬ(𝐸)), and so ℒ𝐾0 (𝐸) is dense in b(𝒫×ℬ(𝐸)).
Now consider ℎ ∈ ℒ𝐾2 (𝐸). For any 𝑘 ≥ 1 define ℎ 𝑘 ∈ b(𝒫×ℬ(𝐸)) by ℎ 𝑘 (𝜔, 𝑠, 𝑥) =
ℎ(𝜔, 𝑠, 𝑥)1 { |ℎ( 𝜔,𝑠, 𝑥) | ≤𝑘 } . Clearly, we have
∫ 𝑛∫
∥ℎ 𝑘 − ℎ∥ 2𝐾 ,𝑛 = P |ℎ(𝑠, 𝑥)ℎ(𝑠, 𝑦)|1 { |ℎ(𝑠, 𝑥) |>𝑘, |ℎ(𝑠,𝑦) |>𝑘 } 𝐾 (d𝑠, d𝑥, d𝑦) ,
0 𝐸2
which tends to zero as 𝑘 → ∞. Then b(𝒫 × ℬ(𝐸)) is dense in ℒ𝐾2 (𝐸), and so
ℒ𝐾0 (𝐸) is dense in ℒ𝐾2 (𝐸). □
We are now ready to define the stochastic integrals of processes in ℒ𝐾2 (𝐸) with
respect to the martingale measure {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)}. For a step process
𝑞 ∈ ℒ𝐾0 (𝐸) given by (7.45), each 𝑔𝑖 is a deterministic Borel function on 𝐸 under the
conditional probability P{·|𝒢𝑟𝑖 }. Then we can use the martingale functional induced
by {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} to define the process {𝑀𝑟𝑖+1 ∧𝑡 (𝑔𝑖 ) − 𝑀𝑟𝑖 ∧𝑡 (𝑔𝑖 ) :
𝑡 ≥ 0}, which is a square-integrable càdlàg (𝒢𝑡 )-martingale first under P{·|𝒢𝑟𝑖 } and
then under P. It follows that
∞
∑︁
𝑀𝑡 (𝑞 𝑡 ) = 𝑀𝑟𝑖+1 ∧𝑡 (𝑔𝑖 ) − 𝑀𝑟𝑖 ∧𝑡 (𝑔𝑖 ) , 𝑡≥0
𝑖=0
is a square-integrable càdlàg (𝒢𝑡 )-martingale. The quadratic variation process of

{𝑀𝑡 (𝑞 𝑡 ) : 𝑡 ≥ 0} is clearly given by
∫ 𝑡∫
⟨𝑀 (𝑞)⟩𝑡 = 𝑞 𝑠 (𝑥)𝑞 𝑠 (𝑦)𝜂(d𝑠, d𝑥, d𝑦).
0 𝐸2
For a general process ℎ ∈ ℒ𝐾2 (𝐸), choose a sequence {𝑞 𝑘 } ⊂ ℒ𝐾0 (𝐸) such that
𝑑2 (𝑞 𝑘 , ℎ) → 0 as 𝑘 → ∞. By Doob’s martingale inequality,
h i
P sup 𝑀𝑠 (𝑞 𝑘 (𝑠) − 𝑞 𝑗 (𝑠)) 2 ≤ 4P (𝑞 𝑘 − 𝑞 𝑗 , 𝑞 𝑘 − 𝑞 𝑗 ) 𝜂,𝑛

0≤𝑠 ≤𝑛
≤ 4∥𝑞 𝑘 − 𝑞 𝑗 ∥ 2𝐾 ,𝑛 ,
which tends to zero as 𝑗, 𝑘 → ∞. Then there is a square-integrable càdlàg

(𝒢𝑡 )-martingale {𝑀𝑡 (ℎ𝑡 ) : 𝑡 ≥ 0} such that
h i
2
lim P sup 𝑀𝑠 (𝑞 𝑘 (𝑠)) − 𝑀𝑠 (ℎ 𝑠 ) = 0, 𝑛 ≥ 1.
𝑘→∞ 0≤𝑠 ≤𝑛
It is easy to see that {𝑀𝑡 (ℎ𝑡 ) : 𝑡 ≥ 0} has quadratic variation process

∫ 𝑡∫
(ℎ, ℎ) 𝜂,𝑡 = ℎ 𝑠 (𝑥)ℎ 𝑠 (𝑦)𝜂(d𝑠, d𝑥, d𝑦). (7.46)
0 𝐸2
We shall write
∫ 𝑡 ∫
𝑀𝑡 (ℎ𝑡 ) = ℎ 𝑠 (𝑥) 𝑀 (d𝑠, d𝑥)
0 𝐸
and call it the stochastic integral of ℎ ∈ ℒ𝐾2 (𝐸) with respect to {𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈
ℬ(𝐸)}.
We next prove an important property of stochastic integrals with respect to the

martingale measure. Suppose that 𝐹 is another Lusin topological space and 𝜆 is a
finite Borel measure on 𝐹. Let {ℎ(𝑠, 𝑥, 𝑧) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸, 𝑧 ∈ 𝐹} be a predictable
process satisfying
∫ ∫ 𝑛∫
P 𝜆(d𝑧) |ℎ(𝑠, 𝑥, 𝑧)ℎ(𝑠, 𝑦, 𝑧)|𝐾 (d𝑠, d𝑥, d𝑦) < ∞ (7.47)
𝐹 0 𝐸2
for every 𝑛 ≥ 1. The above condition implies

∫ 𝑛∫
P |ℎ(𝑠, 𝑥, 𝑧)ℎ(𝑠, 𝑦, 𝑧)|𝐾 (d𝑠, d𝑥, d𝑦) < ∞
0 𝐸2
for 𝜆-a.e. 𝑧 ∈ 𝐹. Then the stochastic integral

∫ 𝑡∫
𝑀𝑡 (𝑧) := ℎ(𝑠, 𝑥, 𝑧) 𝑀 (d𝑠, d𝑥) (7.48)
0 𝐸
is well-defined for 𝜆-a.e. 𝑧 ∈ 𝐹. On the other hand, using (7.39) we have

∫

P |ℎ(𝑧1 )|, |ℎ(𝑧 2 )| 𝐾 ,𝑛 𝜆(d𝑧1 )𝜆(d𝑧2 )
𝐹2 ∫
h 1/2 1/2 i
≤ P |ℎ(𝑧 1 )|, |ℎ(𝑧1 )| 𝐾 ,𝑛 |ℎ(𝑧 2 )|, |ℎ(𝑧2 )| 𝐾 ,𝑛 𝜆(d𝑧 1 )𝜆(d𝑧 2 )
∫𝐹 2n
o 1/2
≤ P |ℎ(𝑧1 )|, |ℎ(𝑧 1 )| 𝐾 ,𝑛 𝜆(d𝑧 1 )
𝐹 ∫ n
o 1/2
· P |ℎ(𝑧2 )|, ℎ(𝑧2 )| 𝐾 ,𝑛 𝜆(d𝑧2 )
∫ 𝐹

≤ 𝜆(1) P |ℎ(𝑧)|, |ℎ(𝑧)| 𝐾 ,𝑛 𝜆(d𝑧). (7.49)
𝐹
The right-hand side is finite by (7.47). It follows that

∫
𝐻 (𝑠, 𝑥) := ℎ(𝑠, 𝑥, 𝑧)𝜆(d𝑧), 𝑠 ≥ 0, 𝑥 ∈ 𝐸 (7.50)
𝐹
defines a predictable process 𝐻 ∈ ℒ𝐾2 (𝐸). Therefore

∫ 𝑡 ∫
𝑡 ↦→ 𝐻 (𝑠, 𝑥)𝑀 (d𝑠, d𝑥)
0 𝐸
is well-defined as a square-integrable càdlàg martingale. From (7.50) and (7.48) it

is natural to expect
∫ ∫ 𝑡∫
𝑀𝑡 (𝑧)𝜆(d𝑧) = 𝐻 (𝑠, 𝑥)𝑀 (d𝑠, d𝑥). (7.51)
𝐹 0 𝐸
The above formula is called a stochastic Fubini’s theorem for the martingale measure,
which means that (𝜔, 𝑧) ↦→ 𝑀𝑡 (𝜔, 𝑧) has a (𝒢𝑡 × ℬ(𝐹))-measurable version and
the equality holds with probability one. To establish the formula rigorously we first
prove the following:
Lemma 7.27 Let ℎ and ℎ 𝑘 be predictable processes satisfying condition (7.47).

Suppose that (7.51) holds for every ℎ 𝑘 and
∫

P |ℎ 𝑘 (𝑧) − ℎ(𝑧)|, |ℎ 𝑘 (𝑧) − ℎ(𝑧)| 𝐾 ,𝑛 𝜆(d𝑧) → 0 (7.52)
𝐹
as 𝑘 → ∞ for every 𝑛 ≥ 1. Then (7.51) also holds for the process ℎ.
Proof Step 1. Let 𝑀𝑘 (𝑡, 𝑧) be defined by the right-hand side of (7.48) with ℎ
replaced by ℎ 𝑘 . Since (7.51) holds for ℎ 𝑘 , the function (𝜔, 𝑧) ↦→ 𝑀𝑘 (𝜔, 𝑡, 𝑧) has a
(𝒢𝑡 × ℬ(𝐹))-measurable version. By (7.52) it is easy to show that
∫
2
P |𝑀𝑘 (𝑡, 𝑧) − 𝑀 𝑗 (𝑡, 𝑧)| 𝜆(d𝑧) → 0
𝐹
as 𝑗, 𝑘 → ∞. Then there is a (𝒢𝑡 × ℬ(𝐹))-measurable function (𝜔, 𝑧) ↦→ 𝑁𝑡 (𝜔, 𝑧)

such that
∫
2
P |𝑀𝑘 (𝑡, 𝑧) − 𝑁𝑡 (𝑧)| 𝜆(d𝑧) → 0, (7.53)
𝐹
and hence
∫ ∫
𝑀𝑘 (𝑡, 𝑧)𝜆(d𝑧) → 𝑁𝑡 (𝑧)𝜆(d𝑧) (7.54)
𝐹 𝐹
in 𝐿 2 (Ω, P) because 𝜆 is a finite measure. By (7.53) we can choose a sequence {𝑘 𝑖 }

such that 𝑀𝑘𝑖 (𝑡, 𝑧) → 𝑁𝑡 (𝑧) in 𝐿 2 (Ω, P) for 𝜆-a.e. 𝑧 ∈ 𝐹. On the other hand, by
(7.52) there is a subsequence {𝑘 𝑖′ } ⊂ {𝑘 𝑖 } such that ∥ℎ 𝑘𝑖′ (·, ·, 𝑧) − ℎ(·, ·, 𝑧) ∥ 𝐾 ,𝑛 → 0
for every 𝑛 ≥ 1 and 𝜆-a.e. 𝑧 ∈ 𝐹. Then 𝑀𝑘𝑖′ (𝑡, 𝑧) → 𝑀𝑡 (𝑧) in 𝐿 2 (Ω, P) for 𝜆-a.e.
𝑧 ∈ 𝐹. It follows that 𝑀𝑡 (𝑧) = 𝑁𝑡 (𝑧) a.s. for 𝜆-a.e. 𝑧 ∈ 𝐹.
Step 2. Let 𝐻 𝑘 be defined by the right-hand side of (7.50) with ℎ replaced by ℎ 𝑘 .
From (7.52) and the calculations in (7.49) we have ∥𝐻 𝑘 − 𝐻 ∥ 𝐾 ,𝑛 → 0 as 𝑘 → ∞ for
every 𝑛 ≥ 1. It follows that
∫ 𝑡∫ ∫ 𝑡∫
𝐻 𝑘 (𝑠, 𝑥)𝑀 (d𝑠, d𝑥) → 𝐻 (𝑠, 𝑥) 𝑀 (d𝑠, d𝑥) (7.55)
0 𝐸 0 𝐸
in 𝐿 2 (Ω, P) as 𝑘 → ∞. By the assumption of the lemma,

∫ ∫ 𝑡∫
𝑀𝑘 (𝑡, 𝑧)𝜆(d𝑧) = 𝐻 𝑘 (𝑠, 𝑥)𝑀 (d𝑠, d𝑥).
𝐹 0 𝐸
This together with (7.54) and (7.55) yields a.s.

∫ ∫ 𝑡∫
𝑁𝑡 (𝑧)𝜆(d𝑧) = 𝐻 (𝑠, 𝑥)𝑀 (d𝑠, d𝑥),
𝐹 0 𝐸
which is just what (7.51) means. □
Theorem 7.28 Let {ℎ(𝑠, 𝑥, 𝑧) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸, 𝑧 ∈ 𝐹} be a predictable process

satisfying (7.47). Let {𝑀𝑡 (𝑧) : 𝑡 ≥ 0, 𝑧 ∈ 𝐹} and {𝐻 (𝑠, 𝑥) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸 } be defined
by (7.48) and (7.50), respectively. Then (7.51) holds a.s. for every 𝑡 ≥ 0.
Proof Let ℋ be the class of bounded predictable process ℎ = {ℎ(𝑠, 𝑥, 𝑧) : 𝑠 ≥

0, 𝑥 ∈ 𝐸, 𝑧 ∈ 𝐹} for which the theorem holds. Then Lemma 7.27 implies that ℋ is
closed under bounded pointwise convergence. If ℎ(𝜔, 𝑠, 𝑥, 𝑧) = 𝑞(𝜔, 𝑠, 𝑥) 𝑓 (𝑧) for
a bounded (𝒫 × ℬ(𝐸))-measurable function 𝑞 on Ω × [0, ∞) × 𝐸 and a bounded
ℬ(𝐹)-measurable function 𝑓 on 𝐹, then (7.51) holds clearly. By Proposition A.1,
the class ℋ contains all bounded (𝒫 × ℬ(𝐸) × ℬ(𝐹))-measurable processes. For a
general predictable process ℎ = {ℎ(𝑠, 𝑥, 𝑧) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸, 𝑧 ∈ 𝐹} satisfying (7.47),
the result follows from Lemma 7.27 by an approximation using the sequence defined
by ℎ 𝑘 = ℎ1 { |ℎ | ≤𝑘 } . □
The worthy martingale measure defined above is finite. Let ℎ ∈ pℬ(𝐸) be a

strictly positive function. Recall that 𝐵 ℎ (𝐸) denotes the set of functions 𝑓 ∈ ℬ(𝐸)
such that | 𝑓 | ≤ const. · ℎ. Instead of (7.40) one can also consider a dominating
measure 𝐾 (d𝑠, d𝑥, d𝑦) satisfying
∫ 𝑡 ∫
P ℎ(𝑥)ℎ(𝑦)𝐾 (d𝑠, d𝑥, d𝑦) < ∞, 𝑡 ≥ 0.
0 𝐸2
Let 𝐸 𝑛 = {𝑥 ∈ 𝐸 : ℎ(𝑥) ≥ 1/𝑛} and let ℬℎ (𝐸) = {𝐵 ∈ ℬ(𝐸) : 𝐵 ⊂ 𝐸 𝑛 for

some 𝑛 ≥ 1}. A family of square-integrable càdlàg (𝒢𝑡 )-martingales {𝑀𝑡 (𝐵) : 𝑡 ≥
0; 𝐵 ∈ ℬℎ (𝐸)} is called a 𝜎-finite worthy martingale measure on 𝐸 if (7.41) holds
for all 𝑡 ≥ 𝑠 ≥ 0 and 𝐴, 𝐵 ∈ ℬℎ (𝐸). Following the proof of Proposition 7.25,
we can extend the 𝜎-finite worthy martingale measure to a martingale functional
{𝑀𝑡 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐵 ℎ (𝐸)}. All the results in this section can be reformulated for
𝜎-finite worthy martingale measures.
7.4 A Stochastic Convolution Formula
Suppose that 𝐸 is a locally compact separable metric space. Let 𝜉 be a Hunt process
in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and let 𝜙 be a branching mechanism given by
(2.29) or (2.30). We assume that (𝑃𝑡 )𝑡 ≥0 and 𝜙 satisfy the conditions specified at the
beginning of Section 7.1. Suppose that {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a càdlàg realization of
the (𝜉, 𝜙)-superprocess with P[𝑋0 (1)] < ∞, where the filtration satisfies the usual
hypotheses.
Proposition 7.29 The continuous martingale functional {𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈

𝐷 0 ( 𝐴)} defined by (7.20) induces a continuous orthogonal martingale measure
with covariance measure 𝜂 𝑐 (d𝑠, d𝑥) = 2𝑐(𝑥)d𝑠𝑋𝑠 (d𝑥).
Proof We first note that (7.20) indeed defines a continuous martingale functional
{𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐷 0 ( 𝐴)}. For each 𝑛 ≥ 1 define the measure 𝜇 𝑛 ∈ 𝑀 (𝐸) by
∫ 𝑛 ∫
𝜇 𝑛 ( 𝑓 ) = 2P d𝑠 𝑐(𝑥) 𝑓 (𝑥) 𝑋𝑠 (d𝑥) , 𝑓 ∈ 𝐵(𝐸).
0 𝐸
It is well known that 𝐶0 (𝐸) is dense in 𝐿 2 (𝜇 𝑛 ); see, e.g., Hewitt and Stromberg
(1965, p. 197). Since 𝐷 0 ( 𝐴) is dense in 𝐶0 (𝐸) in the supremum norm, it is also
dense in 𝐿 2 (𝜇 𝑛 ). Consequently, for any 𝑓 ∈ 𝐵(𝐸) there is a sequence { 𝑓 𝑘 } ⊂ 𝐷 0 ( 𝐴)
such that lim 𝑘→∞ 𝜇 𝑛 (| 𝑓 𝑘 − 𝑓 | 2 ) = 0 for every 𝑛 ≥ 1. By Theorem 7.16 and Doob’s
martingale inequality,
h i ∫ 𝑛 ∫
P sup 𝑀𝑠𝑐 ( 𝑓 𝑘 − 𝑓 𝑗 ) 2 ≤ 4P d𝑠 2𝑐(𝑥)| 𝑓 𝑘 (𝑥) − 𝑓 𝑗 (𝑥)| 2 𝑋𝑠 (d𝑥)
0≤𝑠 ≤𝑛 0 𝐸
2
≤ 4𝜇 𝑛 (| 𝑓 𝑘 − 𝑓 𝑗 | ).
The right-hand side goes to zero as 𝑗, 𝑘 → ∞. Then there is a square-integrable

continuous martingale {𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0} such that
h i
lim P sup |𝑀𝑠𝑐 ( 𝑓 𝑘 ) − 𝑀𝑠𝑐 ( 𝑓 )| 2 = 0, 𝑡 ≥ 0.
𝑘→∞ 0≤𝑠 ≤𝑡
It is easy to see that {𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐵(𝐸)} is a martingale functional. Let

𝑀𝑡𝑐 (𝐵) = 𝑀𝑡𝑐 (1 𝐵 ) for 𝑡 ≥ 0 and 𝐵 ∈ ℬ(𝐸). Then {𝑀𝑡𝑐 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} is a
continuous orthogonal martingale measure with covariance measure 𝜂 𝑐 (d𝑠, d𝑥). □
Proposition 7.30 Let 𝑁 (d𝑠, d𝜈) be given by (7.19). Then for any 𝑎 > 0 we can define
a càdlàg worthy martingale measure
∫ 𝑡∫
𝑍𝑡𝑎 (𝐵) = 𝜈(𝐵) 𝑁˜ (d𝑠, d𝜈), 𝑡 ≥ 0, 𝐵 ∈ ℬ(𝐸), (7.56)
0 {𝜈 (1) ≤𝑎 }
7.4 A Stochastic Convolution Formula 193
which has covariance measure

∫ ∫
𝑎
𝜂 (d𝑠, d𝑥, d𝑦) = d𝑠 𝑋𝑠 (d𝑧) 𝜈(d𝑥)𝜈(d𝑦)𝐻 (𝑧, d𝜈). (7.57)
𝐸 {𝜈 (1) ≤𝑎 }
Proof It is easy to see that (7.56) defines a square-integrable càdlàg martingale

{𝑍𝑡𝑎 (𝐵) : 𝑡 ≥ 0}. The expression (7.57) is a consequence of the form of the pre-
dictable compensator 𝑁ˆ (d𝑠, d𝜈). □
Corollary 7.31 Suppose that 𝜈(1) 2 𝐻 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦ .
Then we can define a càdlàg worthy martingale measure
∫ 𝑡∫
𝑍𝑡 (𝐵) = 𝜈(𝐵) 𝑁˜ (d𝑠, d𝜈), 𝑡 ≥ 0, 𝐵 ∈ ℬ(𝐸),
0 𝑀 (𝐸) ◦

∫ ∫
𝜂(d𝑠, d𝑥, d𝑦) = d𝑠 𝑋𝑠 (d𝑧) 𝜈(d𝑥)𝜈(d𝑦)𝐻 (𝑧, d𝜈).
𝐸 𝑀 (𝐸) ◦
The framework of stochastic integrals developed in Section 7.3 applies to the

martingale measure {𝑍𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} defined in Corollary 7.31 under
the second moment assumption. In the general case, we can define some integrals
with respect to the compensated optional random measure 𝑁˜ (d𝑠, d𝜈) by considering
separately the sets {𝜈 ∈ 𝑀 (𝐸) ◦ : 𝜈(1) ≤ 1} and {𝜈 ∈ 𝑀 (𝐸) ◦ : 𝜈(1) > 1}. More
precisely, for a predictable two-parameter process 𝑓 = { 𝑓𝑠 (𝑥) : 𝑠 ≥ 0, 𝑥 ∈ 𝐸 }
satisfying
∫ 𝑡 ∫ ∫
𝜈(| 𝑓𝑠 |) 2 1 {𝜈 (1) ≤1}

P d𝑠 𝑋𝑠 (d𝑧)
0 𝐸 𝑀 (𝐸) ◦

+ 𝜈(| 𝑓𝑠 |)1 {𝜈 (1) >1} 𝐻 (d𝑧, d𝜈) < ∞, (7.58)
we define
∫ 𝑡∫ ∫ 𝑡 ∫
𝜈( 𝑓𝑠 ) 𝑁˜ (d𝑠, d𝜈) = 𝜈( 𝑓𝑠 )1 {𝜈 (1) >1} 𝑁˜ (d𝑠, d𝜈)
0 𝑀 (𝐸) ◦ 0∫ ∫ (𝐸)
𝑀 ◦
𝑡
+ 𝑓𝑠 (𝑥)𝑍 1 (d𝑠, d𝑥), (7.59)
0 𝐸
where the first term stands for the integral with respect to the random signed-measure
1 {𝜈 (1) >1} 𝑁˜ (d𝑠, d𝜈) and the second term stands for the integral with respect to the
worthy martingale measure {𝑍𝑡1 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} defined in Proposition 7.30
with 𝑎 = 1. The next theorem gives a representation of the (𝜉, 𝜙)-superprocess by a
formula involving stochastic convolution integrals.
Theorem 7.32 Let (𝜋𝑡 )𝑡 ≥0 be the semigroup defined by (2.38). Then for any 𝑡 ≥ 0
and 𝑓 ∈ 𝐵(𝐸) we have a.s.
∫ 𝑡∫
𝑋𝑡 ( 𝑓 ) = 𝑋0 (𝜋𝑡 𝑓 ) + 𝜋𝑡−𝑠 𝑓 (𝑥) 𝑀 𝑐 (d𝑠, d𝑥)
∫ 𝑡∫ 0 𝐸
+ 𝜈(𝜋𝑡−𝑠 𝑓 ) 𝑁˜ (d𝑠, d𝜈). (7.60)

0 𝑀 (𝐸) ◦
Proof Since (𝑠, 𝑥) ↦→ 1 {𝑠 ≤𝑡 } 𝜋𝑡−𝑠 𝑓 (𝑥) is a deterministic measurable function on

[0, ∞) × 𝐸, the stochastic integrals on the right-hand side of (7.60) are well-defined.
Let Δ = {0 = 𝑡 0 < 𝑡 1 < · · · < 𝑡 𝑛 = 𝑡} be a partition of [0, 𝑡] and let |Δ| =
max1≤𝑖 ≤𝑛 |𝑡𝑖 − 𝑡𝑖−1 |. For any 𝑓 ∈ 𝐷 0 ( 𝐴), by (7.20), (7.21) and Corollary 7.12 we
have
𝑛
∑︁
𝑋𝑡 ( 𝑓 ) = 𝑋0 (𝜋𝑡 𝑓 ) + 𝑋𝑡𝑖 (𝜋𝑡−𝑡𝑖 𝑓 − 𝜋𝑡−𝑡𝑖−1 𝑓 )
𝑖=1
𝑛
∑︁
+ 𝑋𝑡𝑖 (𝜋𝑡−𝑡𝑖−1 𝑓 ) − 𝑋𝑡𝑖−1 (𝜋𝑡−𝑡𝑖−1 𝑓 )
𝑖=1
𝑛 ∫
∑︁ 𝑡−𝑡𝑖−1
= 𝑋0 (𝜋𝑡 𝑓 ) − 𝑋𝑡𝑖 (( 𝐴 + 𝛾 − 𝑏)𝜋 𝑠 𝑓 )d𝑠
𝑖=1 𝑡−𝑡𝑖
𝑛
∑︁
+ 𝑀𝑡𝑐𝑖 (𝜋𝑡−𝑡𝑖−1 𝑓 ) − 𝑀𝑡𝑐𝑖−1 (𝜋𝑡−𝑡𝑖−1 𝑓 )
𝑖=1
𝑛 ∫
∑︁ 𝑡𝑖 ∫
+ 𝜈(𝜋𝑡−𝑡𝑖−1 𝑓 ) 𝑁˜ (d𝑠, d𝜈)
𝑖=1 𝑡𝑖−1 𝑀 (𝐸) ◦
𝑛 ∫ 𝑡𝑖
∑︁
+ 𝑋𝑠 (( 𝐴 + 𝛾 − 𝑏)𝜋𝑡−𝑡𝑖−1 𝑓 )d𝑠.
𝑖=1 𝑡𝑖−1
By letting |Δ| → 0 and using the right continuity of 𝑠 ↦→ 𝑋𝑠 and the strong continuity
of 𝑠 ↦→ 𝜋 𝑠 𝑓 we obtain (7.60). Since 𝐷 0 ( 𝐴) is dense in 𝐶0 (𝐸) in the supremum norm,
we also have (7.60) for an arbitrary 𝑓 ∈ 𝐶0 (𝐸). The result for a general function
𝑓 ∈ 𝐵(𝐸) follows by Proposition A.1. □
As an application of the representation (7.60), we prove a structural property of

the (𝜉, 𝜙)-superprocess. For this purpose let us consider the following condition:
Condition 7.33 (i) There exists a 𝜎-finite measure 𝜆 on 𝐸 and a Borel function
(𝑡, 𝑥, 𝑦) ↦→ 𝑝 𝑡 (𝑥, 𝑦) on (0, ∞) × 𝐸 2 such that
𝑃𝑡 (𝑥, d𝑦) = 𝑝 𝑡 (𝑥, 𝑦)𝜆(d𝑦), 𝑡 > 0, 𝑥, 𝑦 ∈ 𝐸 .
(ii) There exists a constant 0 < 𝛼 < 1 and an increasing function 𝑡 ↦→ 𝐶 (𝑡) on
[0, ∞) such that
𝑝 𝑡 (𝑥, 𝑦) ≤ 𝑡 −𝛼 𝐶 (𝑡), 𝑡 > 0, 𝑥, 𝑦 ∈ 𝐸 .

7.4 A Stochastic Convolution Formula 195
Theorem 7.34 Suppose that Condition 7.33 holds. Then for every 𝑡 > 0 we have
P{𝑋𝑡 is absolutely continuous with respect to 𝜆} = 1.
Proof By the expression (2.40) one can show that for any 𝑡 > 0 the kernel 𝜋𝑡 (𝑥, d𝑦)
is absolutely continuous with respect to 𝜆(d𝑦) with density 𝑞 𝑡 (𝑥, 𝑦) satisfying
𝑞 𝑡 (𝑥, 𝑦) ≤ 𝑔(𝑡) := 𝑡 −𝛼 e ∥𝑏 ∥𝑡 𝐶 (𝑡) + 𝐾 (𝑡),
where
∞
∑︁ ∫ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑛−1
𝐾 (𝑡) = e ∥𝑏 ∥𝑡 𝐶 (𝑡) ∥𝛾∥ 𝑛 d𝑠1 d𝑠2 · · · 𝑠−𝛼
𝑛 d𝑠 𝑛 .
𝑛=1 0 0 0
For 𝑓 ∈ 𝐶0 (𝐸) + satisfying 𝜆( 𝑓 ) < ∞ define 𝜆 𝑓 (d𝑦) = 𝑓 (𝑦)𝜆(d𝑦). Let 𝑞 𝑠 (𝑥, 𝑧) = 0

for 𝑠 ≤ 0. For any 𝑛 ≥ 1 we have
∫ ∫ 𝑛∫
2
P 𝜆 𝑓 (d𝑧) 2𝑐(𝑥)𝑞 𝑡−𝑠 (𝑥, 𝑧) 𝑋𝑠 (d𝑥)
𝐸 0∫ 𝑡 𝐸 ∫
≤ 2∥𝑐∥P 𝑔(𝑡 − 𝑠)d𝑠 𝜋𝑡−𝑠 𝑓 (𝑥) 𝑋𝑠 (d𝑥)
0 ∫ 𝑡 𝐸
≤ 2∥𝑐∥P[𝑋0 (𝜋𝑡 𝑓 )] 𝑔(𝑡 − 𝑠)d𝑠 < ∞.
0
Let 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)] and let 𝑐+0 = 0 ∨ 𝑐 0 . By Theorem A.53 we have
+
∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 ≤ e𝑐0 𝑡 for all 𝑡 ≥ 0. It follows that
∫ ∫ 𝑛 ∫ ∫
2
P 𝜆 𝑓 (d𝑦) d𝑠 𝑋𝑠 (d𝑧) ⟨𝜈, 𝑞 𝑡−𝑠 (·, 𝑦)⟩ 𝐻 (𝑧, d𝜈)
𝐸 ∫ 𝑡 0 𝐸 ∫ {𝜈 (1)
∫ ≤1}
≤ P 𝑔(𝑡 − 𝑠)d𝑠 𝑋𝑠 (d𝑧) 𝜈(𝜋𝑡−𝑠 𝑓 )𝜈(1)𝐻 (𝑧, d𝜈)
0 ∫ 𝑡 𝐸 ∫ {𝜈 (1) ≤1}∫
+
𝑐0 𝑡 2
≤ e ∥ 𝑓 ∥P 𝑔(𝑡 − 𝑠)d𝑠 𝑋𝑠 (d𝑧) 𝜈(1) 𝐻 (𝑧, d𝜈)
∫ 𝑡0 𝐸 {𝜈 (1) ≤1}
+
≤ e𝑐0 𝑡 ∥ 𝑓 ∥ 𝑔(𝑡 − 𝑠)P[𝑋0 (𝜋 𝑠 ℎ0 )]d𝑠 < ∞
0
and
∫ ∫ 𝑛 ∫ ∫
P 𝜆 𝑓 (d𝑦) d𝑠 𝑋𝑠 (d𝑧) ⟨𝜈, 𝑞 𝑡−𝑠 (·, 𝑦)⟩𝐻 (𝑧, d𝜈)
𝐸 ∫ 𝑡 0 ∫ 𝐸 ∫ {𝜈 (1) >1}
≤ P d𝑠 𝑋𝑠 (d𝑧) 𝜈(𝜋𝑡−𝑠 𝑓 )𝐻 (𝑧, d𝜈)
0 ∫𝐸 𝑡 ∫ {𝜈 (1) >1}∫
+
≤ e𝑐0 𝑡 ∥ 𝑓 ∥P d𝑠 𝑋𝑠 (d𝑧) 𝜈(1)𝐻 (𝑧, d𝜈)
∫ 𝑡0 𝐸 {𝜈 (1) >1}
𝑐0+ 𝑡
≤ e ∥𝑓∥ P[𝑋0 (𝜋 𝑠 ℎ1 )]d𝑠 < ∞,
0
where ℎ0 , ℎ1 ∈ 𝐵(𝐸) + are defined by

∫ ∫
ℎ0 (𝑧) = 𝜈(1) 2 𝐻 (𝑧, d𝜈), ℎ1 (𝑧) = 𝜈(1)𝐻 (𝑧, d𝜈).
{𝜈 (1) ≤1} {𝜈 (1) >1}
Then using (7.59) and Theorems 7.28 and 7.32 we get

∫ ∫
𝑋𝑡 ( 𝑓 ) = 𝑌𝑡 (𝑦)𝜆 𝑓 (d𝑦) = 𝑓 (𝑧)𝑌𝑡 (𝑦)𝜆(d𝑦),
𝐸 𝐸
where
∫ ∫ 𝑡∫
𝑌𝑡 (𝑦) = 𝑞 𝑡 (𝑥, 𝑦) 𝑋0 (d𝑥) + 𝑞 𝑡−𝑠 (𝑥, 𝑦)𝑀 𝑐 (d𝑠, d𝑥)
𝐸
∫ 𝑡∫ 0 𝐸
+ ⟨𝜈, 𝑞 𝑡−𝑠 (·, 𝑦)⟩ 𝑁˜ (d𝑠, d𝜈).

0 𝑀 (𝐸) ◦
By considering a sequence { 𝑓𝑛 } dense in 𝐶0 (𝐸) + we obtain the desired result. □
Example 7.2 If 𝜉 is a Brownian motion in R, then Condition 7.33 holds with 𝜆 being
the Lebesgue measure. Thus for the super-Brownian motion the random measures
{𝑋𝑡 : 𝑡 > 0} are absolutely continuous with respect to the Lebesgue measure.
7.5 Transforms by Martingales
In this section, we assume 𝐸 is a locally compact separable metric space and 𝜉 is

a Hunt process with Feller transition semigroup (𝑃𝑡 )𝑡 ≥0 . Let us consider a local
branching mechanism 𝜙 given by (2.49) with constant function 𝑏(𝑥) ≡ 𝑏 ≥ 0.
Suppose in addition that 𝑐 ∈ 𝐶 (𝐸) + and 𝑥 ↦→ (𝑢 ∧ 𝑢 2 )𝑚(𝑥, d𝑢) is continuous by
weak convergence on (0, ∞). Let 𝑋 = (𝑊0 , 𝒢, ˜ 𝒢˜ 𝑡 , 𝑋𝑡 , Q̃ 𝜇 ) be the subprocess of the
(𝜉, 𝜙)-superprocess generated by the multiplicative functional {𝑚 𝑡 : 𝑡 ≥ 0} given
by (6.23). Recall that 𝜇ˆ = 𝜇(1) −1 𝜇 for 𝜇 ∈ 𝑀 (𝐸) ◦ . Let 𝐿 0 be defined by (7.18).
Theorem 7.35 Under Q̃ 𝜇 the process {𝑋𝑡 : 𝑡 ≥ 0} solves the martingale problem:
For any 𝐹 ∈ 𝒟0 given by (7.16),
∫ 𝑡 ∫ 𝑡 ∫
𝐹 (𝑋𝑡 ) = 𝐿 0 𝐹 (𝑋𝑠 )d𝑠 + 2 d𝑠 𝑐(𝑥)𝐹 ′ (𝑋𝑠 ; 𝑥) 𝑋ˆ 𝑠 (d𝑥) + local mart.
0∫ ∫ 0
∫ ∞ 𝐸
𝑡
+ d𝑠 𝑋ˆ 𝑠 (d𝑥) [𝐹 (𝑋𝑠 + 𝑢𝛿 𝑥 ) − 𝐹 (𝑋𝑠 )]𝑢𝑚(𝑥, d𝑢). (7.61)
0 𝐸 0
Proof Let 𝐻 (𝜇) = 𝜇(1)𝐹 (𝜇) for 𝜇 ∈ 𝑀 (𝐸). The operator 𝐿 0 can still be applied to
𝐻 although the function is not necessarily in 𝒟0 . In fact, it is easy to see that
𝐻 ′ (𝜇; 𝑥) = 𝐹 (𝜇) + 𝜇(1)𝐹 ′ (𝜇; 𝑥)

7.5 Transforms by Martingales 197
and
𝐻 ′′ (𝜇; 𝑥) = 2𝐹 ′ (𝜇; 𝑥) + 𝜇(1)𝐹 ′′ (𝜇; 𝑥).
Then we have
∫
𝐿 0 𝐻 (𝜇) = 𝜇(1) (𝐿 0 − 𝑏)𝐹 (𝜇) + 2 𝑐(𝑥)𝐹 ′ (𝜇; 𝑥)𝜇(d𝑥)
∫ ∫ ∞ 𝐸
+ 𝜇(d𝑥) [𝐹 (𝜇 + 𝑢𝛿 𝑥 ) − 𝐹 (𝜇)]𝑢𝑚(𝑥, d𝑢).

𝐸 0
By extending Theorem 7.16 slightly and applying it to suitable truncations of 𝐻 we

get, under Q 𝜇 ,
∫ 𝑡
𝐻 (𝑋𝑡 ) = 𝑋𝑠 (1) (𝐿 0 − 𝑏)𝐹 (𝑋𝑠 )d𝑠 + local mart.
0 ∫ 𝑡 ∫
+2 d𝑠 𝑐(𝑥)𝐹 ′ (𝑋𝑠 ; 𝑥) 𝑋𝑠 (d𝑥)
∫ 𝑡0 ∫ 𝐸 ∫ ∞
+ d𝑠 𝑋𝑠 (d𝑥) [𝐹 (𝑋𝑠 + 𝑢𝛿 𝑥 ) − 𝐹 (𝑋𝑠 )]𝑢𝑚(𝑥, d𝑢).
0 𝐸 0
By integration by parts,
∫ 𝑡
e𝑏𝑡 𝐻 (𝑋𝑡 ) = e𝑏𝑠 𝑋𝑠 (1)𝐿 0 𝐹 (𝑋𝑠 )d𝑠 + local mart.
0 ∫ ∫
𝑡
+2 𝑏𝑠
e d𝑠 𝑐(𝑥)𝐹 ′ (𝑋𝑠 ; 𝑥) 𝑋𝑠 (d𝑥)
∫ 𝑡0 ∫ 𝐸 ∫ ∞
𝑏𝑠
+ e d𝑠 𝑋𝑠 (d𝑥) [𝐹 (𝑋𝑠 + 𝑢𝛿 𝑥 ) − 𝐹 (𝑋𝑠 )]𝑢𝑚(𝑥, d𝑢)
∫ 𝑡0 𝐸 0
= e𝑏𝑠 𝑋𝑠 (1)𝐽 (𝑋𝑠 )d𝑠 + local mart., (7.62)

0
where
∫
𝐽 (𝑋𝑠 ) = 𝐿 0 𝐹 (𝑋𝑠 ) + 2 𝑐(𝑥)𝐹 ′ (𝑋𝑠 ; 𝑥) 𝑋ˆ 𝑠 (d𝑥)
∫ ∫ 𝐸∞
+ 𝑋ˆ 𝑠 (d𝑥) [𝐹 (𝑋𝑠 + 𝑢𝛿 𝑥 ) − 𝐹 (𝑋𝑠 )]𝑢𝑚(𝑥, d𝑢).
𝐸 0
Since 𝑡 ↦→ e𝑏𝑡 𝑋𝑡 (1) is a martingale under Q 𝜇 , we can use integration by parts again
on the right-hand side of (7.62) to see
∫ 𝑡
𝑏𝑡 𝑏𝑡 𝑏𝑡
e 𝑋𝑡 (1)𝐹 (𝑋𝑡 ) = e 𝐻 (𝑋𝑡 ) = e 𝑋𝑡 (1) 𝐽 (𝑋𝑠 )d𝑠 + local mart.
0
Then we have (7.61) under Q̃ 𝜇 by a simple calculation. □

Now suppose that (Ω, 𝒢, 𝒢𝑡 , P) is a probability space satisfying the usual hy-
pothesis. Let {𝑋𝑡 : 𝑡 ≥ 0} be a continuous 𝑀 (𝐸)-valued adapted process satisfying
P[⟨𝑋0 , 1⟩] < ∞. For 𝑏 ∈ 𝐶 (𝑀 (𝐸) × 𝐸) and 𝑐 ∈ 𝐶 (𝐸) + we consider the following
martingale problem: For every 𝑓 ∈ 𝐷 0 ( 𝐴) the process
∫ 𝑡
𝑀𝑡 ( 𝑓 ) = ⟨𝑋𝑡 , 𝑓 ⟩ − ⟨𝑋0 , 𝑓 ⟩ − ⟨𝑋𝑠 , 𝐴 𝑓 − 𝑏(𝑋𝑠 ) 𝑓 ⟩d𝑠 (7.63)
0
is a square-integrable (𝒢𝑡 )-martingale with quadratic variation process

∫ 𝑡 ∫
⟨𝑀 ( 𝑓 )⟩𝑡 = d𝑠 2𝑐(𝑥) 𝑓 (𝑥) 2 𝑋𝑠 (d𝑥). (7.64)
0 𝐸
This should be compared with the martingale problem given by (7.33) and (7.35).
If {𝑋𝑡 : 𝑡 ≥ 0} is a solution of the martingale problem above, we can follow the
arguments in Section 7.3 to show that there is a continuous (𝒢𝑡 )-martingale measure
{𝑀𝑡 (𝐵) : 𝑡 ≥ 0; 𝐵 ∈ ℬ(𝐸)} satisfying
∫ 𝑡∫
𝑀𝑡 ( 𝑓 ) = 𝑓 (𝑥)𝑀 (d𝑠, d𝑥), 𝑡 ≥ 0, 𝑓 ∈ 𝐷 0 ( 𝐴) (7.65)
0 𝐸
and having covariance measure

∫
𝜂(d𝑠, d𝑥, d𝑦) = d𝑠 2𝑐(𝑧)𝛿 𝑧 (d𝑥)𝛿 𝑧 (d𝑦) 𝑋𝑠 (d𝑧). (7.66)
𝐸
Then for any function 𝛽 ∈ 𝐶 (𝑀 (𝐸) × 𝐸) we can define the continuous and strictly
positive local martingale {𝑍𝑡 : 𝑡 ≥ 0} by
∫ 𝑡 ∫ ∫ 𝑡 ∫
2
𝑍𝑡 = exp 𝛽(𝑋𝑠 , 𝑥)𝑀 (d𝑠, d𝑥) − d𝑠 𝑐(𝑥) 𝛽(𝑋𝑠 , 𝑥) 𝑋𝑠 (d𝑥) .
0 𝐸 0 𝐸
Lemma 7.36 Suppose that {𝑋𝑡 : 𝑡 ≥ 0} is a solution of the martingale problem

given by (7.63) and (7.64). Then {𝑍𝑡 : 𝑡 ≥ 0} is actually a (𝒢𝑡 )-martingale.
Proof It suffices to prove P[𝑍𝑡 ] = 1 for every 𝑡 ≥ 0; see, e.g., Ikeda and Watanabe
(1989, p. 152). For each 𝑛 ≥ 1 let 𝜏𝑛 = inf{𝑡 ≥ 0 : ⟨𝑋𝑡 , 1⟩ ≥ 𝑛}. It is easy to see that
𝜏𝑛 → ∞ as 𝑛 → ∞. Observe also that
∫ 𝑡∧𝜏𝑛 ∫
2
P exp d𝑠 𝑐(𝑥) 𝛽(𝑋𝑠 , 𝑥) 𝑋𝑠 (d𝑥) < ∞.
0 𝐸
Then {𝑍𝑡∧𝜏𝑛 : 𝑡 ≥ 0} is a continuous and strictly positive (𝒢𝑡 )-martingale. It follows

that
1 = P[𝑍𝑡∧𝜏𝑛 ] = P[𝑍𝑡∧𝜏𝑛 1 {𝜏𝑛 ≤𝑡 } ] + P[𝑍𝑡∧𝜏𝑛 1 {𝜏𝑛 >𝑡 } ]. (7.67)
For fixed 𝑛 ≥ 1 and 𝑡 ≥ 0 we define the new probability measure P𝑡 on 𝒢𝑡 by

P𝑡 (d𝜔) = 𝑍𝑡∧𝜏𝑛 (𝜔)P(d𝜔). Under the measure P𝑡 , for each 𝑓 ∈ 𝐷 0 ( 𝐴),
7.5 Transforms by Martingales 199
∫ 𝑢∧𝜏𝑛
𝑁𝑢 ( 𝑓 ) := 𝑀𝑢∧𝜏𝑛 ( 𝑓 ) − 2 ⟨𝑋𝑠 , 𝑐𝛽(𝑋𝑠 ) 𝑓 ⟩d𝑠, 0 ≤ 𝑢 ≤ 𝑡, (7.68)
0
is a square-integrable martingale with quadratic variation process given by

∫ 𝑢∧𝜏𝑛 ∫
⟨𝑁 ( 𝑓 )⟩𝑢 = 2 d𝑠 𝑐(𝑥) 𝑓 (𝑥) 2 𝑋𝑠 (d𝑥);
0 𝐸
see, e.g., Ikeda and Watanabe (1989, p. 191). Since (𝑃𝑡 )𝑡 ≥0 is conservative, it is
easy to extend the martingale problems to the constant function 𝑓 = 1 with 𝐴1 = 0.
Consequently, for any 0 ≤ 𝑢 ≤ 𝑡 we have
∫ 𝑢
𝑡 𝑡
P [⟨𝑋𝑢∧𝜏𝑛 , 1⟩] ≤ P [⟨𝑋0 , 1⟩] + ∥2𝑐𝛽 − 𝑏∥ P𝑡 [⟨𝑋𝑠∧𝜏𝑛 , 1⟩]d𝑠,
0
where
P𝑡 [⟨𝑋0 , 1⟩] = P[⟨𝑋0 , 1⟩𝑍𝑡∧𝜏𝑛 ] = P[⟨𝑋0 , 1⟩].
Then Gronwall’s inequality implies
P𝑡 [⟨𝑋𝑢∧𝜏𝑛 , 1⟩] ≤ P[⟨𝑋0 , 1⟩] exp{∥2𝑐𝛽 − 𝑏∥𝑢}. (7.69)

n o
P𝑡 sup ⟨𝑋𝑠∧𝜏𝑛 , 1⟩ ≥ 𝑛
0≤𝑠 ≤𝑡
𝑡 𝑡
≤ P {⟨𝑋0 , 1⟩ ≥ 𝑛/3} + P sup |𝑁 𝑠 (1)| ≥ 𝑛/3
∫ 𝑡 0≤𝑠 ≤𝑡
𝑡
+ ∥2𝑐𝛽 − 𝑏∥P ⟨𝑋𝑠∧𝜏𝑛 , 1⟩d𝑠 ≥ 𝑛/3 .
0
By Doob’s martingale inequality,

n o 18∥𝑐∥ ∫ 𝑡
P𝑡 sup |𝑁 𝑠 (1)| ≥ 𝑛/3 ≤ P𝑡 [⟨𝑋𝑠∧𝜏𝑛 , 1⟩]d𝑠.
0≤𝑠 ≤𝑡 𝑛2 0
In view of (7.69), we can use Chebyshev’s inequality to see

n o
lim P[𝑍𝑡∧𝜏𝑛 1 {𝜏𝑛 ≤𝑡 } ] = lim P𝑡 sup ⟨𝑋𝑠∧𝜏𝑛 , 1⟩ ≥ 𝑛 = 0.
𝑛→∞ 𝑛→∞ 0≤𝑠 ≤𝑡
Then letting 𝑛 → ∞ in (7.67) we get P[𝑍𝑡 ] = 1. □

Theorem 7.37 Suppose that 𝑐 ∈ 𝐶 (𝐸) +
is bounded away from zero. Then there is a
unique solution to the martingale problem given by (7.63) and (7.64).
Proof If {𝑋𝑡 : 𝑡 ≥ 0} is a solution of the martingale problem given by (7.63) and
(7.64) under P and if P 𝑍 is the probability measure on (Ω, 𝒢) such that P 𝑍 (d𝜔) =
𝑍𝑡 (𝜔)P(d𝜔) on 𝒢𝑡 for every 𝑡 ≥ 0, then for each 𝑓 ∈ 𝐷 0 ( 𝐴),
∫ 𝑡
𝑀𝑡 ( 𝑓 ) = ⟨𝑋𝑡 , 𝑓 ⟩ − ⟨𝑋0 , 𝑓 ⟩ − ⟨𝑋𝑠 , 𝐴 𝑓 − 𝑏(𝑋𝑠 ) 𝑓 + 2𝑐𝛽(𝑋𝑠 ) 𝑓 ⟩d𝑠
0
is a square-integrable (𝒢𝑡 )-martingale with quadratic variation process (7.64) under

P 𝑍 . Here we may assume (Ω, 𝒢, 𝒢𝑡 ) is the P-augmentation of the canonical space
consisting of continuous paths from [0, ∞) to 𝑀 (𝐸), which is a standard measurable
space, so that the measure P 𝑍 described as above is well-defined; see, e.g., Ikeda
and Watanabe (1989, p. 190). By Corollary 7.20 the existence and uniqueness of the
martingale problem given by (7.63) and (7.64) hold for 𝑏(𝑥) ≡ 0. Since 𝑐 ∈ 𝐶 (𝐸) +
is bounded away from zero, using changes of the probability measures as above one
can see that the existence and uniqueness also hold for a general 𝑏 ∈ 𝐶 (𝑀 (𝐸) × 𝐸).□
Here we may interpret {𝑋𝑡 : 𝑡 ≥ 0} as a superprocess with interactive growth

rate given by the function 𝑏(𝜇, 𝑥). The transformation based on the strictly positive
martingale {𝑍𝑡 : 𝑡 ≥ 0} used in the above proof is known as Dawson’s Girsanov
transform.
A systematic treatment of martingale problems for diffusions was given in Stroock

and Varadhan (1979). Those for Markov processes with abstract state spaces were
discussed in Ethier and Kurtz (1986). Nonlinear functional integral and differential
evolution equations were discussed in Pazy (1983). Our approach in Section 7.1
is different from that of Pazy (1983) and uses heavily the special structures of the
cumulant semigroup.
The approach of martingale problems plays an important role in the study of
measure-valued processes. Martingale problems for Dawson–Watanabe superpro-
cesses with Feller spatial motion and binary branching mechanism were studied in
Roelly (1986). The treatment in Section 7.2 follows El Karoui and Roelly (1991).
Fitzsimmons (1988, 1992) studied martingale problems of superprocesses in the
Borel right setting. Our main references for worthy martingale measures are El Karoui
and Méléard (1990) and Walsh (1986). Dawson (1978) first used the Girsanov type
transform to derive superprocesses with interactive branching structures. Martingale
problems of the type given by (7.63) and (7.64) were considered in Etheridge (2004)
and Fournier and Méléard (2004) in the study of locally regulated population models;
see also Méléard and Roelly (1993). Martingale problems for superprocesses with
general killing rates were studied in Leduc (2006). Champagnat and Roelly (2008)
gave a martingale problem characterization for a continuous multitype superprocess
conditioned on non-extinction, and proved several results on the long-time behavior
of the conditioned superprocess.
The study of stochastic partial differential equations has attracted a lot of at-
tention. The basic theory of the subject was developed in Walsh (1986) on the
basis of martingale measures. Mueller (2009) gave a survey of the tools and results
for stochastic parabolic equations with emphasis on the techniques from Dawson–
Watanabe superprocesses and interacting particle systems; see also Krylov (1997).
The approaches of Hilbert spaces and Sobolev spaces for stochastic partial differen-
tial equations were developed in Da Prato and Zabczyk (1992) and Krylov (1996). A
series of recent results on the well-posedness of singular parabolic stochastic partial
differential equations were presented in Hairer (2014). A prototype of those is the
Kardar–Parisi–Zhang (KPZ) equation arising in interface propagation, which was
solved in Hairer (2013). We refer the reader to Zambotti (2021) for a brief history of
the subject.
Let 𝑏 ∈ 𝐶 (R) and 𝑐 ∈ 𝐶 (R) + . The super-Brownian motion {𝑋𝑡 : 𝑡 ≥ 0} on R with
local branching mechanism 𝜙(𝑥, 𝜆) ≡ 𝑏(𝑥)𝜆 + 𝑐(𝑥)𝜆2 has a continuous realization.
It was proved in Konno and Shiga (1988) that {𝑋𝑡 : 𝑡 > 0} has a continuous density
field {𝑢 𝑡 (𝑥) : 𝑡 > 0, 𝑥 ∈ R} with respect to the Lebesgue measure. The density field
solves the stochastic integral equation, for any 𝑓 ∈ 𝐶 2 (R),
∫ ∫ ∫ 𝑡∫ √︁
𝑓 (𝑥)𝑢 𝑡 (𝑥)d𝑥 = 𝑓 (𝑥) 𝑋0 (d𝑥) + 𝑓 (𝑥) 2𝑐(𝑥)𝑢 𝑠 (𝑥)𝐵(d𝑠, d𝑥)
R R∫ ∫ h 0 R
𝑡
1 ′′ i
+ d𝑠 𝑓 (𝑥) − 𝑏(𝑥) 𝑓 (𝑥) 𝑢 𝑠 (𝑥)d𝑥,
0 R 2
where {𝐵(d𝑠, d𝑥) : 𝑡 ≥ 0, 𝑥 ∈ R} is a time–space Gaussian white noise based on

the Lebesgue measure. The above equation is usually abbreviated to the stochastic
partial differential equation:
𝜕 ¤ 𝑥) + 1 Δ𝑢 𝑡 (𝑥) − 𝑏(𝑥)𝑢 𝑡 (𝑥),

√︁
𝑢 𝑡 (𝑥) = 2𝑐(𝑥)𝑢 𝑡 (𝑥) 𝐵(𝑡, (7.70)
𝜕𝑡 2
where the “dot” denotes the derivative in the distribution sense. A special case of
(7.70) was established independently in Reimers (1989). The uniqueness in distribu-
tion of the solution to (7.70) follows from Corollary 7.20. The pathwise uniqueness
problem for (7.70) remains open. The main difficulty comes from the unbounded
operator Δ and the non-Lipschitz diffusion coefficient.
Let {𝑁 (d𝑡, d𝑥, d𝑧) : 𝑡 ≥ 0, 𝑥 ∈ R𝑑 , 𝑧 > 0} be a Poisson random measure with
intensity 𝑐𝑧−1−𝛼 d𝑡d𝑥d𝑧, where 𝑐 > 0 and 1 < 𝛼 < 2. Then a one-sided 𝛼-stable
noise on [0, ∞) × R𝑑 is defined by
∫
𝐿 (d𝑡, d𝑥) = 𝑧 𝑁˜ (d𝑡, d𝑥, d𝑧).
{0<𝑧<∞}
Given any 0 < 𝛽 < 1, we consider the jump-type stochastic partial deferential
equation:
𝜕 ¤ 𝑥) + 1 Δ𝑢 𝑡− (𝑥),
𝑢 𝑡 (𝑥) = 𝑢 𝑡− (𝑥) 𝛽 𝐿(𝑡, 𝑡 ≥ 0, 𝑥 ∈ R𝑑 . (7.71)
𝜕𝑡 2
For parameters satisfying 0 < 𝛼𝛽 < (2/𝑑) + 1 and 1 < 𝛼 < min(2, (2/𝑑) + 1)
the weak existence of a positive solution to above equation was proved by Mytnik
(2002), who also showed that when 𝛼𝛽 = 1 the solution gives the density field of a
super-Brownian motion with branching mechanism 𝜙(𝜆) ≡ const. · 𝜆 𝛼 . In general,

the pathwise uniqueness for (7.71) remains open. A partial solution to the problem
was given√ by Yang and Zhou (2017), who showed the pathwise uniqueness for
1 < 𝛼 < 5 − 1 and 𝛼𝛽 = 𝑑 = 1.
Suppose that 𝜎 is a continuous function on R satisfying 𝜎(0) = 0 and the linear
growth condition. Another variation of (7.70) is given by:
𝜕 ¤ 𝑥) + 1 Δ𝑢 𝑡 (𝑥),
𝑢 𝑡 (𝑥) = 𝜎(𝑢 𝑡 (𝑥)) 𝐵(𝑡, 𝑡 ≥ 0, 𝑥 ∈ R. (7.72)
𝜕𝑡 2
The existence of a weak positive solution to (7.72) was proved by Shiga (1994),
who also studied the compact support property and strong positivity of the solution.
See also Mueller and Perkins (1992) and Mytnik (1998a). When 𝜎 is a 𝛽-Hölder
continuous function for some 𝛽 > 3/4, the pathwise uniqueness for (7.72) was
established by Mytnik and Perkins (2011). When 𝜎(𝑢) = |𝑢| 𝛽 for 0 < 𝛽 < 3/4, the
pathwise nonuniqueness of (7.72) was proved in Mueller et al. (2014), where the
signed nature of the solution is critical to the result.
A mutually catalytic super-Brownian motion on the real line was constructed in
Dawson and Perkins (1998) as the solution of a system of stochastic partial differential
equations. The uniqueness in law of the solution was proved in Mytnik (1998b) by a
duality method. The construction of the mutually catalytic super-Brownian motion on
the plane is a hard problem. This was settled by Dawson et al. (2002a, 2002b, 2003).
See Dawson and Fleischmann (2002) and Klenke (2000) for reviews of the study of
catalytic and mutually catalytic branching models. Stochastic differential equations
driven by the path processes of Brownian motions were introduced in Perkins (1995,
2002) in the construction of superprocesses with interaction. A super-Brownian
motion with interaction was constructed in Delmas and Dhersin (2003) using the
technique of Brownian snake. Athreya et al. (2002) constructed some classes of
super-Markov chains with state-dependent branching rates and spatial motions.
Let {𝑋𝑡 : 𝑡 ≥ 0} be a super-Brownian motion on R𝑑 with binary local branching
mechanism. Then for 𝑑 ≥ 2 and 𝑡 > 0 the random measure 𝑋𝑡 has support with
Hausdorff dimension two and distributes its mass over the support in a deterministic
manner; see, e.g., Perkins (2002, p. 209 and p. 212). For 𝑑 ≥ 2 it was proved in
Tribe (1994) that 𝑋𝑡 can be approximated by suitably normalized restrictions of the
Lebesgue measure to the 𝜀-neighborhoods of support of the random measure. The
analogous result for the more difficult case 𝑑 = 2 was established in Kallenberg
(2008), which leads to a simple derivation of the property of deterministic mass
distribution.
The key assumption of a Dawson–Watanabe superprocess is the independence of
different particles in the approximating system. When dependence is introduced into
the branching or migrating mechanisms, the characterization of the limiting measure-
valued process usually becomes very difficult. The method of dual processes plays an
important role in the analysis of the uniqueness of martingale problems for measure-
valued processes. A general theory of duality was developed in Ethier and Kurtz
(1986). The reader may refer to Dawson (1993) for systematic applications of this
method to measure-valued processes. The approach of filtered martingale problems

introduced by Kurtz (1998) and Kurtz and Ocone (1988) is another important tool
in handling the uniqueness of martingale problems.
A superprocess with dependent spatial motion over the real line R was constructed
in Dawson et al. (2001), generalizing the model of Wang (1997a, 1998a). Let 𝑐 ∈
𝐶 2 (R) and 𝜎 ∈ 𝐶 2 (R) + . Let ℎ ∈ 𝐶 1 (R) and assume both ℎ and ℎ ′ are square-
integrable. Let
∫
𝜌(𝑥) = ℎ(𝑦 − 𝑥)ℎ(𝑦)d𝑦 and 𝑎(𝑥) = 𝑐(𝑥) 2 + 𝜌(0), 𝑥 ∈ R. (7.73)
R
The superprocess with dependent spatial motion is a diffusion process {𝑋𝑡 : 𝑡 ≥ 0}

in 𝑀 (R) characterized by the following martingale problem: For each 𝑓 ∈ 𝐶 2 (R),
∫
1 𝑡
𝑀𝑡 ( 𝑓 ) = ⟨𝑋𝑡 , 𝑓 ⟩ − ⟨𝑋0 , 𝑓 ⟩ − ⟨𝑋𝑠 , 𝑎 𝑓 ′′⟩d𝑠, (7.74)
2 0
is a continuous martingale with quadratic variation process
∫ 𝑡 ∫ 𝑡 ∫
⟨𝑀 ( 𝑓 )⟩𝑡 = ⟨𝑋𝑠 , 𝜎 𝑓 2 ⟩d𝑠 + d𝑠 ⟨𝑋𝑠 , ℎ(𝑧 − ·) 𝑓 ′⟩ 2 d𝑧. (7.75)
0 0 R
The process {𝑋𝑡 : 𝑡 ≥ 0} arises as a weak limit of critical branching particle

systems with dependent spatial motion. Consider a family of independent standard
Brownian motions {𝐵𝑖 (𝑡) : 𝑡 ≥ 0, 𝑖 = 1, 2, . . .} and a time–space Gaussian white
noise {𝑊 (d𝑡, d𝑦) : 𝑡 ≥ 0, 𝑦 ∈ R} based on the Lebesgue measure. Suppose that
{𝐵𝑖 (𝑡) : 𝑡 ≥ 0, 𝑖 = 1, 2, . . .} and {𝑊 (d𝑡, d𝑦) : 𝑡 ≥ 0, 𝑦 ∈ R} are independent. The
migration of the particle with label 𝑖 ≥ 1 in the approximating system is defined by
the stochastic differential equation
∫
d𝑥 𝑖 (𝑡) = 𝑐(𝑥𝑖 (𝑡))d𝐵𝑖 (𝑡) + ℎ(𝑦 − 𝑥𝑖 (𝑡))𝑊 (d𝑡, d𝑦).
R
The uniqueness of solution of the martingale problem given by (7.74) and (7.75)
was established in Dawson et al. (2001) by considering a function-valued dual pro-
cess. Clearly, the superprocess with dependent spatial motion reduces to a usual
critical branching Dawson–Watanabe superprocess if ℎ ≡ 0. On the other hand,
when 𝜎 ≡ 0, branching does not occur and the total mass of the process remains
unchanged as time passes. By considering a stochastic equation driven by a time–
space Gaussian white noise and the path process of a Brownian motion, Gill (2009)
unified the approaches of Dawson et al. (2001) and Perkins (1995, 2002) and gave a
new class of measure-valued diffusions. Ren et al. (2009) introduced a superprocess
with dependent spatial motion in a bounded domain in R𝑑 with killing boundary.
A discontinuous superprocess with dependent spatial motion and general branching
mechanism was constructed in He (2009). Some probability-valued Markov pro-
cesses arising from consistent particle systems were studied in Ma and Xiang (2001)
and Xiang (2009).
Chapter 8
Entrance Laws and Kuznetsov Measures
The main purpose of this chapter is to investigate the structures of entrance laws
for MB-processes. In particular, we establish a one-to-one correspondence between
the minimal probability entrance laws for a Dawson–Watanabe superprocess and
the entrance laws for its spatial motion. Based on the correspondence, a complete
characterization is given for infinitely divisible probability entrance laws of the
superprocess. We also prove some properties of the Kuznetsov measures determined
by canonical entrance rules. Cluster representations for the MB-process are given
by summing up measure-valued paths selected by Poisson random measures. We
briefly discuss the special case where the spatial motion process is an absorbing-
barrier Brownian motion in a domain. Some of the results presented here will be
used in the study of immigration superprocesses.
8.1 Some Simple Properties
Suppose that 𝐸 is a Lusin topological space. Let (𝑄 𝑡 )𝑡 ≥0 and (𝑉𝑡 )𝑡 ≥0 denote respec-
tively the transition semigroup and the cumulant semigroup of an MB-process with
state space 𝑀 (𝐸). Recall that (𝑉𝑡 )𝑡 ≥0 always has the representation (2.5) and 𝐸𝐶 is
the set of points 𝑥 ∈ 𝐸 such that (2.11) holds. Let (𝑄 ◦𝑡 )𝑡 ≥0 denote the restriction of
(𝑄 𝑡 )𝑡 ≥0 to 𝑀 (𝐸) ◦ .
Theorem 8.1 There is a one-to-one correspondence between bounded entrance laws

(𝐾𝑡◦ )𝑡 >0 for (𝑄 ◦𝑡 )𝑡 ≥0 and bounded entrance laws (𝐾𝑡 )𝑡 >0 for (𝑄 𝑡 )𝑡 ≥0 satisfying
lim𝑡→0 𝐾𝑡 ({0}) = 0, which is given by
𝐾𝑡◦ = 𝐾𝑡 | 𝑀 (𝐸) ◦ and 𝐾𝑡 ({0}) = ↑lim 𝐾𝑠◦ (1) − 𝐾𝑡◦ (1). (8.1)
𝑠↓0
Proof Suppose that (𝐾𝑡◦ )𝑡 >0 is a bounded entrance law for (𝑄 ◦𝑡 )𝑡 ≥0 . Since the null
measure is a trap for (𝑄 𝑡 )𝑡 ≥0 , one can see that 𝑡 ↦→ 𝐾𝑡◦ (1) is decreasing. Let 𝐾𝑡
be the extension of 𝐾𝑡◦ to 𝑀 (𝐸) defined by (8.1). Then lim𝑡→0 𝐾𝑡 ({0}) = 0. For

206 8 Entrance Laws and Kuznetsov Measures
𝑡 > 𝑟 > 0 and 𝐹 ∈ 𝐵(𝑀 (𝐸)) we have

∫
𝐾𝑡 (𝐹) = 𝐹 (𝜇)𝐾𝑡◦ (d𝜇) + 𝐹 (0)𝐾𝑡 ({0})
𝑀 (𝐸) ◦
∫ h i
= 𝑄 ◦𝑡−𝑟 𝐹 (𝜇)𝐾𝑟◦ (d𝜇) + 𝐹 (0) ↑lim 𝐾𝑠◦ (1) − 𝐾𝑡◦ (1)
∫𝑀 (𝐸) ◦ ∫ 𝑠↓0
= 𝑄 𝑡−𝑟 𝐹 (𝜇)𝐾𝑟◦ (d𝜇) − 𝑄 𝑡−𝑟 (𝜇, {0})𝐹 (0)𝐾𝑟◦ (d𝜇)

𝑀 (𝐸) ◦ ∫ 𝑀 (𝐸) ◦
+ 𝐹 (0) ↑lim 𝐾𝑠◦ (1) − 𝐹 (0) 𝑄 ◦𝑡−𝑟 (𝜇, 𝑀 (𝐸) ◦ )𝐾𝑟◦ (d𝜇)
𝑠↓0 𝑀 (𝐸) ◦
∫ h i
= 𝑄 𝑡−𝑟 𝐹 (𝜇)𝐾𝑟◦ (d𝜇) + 𝐹 (0) ↑lim 𝐾𝑠◦ (1) − 𝐾𝑟◦ (1)
∫𝑀 (𝐸) ◦ 𝑠↓0
◦
= 𝑄 𝑡−𝑟 𝐹 (𝜇)𝐾𝑟 (d𝜇) + 𝑄 𝑡−𝑟 𝐹 (0)𝐾𝑟 ({0})
∫𝑀 (𝐸) ◦
= 𝑄 𝑡−𝑟 𝐹 (𝜇)𝐾𝑟 (d𝜇).
𝑀 (𝐸)
Thus (𝐾𝑡 )𝑡 >0 is a bounded entrance law for (𝑄 𝑡 )𝑡 ≥0 . Conversely, suppose that (𝐾𝑡 )𝑡 >0
is a bounded entrance law for (𝑄 𝑡 )𝑡 ≥0 satisfying lim𝑡→0 𝐾𝑡 ({0}) = 0. It is easy to see
that 𝐾𝑡◦ = 𝐾𝑡 | 𝑀 (𝐸) ◦ defines a bounded entrance law (𝐾𝑡◦ )𝑡 >0 for (𝑄 ◦𝑡 )𝑡 ≥0 . Moreover,
we have
𝐾𝑡 ({0}) = 𝐾𝑡 (1) − 𝐾𝑡 (𝑀 (𝐸) ◦ ) = ↑lim 𝐾𝑠◦ (1) − 𝐾𝑡◦ (1).

𝑠↓0
This proves the one-to-one correspondence. □
Theorem 8.2 Let 𝐾 = (𝐾𝑡 )𝑡 >0 be a family of infinitely divisible probability measures
on 𝑀 (𝐸) with 𝐼𝑡 := − log 𝐿 𝐾𝑡 ∈ ℐ(𝐸) given by
∫
1 − e−𝜈 ( 𝑓 ) 𝐻𝑡 (d𝜈), 𝑓 ∈ 𝐵(𝐸) + ,

𝐼𝑡 ( 𝑓 ) = 𝜂𝑡 ( 𝑓 ) + (8.2)
𝑀 (𝐸) ◦
where 𝜂𝑡 ∈ 𝑀 (𝐸) and 𝐻𝑡 (d𝜈) is a 𝜎-finite measure on 𝑀 (𝐸) ◦ satisfying

∫
[1 ∧ 𝜈(1)]𝐻𝑡 (d𝜈) < ∞. (8.3)
𝑀 (𝐸) ◦
Then 𝐾 is an entrance law for (𝑄 𝑡 )𝑡 ≥0 if and only if, for all 𝑟, 𝑡 > 0,
∫ ∫
𝜂𝑟+𝑡 = 𝜂𝑟 (d𝑦)𝜆 𝑡 (𝑦, ·), 𝐻𝑟+𝑡 = 𝜂𝑟 (d𝑦)𝐿 𝑡 (𝑦, ·) + 𝐻𝑟 𝑄 ◦𝑡 . (8.4)
𝐸 𝐸
Proof By Theorem 1.36 the family of infinitely divisible probability measures

(𝐾𝑡 )𝑡 >0 on 𝑀 (𝐸) can be represented by (8.2). By Proposition 2.6 one can see
(8.4) gives an alternative expression for the relation 𝐾𝑟+𝑡 = 𝐾𝑟 𝑄 𝑡 for 𝑟, 𝑡 > 0. □
8.1 Some Simple Properties 207
Corollary 8.3 Suppose that 𝐾 = (𝐾𝑡 )𝑡 >0 is an infinitely divisible probability en-
trance law for (𝑄 𝑡 )𝑡 ≥0 given by (8.2). Then the family 𝐻 = (𝐻𝑡 )𝑡 >0 is an entrance
rule for the restricted semigroup (𝑄 ◦𝑡 )𝑡 ≥0 .
Corollary 8.4 Suppose that 𝐻 = (𝐻𝑡 )𝑡 >0 is a 𝜎-finite entrance law for (𝑄 ◦𝑡 )𝑡 ≥0
satisfying (8.3). Then
∫ ∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp − 1 − e−𝜈 ( 𝑓 ) 𝐻𝑡 (d𝜈)

(8.5)
𝑀 (𝐸) 𝑀 (𝐸) ◦
defines an infinitely divisible probability entrance law 𝐾 = (𝐾𝑡 )𝑡 >0 for (𝑄 𝑡 )𝑡 ≥0 .

Corollary 8.5 If 𝐸𝐶 = 𝐸, then (8.5) establishes a one-to-one correspondence be-
tween infinitely divisible probability entrance laws 𝐾 for (𝑄 𝑡 )𝑡 ≥0 and 𝜎-finite en-
trance laws 𝐻 for (𝑄 ◦𝑡 )𝑡 ≥0 satisfying (8.3).
In the situation of Corollary 8.3, we call 𝐻 = (𝐻𝑡 )𝑡 >0 the canonical entrance rule
defined by 𝐾 = (𝐾𝑡 )𝑡 >0 .
We next turn to the special case of a (𝜉, 𝜙)-superprocess 𝑋, where 𝜉 is a Borel right
process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and 𝜙 is a branching mechanism given
by (2.29) or (2.30). The transition semigroup (𝑄 𝑡 )𝑡 ≥0 of the (𝜉, 𝜙)-superprocess is
defined by (2.35) and (2.36). Let 𝛾(𝑥, d𝑦) be the kernel on 𝐸 defined by (2.31) and
let (𝜋𝑡 )𝑡 ≥0 be the semigroup of kernels defined by (2.38). Let 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) −
+
𝑏(𝑥)] and let 𝑐+0 = 0∨ 𝑐 0 . By Theorem A.53 we have ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 ≤ e𝑐0 𝑡 for 𝑡 ≥ 0. To
study the structures of entrance laws for the (𝜉, 𝜙)-superprocess, we need to clarify
some connections between entrance laws for the underlying semigroup (𝑃𝑡 )𝑡 ≥0 and
those for (𝜋𝑡 )𝑡 ≥0 . Let 𝒦(𝑃) be the set of entrance laws 𝜅 = (𝜅 𝑡 )𝑡 >0 for (𝑃𝑡 )𝑡 ≥0
satisfying
∫ 1
𝜅 𝑠 (1)d𝑠 < ∞ (8.6)
0
and let 𝒦(𝜋) be the set of entrance laws for (𝜋𝑡 )𝑡 ≥0 satisfying the above integral
condition. We remark that the measures (𝜅 𝑡 )𝑡 >0 are finite for any 𝜅 ∈ 𝒦(𝑃) or 𝒦(𝜋).
Indeed, by (8.6) for any 𝑡 > 0 there is an 𝑟 ∈ (0, 𝑡] such that 𝜅𝑟 (1) < ∞. Then 𝜅 𝑡 (1) =
𝜅𝑟 (𝑃𝑡−𝑟 1) ≤ 𝜅𝑟 (1) < ∞ if 𝜅 ∈ 𝒦(𝑃) and 𝜅 𝑡 (1) = 𝜅𝑟 (𝜋𝑡−𝑟 1) ≤ e𝑐0 (𝑡−𝑟) 𝜅𝑟 (1) < ∞
if 𝜅 ∈ 𝒦(𝜋). In particular, if (𝑃𝑡 )𝑡 ≥0 is a conservative semigroup, then 𝒦(𝑃)
coincides with the space of bounded entrance laws for (𝑃𝑡 )𝑡 ≥0 .
Proposition 8.6 There is a one-to-one correspondence between 𝜅 ∈ 𝒦(𝑃) and
𝜂 ∈ 𝒦(𝜋) given by, for 𝑡 > 0 and 𝑓 ∈ 𝐵(𝐸),
𝜂𝑡 ( 𝑓 ) = lim 𝜅𝑟 (𝜋𝑡−𝑟 𝑓 ) and 𝜅 𝑡 ( 𝑓 ) = lim 𝜂𝑟 (𝑃𝑡−𝑟 𝑓 ). (8.7)

𝑟→0 𝑟→0
Moreover, if the two entrance laws are related by (8.7), we have

∫ 𝑡
𝜂𝑡 ( 𝑓 ) = 𝜅 𝑡 ( 𝑓 ) + 𝜅 𝑡−𝑠 ((𝛾 − 𝑏)𝜋 𝑠 𝑓 )d𝑠. (8.8)
0
Proof Suppose that 𝜅 ∈ 𝒦(𝑃). For 𝑡 > 𝑟 > 0 and 𝑓 ∈ 𝐵(𝐸) we can use (2.38) and
the entrance law property of 𝜅 = (𝜅 𝑡 )𝑡 >0 to see
∫ 𝑡−𝑟
𝜅𝑟 (𝜋𝑡−𝑟 𝑓 ) = 𝜅 𝑡 ( 𝑓 ) + 𝜅 𝑡−𝑠 ((𝛾 − 𝑏)𝜋 𝑠 𝑓 )d𝑠. (8.9)
0
Then the first limit in (8.7) exists and is given by (8.8). Clearly, the family 𝜂 = (𝜂𝑡 )𝑡 >0
constitute an entrance law for (𝜋𝑡 )𝑡 ≥0 . Moreover, we have
∫ 𝑡 ∫ 𝑡
+
𝜂𝑡 (1) ≤ 𝜅 𝑡 (1) + 𝑐+0 𝜅 𝑡−𝑠 (𝜋 𝑠 1)d𝑠 ≤ 𝜅 𝑡 (1) + 𝑐+0 e𝑐0 𝑡 𝜅 𝑠 (1)d𝑠,
0 0
and hence 𝜂 ∈ 𝒦(𝜋). From (8.8) and the entrance law property of (𝜅 𝑡 )𝑡 >0 it follows
that
∫ 𝑟
𝜂𝑟 (𝑃𝑡−𝑟 𝑓 ) = 𝜅 𝑡 ( 𝑓 ) + 𝜅𝑟−𝑠 ((𝛾 − 𝑏)𝜋 𝑠 𝑃𝑡−𝑟 𝑓 )d𝑠.
0
By letting 𝑟 → 0 we obtain the second equality in (8.7). Conversely, suppose that

𝜂 ∈ 𝒦(𝜋). For 𝑓 ∈ 𝐵(𝐸) + we get from (2.37) and (2.39) that
+ ∥𝑡
e− ∥𝑏 𝑃𝑡 𝑓 (𝑥) ≤ 𝑃𝑡𝑏 𝑓 (𝑥) ≤ 𝜋𝑡 𝑓 (𝑥). (8.10)
Then for any 𝑡 > 𝑠 > 𝑟 > 0 we have

+ ∥𝑟 + ∥𝑠 + ∥𝑠
e ∥𝑏 𝜂𝑟 (𝑃𝑡−𝑟 𝑓 ) ≤ e ∥𝑏 𝜂𝑟 (𝜋 𝑠−𝑟 𝑃𝑡−𝑠 𝑓 ) = e ∥𝑏 𝜂 𝑠 (𝑃𝑡−𝑠 𝑓 ).
Consequently, we can define an entrance law 𝜅 = (𝜅 𝑡 )𝑡 >0 for (𝑃𝑡 )𝑡 ≥0 by

+ ∥𝑟
𝜅 𝑡 ( 𝑓 ) = lim e ∥𝑏 𝜂𝑟 (𝑃𝑡−𝑟 𝑓 ) = lim 𝜂𝑟 (𝑃𝑡−𝑟 𝑓 ). (8.11)
𝑟→0 𝑟→0
Clearly, the above relation also holds for all 𝑓 ∈ 𝐵(𝐸). In view of (8.10) and (8.11),
we have
+ ∥𝑡 + ∥𝑡
𝜅 𝑡 (1) = lim 𝜂𝑟 (𝑃𝑡−𝑟 1) ≤ lim e ∥𝑏 𝜂𝑟 (𝜋𝑡−𝑟 1) ≤ e ∥𝑏 𝜂𝑡 (1),
𝑟→0 𝑟→0
and hence 𝜅 ∈ 𝒦(𝑃). Then we use (2.38) and the entrance law property of (𝜂𝑡 )𝑡 >0
to see
∫ 𝑡−𝑟
𝜂𝑡 ( 𝑓 ) = 𝜂𝑟 (𝑃𝑡−𝑟 𝑓 ) + 𝜂𝑟 (𝑃𝑡−𝑟−𝑠 (𝛾 − 𝑏)𝜋 𝑠 𝑓 )d𝑠.
0
By letting 𝑟 → 0 in both sides we get (8.8). The first equality in (8.7) follows from
(8.9). □
8.2 Minimal Probability Entrance Laws 209
The above proof also gives the following:
Corollary 8.7 If 𝜅 ∈ 𝒦(𝑃) and 𝜂 ∈ 𝒦(𝜋) are related by (8.7) and (8.8), then for
every 𝑡 > 0 we have
∫ 𝑡
− ∥𝑏+ ∥𝑡 + 𝑐0+ 𝑡
e 𝜅 𝑡 (1) ≤ 𝜂𝑡 (1) ≤ 𝜅 𝑡 (1) + 𝑐 0 e 𝜅 𝑠 (1)d𝑠. (8.12)
0
Let (𝑄 𝑡 )𝑡 ≥0 denote the transition semigroup of the (𝜉, 𝜙)-superprocess defined

by (2.35) and (2.36). Let 𝒦(𝑄) be the set of 𝜎-finite entrance laws 𝐾 = (𝐾𝑡 )𝑡 >0 for
the semigroup (𝑄 𝑡 )𝑡 ≥0 satisfying
∫ 1 ∫
d𝑠 𝜈(1)𝐾𝑠 (d𝜈) < ∞ (8.13)
0 𝑀 (𝐸) ◦
and let 𝒦(𝑄 ◦ ) be the set of entrance laws for the restricted semigroup (𝑄 ◦𝑡 )𝑡 ≥0
satisfying the above integral condition. By Corollary 2.28 we have (2.53) with (𝜋𝑡 )𝑡 ≥0
defined by (2.38). By Corollary 8.7 it is simple to check that for any 𝐾 ∈ 𝒦(𝑄) or
𝒦(𝑄 ◦ ) we can define 𝜂 := 𝜋𝐾 ∈ 𝒦(𝜋) and 𝜅 := 𝑝𝐾 ∈ 𝒦(𝑃) by, for 𝑡 > 0 and
𝑓 ∈ 𝐵(𝐸),
∫
𝜂𝑡 ( 𝑓 ) = 𝜈( 𝑓 )𝐾𝑡 (d𝜈) (8.14)
𝑀 (𝐸) ◦
and
∫
𝜅 𝑡 ( 𝑓 ) = lim 𝜈(𝑃𝑡−𝑟 𝑓 )𝐾𝑟 (d𝜈). (8.15)
𝑟→0 𝑀 (𝐸) ◦
8.2 Minimal Probability Entrance Laws
Suppose that 𝜉 is a Borel right process in the Lusin topological space 𝐸 with transition
semigroup (𝑃𝑡 )𝑡 ≥0 and 𝜙 is a branching mechanism given by (2.29) or (2.30). Let
(𝑄 𝑡 )𝑡 ≥0 and (𝑉𝑡 )𝑡 ≥0 denote respectively the transition semigroup and the cumulant
semigroup of the (𝜉, 𝜙)-superprocess. Given 𝜅 ∈ 𝒦(𝑃) we set
∫ 𝑡 ∫
𝑆𝑡 (𝜅, 𝑓 ) = 𝜅 𝑡 ( 𝑓 ) − d𝑠 𝜙(𝑦, 𝑉𝑠 𝑓 )𝜅 𝑡−𝑠 (d𝑦) (8.16)
0 𝐸
for 𝑡 > 0 and 𝑓 ∈ 𝐵(𝐸) + . In particular, if 𝜅 ∈ 𝒦(𝑃) is closed by 𝜇 ∈ 𝑀 (𝐸), we

have 𝑆𝑡 (𝜅, 𝑓 ) = 𝜇(𝑉𝑡 𝑓 ).
Lemma 8.8 If 𝜅 ∈ 𝒦(𝑃) and 𝜂 ∈ 𝒦(𝜋) are related by (8.7), then for any 𝑡 > 0 and
𝑆𝑡 (𝜅, 𝑓 ) = lim 𝜅𝑟 (𝑉𝑡−𝑟 𝑓 ) = ↓lim 𝜂𝑟 (𝑉𝑡−𝑟 𝑓 ). (8.17)

𝑟→0 𝑟→0
Proof By (2.36) for 𝑡 > 𝑟 > 0 and 𝑓 ∈ 𝐵(𝐸) + we have

∫ 𝑡−𝑟 ∫
𝜅𝑟 (𝑉𝑡−𝑟 𝑓 ) = 𝜅 𝑡 ( 𝑓 ) − d𝑠 𝜙(𝑦, 𝑉𝑠 𝑓 )𝜅 𝑡−𝑠 (d𝑦).
0 𝐸
Then the first equality in (8.17) holds. The second equality follows similarly from
(2.41) and (8.8). □
Lemma 8.9 The entrance law 𝜅 ∈ 𝒦(𝑃) is non-trivial if and only if we have
lim𝑡→0 lim 𝜃→∞ 𝑆𝑡 (𝜅, 𝜃) = ∞.
Proof From (8.17) we see 𝑓 ↦→ 𝑆𝑡 (𝜅, 𝑓 ) is an increasing functional, so the limit

lim 𝜃→∞ 𝑆𝑡 (𝜅, 𝜃) exists in [0, ∞]. By (8.16) for any 𝜃 0 ≥ 0 we have
lim inf lim 𝑆𝑡 (𝜅, 𝜃) ≥ lim 𝑆𝑡 (𝜅, 𝜃 0 ) = lim 𝜅 𝑡 (𝜃 0 ) = 𝜃 0 lim 𝜅 𝑡 (1).

𝑡→0 𝜃→∞ 𝑡→0 𝑡→0 𝑡→0
If 𝜅 ∈ 𝒦(𝑃) is non-trivial, then lim𝑡→0 𝜅 𝑡 (1) > 0 and hence
lim lim 𝑆𝑡 (𝜅, 𝜃) = ∞.

𝑡→0 𝜃→∞
If 𝜅 ∈ 𝒦(𝑃) is trivial, then 𝑆𝑡 (𝜅, 𝜃) = 0 for all 𝑡 > 0 and 𝜃 ≥ 0. □

For 0 < 𝑎 ≤ ∞ write 𝐾 ∈ 𝒦 𝑎 (𝑄) if 𝐾 ∈ 𝒦(𝑄) and 𝐾𝑡 (1) = 𝑎 for all
𝑡 > 0. Similarly, we write 𝐾 ∈ 𝒦 𝑎 (𝑄 ◦ ) if 𝐾 ∈ 𝒦(𝑄 ◦ ) and lim𝑡→0 𝐾𝑡 (1) = 𝑎. Let
𝒦𝑚𝑎 (𝑄) and 𝒦𝑚𝑎 (𝑄 ◦ ) denote the sets of minimal elements of 𝒦 𝑎 (𝑄) and 𝒦 𝑎 (𝑄 ◦ ),
respectively. Let 𝒦(𝑃) ◦ = 𝒦(𝑃) \{0}, where 0 is the trivial entrance law of (𝑃𝑡 )𝑡 ≥0 .
We refer the reader to Dynkin (1978, Section 10) and Sharpe (1988, Section 40) for
discussions of the structures of entrance laws for Markov processes.
Theorem 8.10 To each 𝜅 ∈ 𝒦(𝑃) there corresponds an entrance law 𝐾 := 𝑙𝜅 ∈

𝒦𝑚1 (𝑄) given by
∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp{−𝑆𝑡 (𝜅, 𝑓 )}, 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + . (8.18)
𝑀 (𝐸)
Moreover, (8.15) and (8.18) give a one-to-one correspondence between 𝒦(𝑃) and
𝒦𝑚1 (𝑄).
Proof Step 1. Suppose that 𝜅 ∈ 𝒦(𝑃) and 𝜂 ∈ 𝒦(𝜋) are related by (8.7). By
Lemma 8.8 we have
exp{−𝑆𝑡 (𝜅, 𝑓 )} = lim exp{−𝜅𝑟 (𝑉𝑡−𝑟 𝑓 )}

𝑟→0 ∫
= lim e−𝜈 ( 𝑓 ) 𝑄 𝑡−𝑟 (𝜅𝑟 , d𝜈). (8.19)

𝑟→0 𝑀 (𝐸)
Then an application of Theorem 1.21 shows that (8.18) really defines a family of
probability measures 𝐾 = (𝐾𝑡 )𝑡 >0 on 𝑀 (𝐸). By (2.36) and (8.16) it is easy to
show that 𝑆𝑟+𝑡 (𝜅, 𝑓 ) = 𝑆𝑟 (𝜅, 𝑉𝑡 𝑓 ), so 𝐾 is an entrance law for (𝑄)𝑡 ≥0 . In view of
(8.16) and (8.8) we have (d/d𝜃)𝑆𝑡 (𝜅, 𝜃 𝑓 )| 𝜃=0+ = 𝜂𝑡 ( 𝑓 ) and hence (8.14) holds. In
particular, we have 𝐾 ∈ 𝒦 1 (𝑄). Write 𝐾 = 𝑙𝜅 = 𝜆𝜂. By Proposition 8.6 we have
𝜋𝐾 = 𝜂 and 𝑝𝐾 = 𝜅. Therefore 𝑝𝑙𝜅 = 𝜅 for 𝜅 ∈ 𝒦(𝑃) and 𝜋𝜆𝜂 = 𝜂 for 𝜂 ∈ 𝒦(𝜋).
Step 2. We claim 𝐾 = 𝜆𝜋𝐾 = 𝑙 𝑝𝐾 for every 𝐾 ∈ 𝒦𝑚1 (𝑄). To see this let
Q𝐾 be the probability measure on 𝑀 (𝐸) (0,∞) under which the coordinate process
{𝑤 𝑡 : 𝑡 > 0} is a Markov process with one-dimensional distributions (𝐾𝑡 )𝑡 >0 and
semigroup (𝑄 𝑡 )𝑡 ≥0 . Since 𝐾 is minimal, by Dynkin (1978, p. 724) or Sharpe (1988,
p. 199) we have Q𝐾 -a.s.
∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = lim exp{−𝑤 𝑟𝑛 (𝑉𝑡−𝑟𝑛 𝑓 )} (8.20)
𝑀 (𝐸) 𝑛→∞
for any sequence 𝑟 𝑛 → 0. By (2.53),

𝑤 𝑟𝑛 (𝑉𝑡−𝑟𝑛 𝑓 ) ≤ 𝑤 𝑟𝑛 (𝜋𝑡−𝑟𝑛 𝑓 ) = Q𝐾 𝑤 𝑡 ( 𝑓 ) 𝑤 𝑠 : 0 < 𝑠 ≤ 𝑟 𝑛 .
Then the family of random variables {𝑤 𝑟𝑛 (𝑉𝑡−𝑟𝑛 𝑓 ) : 0 < 𝑟 𝑛 ≤ 𝑡} is uniformly

Q𝐾 -integrable. By (8.20) and dominated convergence we have
∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = lim Q𝐾 𝑤 𝑟𝑛 (𝑉𝑡−𝑟𝑛 𝑓 )

− log
𝑀 (𝐸) 𝑛→∞
= lim 𝜋𝐾𝑟𝑛 (𝑉𝑡−𝑟𝑛 𝑓 ) = 𝑆𝑡 ( 𝑝𝐾, 𝑓 ),
𝑛→∞
where the last equality follows by Lemma 8.8. This proves 𝐾 = 𝑙 𝑝𝐾. Then the results
in the first step imply 𝐾 = 𝜆𝜋𝐾.
Step 3. Now it suffices to show 𝑙𝜅 ∈ 𝒦𝑚1 (𝑄) for all 𝜅 ∈ 𝒦(𝑃). By Dynkin (1978,
p. 723) there is a probability measure 𝐹 on 𝒦𝑚1 (𝑄) such that
∫
𝑙𝜅 𝑡 = 𝐻𝑡 𝐹 (d𝐻).
1 (𝑄)
𝒦𝑚
Let 𝐺 be the image of 𝐹 under the mapping 𝑝 : 𝒦𝑚1 (𝑄) → 𝒦(𝑃). By the results
proved in the first two steps it follows that
∫
exp{−𝑆𝑡 (𝜅, 𝑓 )} = exp{−𝑆𝑡 (𝜇, 𝑓 )}𝐺 (d𝜇).
𝒦 ( 𝑃)
Since 𝑢 ↦→ e−𝑢 is a strictly convex function, 𝐺 must be the unit mass concentrated
at 𝜅. Then 𝐹 is the unit mass at 𝑙𝜅, yielding 𝑙𝜅 ∈ 𝒦𝑚1 (𝑄). □
Corollary 8.11 For any 𝜅 ∈ 𝒦(𝑃) the entrance law 𝐾 ∈ 𝒦𝑚1 (𝑄) given by (8.18) is
infinitely divisible.
Proof In view of (8.19) we have 𝐾𝑡 = lim𝑟→0 𝑄 𝑡−𝑟 (𝜅𝑟 , ·). Then the infinite divisi-
bility of 𝐾𝑡 follows from that of 𝑄 𝑡−𝑟 (𝜅𝑟 , ·). □
Corollary 8.12 There is a one-to-one correspondence between 𝜅 ∈ 𝒦(𝑃) ◦ and

𝐾 ◦ ∈ 𝒦𝑚1 (𝑄 ◦ ) given by (8.15) and
∫
(1 − e−𝜈 ( 𝑓 ) )𝐾𝑡◦ (d𝜈) = 1 − exp{−𝑆𝑡 (𝜅, 𝑓 )}, (8.21)
𝑀 (𝐸) ◦
where 𝑡 > 0 and 𝑓 ∈ 𝐵(𝐸) + .
Proof For the entrance laws 𝐾 ∈ 𝒦 1 (𝑄) and 𝐾 ◦ ∈ 𝒦 1 (𝑄 ◦ ) related by (8.1) one
can see that 𝐾 ∈ 𝒦𝑚1 (𝑄) if and only if 𝐾 ◦ ∈ 𝒦𝑚1 (𝑄 ◦ ). On the other hand, for the
entrance laws 𝜅 ∈ 𝒦(𝑃) and 𝐾 ∈ 𝒦𝑚1 (𝑄) related by (8.18) we have
∫
𝐾𝑡 ({0}) = lim e−𝜈 ( 𝜃) 𝐾𝑡 (d𝜈) = lim exp{−𝑆𝑡 (𝜅, 𝜃)}.
𝜃→∞ 𝑀 (𝐸) 𝜃→∞
By Lemma 8.9, we have lim𝑡→0 𝐾𝑡 ({0}) = 0 if and only if 𝜅 ∈ 𝒦(𝑃) is non-trivial.

Then the result follows from Theorem 8.10. □
Theorem 8.13 For any 𝑥 ∈ 𝐸 the canonical entrance rule 𝐿 (𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0}
defined by (2.5) is regular.
Proof Step 1. We first consider the case where (𝑃𝑡 )𝑡 ≥0 is a conservative semigroup.
For 𝑓 , ℎ ∈ 𝐵(𝐸) + and a functional 𝑈 on 𝐵(𝐸) + let Δℎ𝑈 ( 𝑓 ) = 𝑈 ( 𝑓 + ℎ) − 𝑈 ( 𝑓 ).
Write Δ2ℎ = Δℎ Δℎ . Then
Δ2ℎ𝑈 ( 𝑓 ) = 𝑈 ( 𝑓 + 2ℎ) − 2𝑈 ( 𝑓 + ℎ) + 𝑈 ( 𝑓 ). (8.22)
From (2.5) it is easy to see that

∫
Δ2ℎ𝑉𝑡 ( 𝑓 ) (𝑥) = (1 − e−𝜈 ( 𝑓 ) ) (1 − e−𝜈 (ℎ) ) 2 𝐿 𝑡 (𝑥, d𝜈). (8.23)
𝑀 (𝐸) ◦
Since (𝑃𝑡 )𝑡 ≥0 is conservative, by (2.36) we have lim𝑡 ↓0 ∥𝑉𝑡 𝜆−𝜆∥ = 0 for any constant
𝜆 ≥ 0. By Corollary 2.25, for 𝑡 > 𝑟 ≥ 0,
∥𝑉𝑡 𝜆 − 𝑉𝑟 𝜆∥ = ∥𝑉𝑟 𝑉𝑡−𝑟 𝜆 − 𝑉𝑟 𝜆∥ ≤ ∥𝜋𝑟 ∥ ∥𝑉𝑡−𝑟 𝜆 − 𝜆∥,
where ∥𝜋𝑟 ∥ ≤ e𝑐0 𝑟 by Theorem A.53. Then 𝑡 ↦→ 𝑉𝑡 𝜆 is continuous in the supremum

norm. In view of (8.22), we have
∥Δ2𝜆𝑉𝑟 (𝑉𝑡−𝑟 1) − Δ𝜆2 𝑉𝑡 (1) ∥

≤ ∥Δ2𝜆𝑉𝑟 (𝑉𝑡−𝑟 1) − Δ𝜆2 𝑉𝑟 (1) ∥ + ∥Δ2𝜆𝑉𝑟 (1) − Δ𝜆2 𝑉𝑡 (1) ∥
≤ ∥𝑉𝑟 (𝑉𝑡−𝑟 1 + 2𝜆) − 2𝑉𝑟 (𝑉𝑡−𝑟 1 + 𝜆) + 𝑉𝑟 (𝑉𝑡−𝑟 1)
− 𝑉𝑟 (1 + 2𝜆) + 2𝑉𝑟 (1 + 𝜆) − 𝑉𝑟 (1) ∥
+ ∥𝑉𝑟 (1 + 2𝜆) − 2𝑉𝑟 (1 + 𝜆) + 𝑉𝑟 (1)
− 𝑉𝑡 (1 + 2𝜆) + 2𝑉𝑡 (1 + 𝜆) − 𝑉𝑡 (1) ∥
≤ 4∥𝜋𝑟 ∥ ∥𝑉𝑡−𝑟 1 − 1∥ + ∥𝑉𝑟 (1 + 2𝜆) − 𝑉𝑡 (1 + 2𝜆) ∥

+ 2∥𝑉𝑟 (1 + 𝜆) − 𝑉𝑡 (1 + 𝜆) ∥ + ∥𝑉𝑟 (1) − 𝑉𝑡 (1) ∥.
The right-hand side vanishes as 𝑟 ↑ 𝑡. It follows that, in the supremum norm,
lim Δ𝜆2 𝑉𝑟 (𝑉𝑡−𝑟 1) = lim Δ𝜆2 𝑉𝑟 (1) = Δ2𝜆𝑉𝑡 (1).

𝑟 ↑𝑡 𝑟 ↑𝑡
Then (8.23) implies

∫
lim inf (1 − e−𝜇 (𝑉𝑡−𝑟 1) )𝐿 𝑟 (𝑥, d𝜇)
𝑟 ↑𝑡
∫◦
𝑀 (𝐸)
≥ lim (1 − e−𝜇 (𝑉𝑡−𝑟 1) ) (1 − e−𝜆𝜇 (1) ) 2 𝐿 𝑟 (𝑥, d𝜇)

∫𝑟 ↑𝑡 𝑀 (𝐸) ◦
= (1 − e−𝜇 (1) ) (1 − e−𝜆𝜇 (1) ) 2 𝐿 𝑡 (𝑥, d𝜇).

𝑀 (𝐸) ◦
Since 𝜆 ≥ 0 was arbitrary, it follows that

∫ ∫
lim inf 𝐿 𝑟 (𝑥, d𝜇) (1 − e−𝜈 (1) )𝑄 ◦𝑡−𝑟 (𝜇, d𝜈)
𝑟 ↑𝑡 𝑀 (𝐸) ◦∫ 𝑀 (𝐸) ◦
= lim inf (1 − e−𝜇 (𝑉𝑡−𝑟 1) )𝐿 𝑟 (𝑥, d𝜇)

𝑟 ↑𝑡 𝑀 (𝐸) ◦
∫
≥ (1 − e−𝜇 (1) )𝐿 𝑡 (𝑥, d𝜇),
𝑀 (𝐸) ◦
which implies the regularity of 𝐿(𝑥).
Step 2. In the general case where (𝑃𝑡 )𝑡 ≥0 is not conservative, we can extend
it to a conservative Borel right semigroup ( 𝑃˜𝑡 )𝑡 ≥0 on the Lusin topological space
𝐸˜ := 𝐸 ∪ {𝜕} with 𝜕 being an isolated cemetery. For 𝑓˜ ∈ 𝐵( 𝐸) ˜ + let 𝜙(𝜕,
˜ 𝑓˜) = 0
˜
and let 𝜙(𝑥, 𝑓˜) = 𝜙(𝑥, 𝑓˜| 𝐸 ) if 𝑥 ∈ 𝐸. Let (𝑉˜𝑡 )𝑡 ≥0 and ( 𝑄˜ 𝑡 )𝑡 ≥0 be defined as in the
proof of Theorem 5.13. Let 𝜆˜ 𝑡 (𝑥, ·) and 𝐿˜ 𝑡 (𝑥, ·) be defined by (2.5) from (𝑉˜𝑡 )𝑡 ≥0 .
Then 𝐿˜ (𝑥) = { 𝐿˜ 𝑡 (𝑥, ·) : 𝑡 > 0} is a regular entrance rule for (𝑄˜ ◦𝑡 )𝑡 ≥0 by the first
step. Since 𝜕 is a cemetery, we have 𝑉˜𝑡 𝑓˜(𝜕) = 𝑃˜𝑡 𝑓˜(𝜕) = 0 if 𝑓˜(𝜕) = 0. For any
𝑓 ∈ 𝐵(𝐸) + we extend its definition to 𝐸˜ by setting 𝑓 (𝜕) = 0. Then 𝑉˜𝑡 𝑓 (𝑥) = 𝑉𝑡 𝑓 (𝑥)
for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. It follows that, for 𝜇 ∈ 𝑀 ( 𝐸) ˜ and 𝑓 ∈ 𝐵(𝐸) + ,
∫ ∫
−𝜈 ( 𝑓 ) ˜
e 𝑄 𝑡 (𝜇, d𝜈) = e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇| 𝐸 , d𝜈).
˜
𝑀 ( 𝐸) 𝑀 (𝐸)
For any 𝑥 ∈ 𝐸 and 𝑓 ∈ 𝐵(𝐸) + we have

∫
𝑉˜𝑡 𝑓 (𝑥) = 𝜆˜ 𝑡 (𝑥, 𝑓 ) + (1 − e−𝜈 ( 𝑓 ) ) 𝐿˜ 𝑡 (𝑥, d𝜈).
˜ ◦
𝑀 ( 𝐸)
By the uniqueness of the canonical representation we have

∫ ∫
1 − e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈) = 1 − e−𝜈 ( 𝑓 ) 𝐿˜ 𝑡 (𝑥, d𝜈).

𝑀 (𝐸) ◦ ˜ ◦
𝑀 ( 𝐸)
It follows that, for 𝑡 > 𝑟 > 0,

∫ ∫
𝐿 𝑟 (𝑥, d𝜇) (1 − e−𝜈 (1) )𝑄 ◦𝑡−𝑟 (𝜇, d𝜈)
𝑀 (𝐸) ◦∫ 𝑀 (𝐸) ◦∫
= 𝐿˜ 𝑟 (𝑥, d𝜇) (1 − e−𝜈 (1𝐸 ) ) 𝑄˜ ◦𝑡−𝑟 (𝜇, d𝜈).

˜ ◦
𝑀 ( 𝐸) ˜ ◦
𝑀 ( 𝐸)
The right-hand side converges as 𝑟 ↑ 𝑡 to

∫ ∫
(1 − e−𝜈 (1𝐸 ) ) 𝐿˜ 𝑡 (𝑥, d𝜈) = (1 − e−𝜈 (1) )𝐿 𝑡 (𝑥, d𝜈).
˜ ◦
𝑀 ( 𝐸) 𝑀 (𝐸) ◦
Then 𝐿 (𝑥) is a regular entrance rule for (𝑄 ◦𝑡 )𝑡 ≥0 . □
Corollary 8.14 For any 𝜇 ∈ 𝑀 (𝐸) the entrance rule 𝜇𝐿 = (𝜇𝐿 𝑡 )𝑡 >0 is regular.
In the special case where the underlying semigroup (𝑃𝑡 )𝑡 ≥0 is conservative, let
𝐸¯ be a Ray–Knight completion of 𝐸 with respect to this semigroup. Let ( 𝑃¯𝑡 )𝑡 ≥0 be
the Ray extension of (𝑃𝑡 )𝑡 ≥0 to 𝐸. ¯ Let 𝐸 𝐷 ⊂ 𝐸¯ be the entrance space of (𝑃𝑡 )𝑡 ≥0 .
In this chapter, we only need the restriction of ( 𝑃¯𝑡 )𝑡 ≥0 to 𝐸 𝐷 , which is also a Borel
right semigroup. We extend 𝑓 ↦→ 𝜙(·, 𝑓 ) to an operator 𝑓¯ ↦→ 𝜙(·, ¯ 𝑓¯) from 𝐵(𝐸 𝐷 ) +
¯
to 𝐵(𝐸 𝐷 ) by setting 𝜙(𝑥, 𝑓¯) = 𝜙(𝑥, 𝑓 ) for 𝑥 ∈ 𝐸 and 𝜙(𝑥,
¯ 𝑓¯) = 0 for 𝑥 ∈ 𝐸 𝐷 \ 𝐸,
where 𝑓 = 𝑓¯| 𝐸 is the restriction to 𝐸 of 𝑓¯ ∈ 𝐵(𝐸 𝐷 ) + . Then for every 𝑓¯ ∈ 𝐵(𝐸 𝐷 ) +
there is a unique locally bounded positive solution 𝑡 ↦→ 𝑉¯𝑡 𝑓¯ to the equation
∫ 𝑡 ∫
𝑉¯𝑡 𝑓¯(𝑥) = 𝑃¯𝑡 𝑓¯(𝑥) − d𝑠 ¯ 𝑉¯𝑠 𝑓¯(𝑦)) 𝑃¯𝑡−𝑠 (𝑥, d𝑦),
𝜙(𝑦, (8.24)
0 𝐸𝐷
where 𝑡 ≥ 0 and 𝑥 ∈ 𝐸 𝐷 . That defines a cumulant semigroup (𝑉¯𝑡 )𝑡 ≥0 with underlying

space 𝐸 𝐷 . By Proposition A.37 for 𝑡 > 0 and 𝑥 ∈ 𝐸 𝐷 the probability measure 𝑃¯𝑡 (𝑥, ·)
is carried by 𝐸. Then we can also regard (𝑉¯𝑡 )𝑡 >0 as operators from 𝐵(𝐸) + to 𝐵(𝐸 𝐷 ) + .
Indeed, for 𝑓 ∈ 𝐵(𝐸) + we have
∫ 𝑡 ∫
¯ ¯
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − d𝑠 𝜙(𝑦, 𝑉𝑠 𝑓 ) 𝑃¯𝑡−𝑠 (𝑥, d𝑦), (8.25)
0 𝐸
where 𝑡 > 0 and 𝑥 ∈ 𝐸 𝐷 .
Theorem 8.15 If (𝑃𝑡 )𝑡 ≥0 is a conservative semigroup, there is a one-to-one corre-

spondence between 𝐾 ∈ 𝒦𝑚1 (𝑄) and 𝜇 ∈ 𝑀 (𝐸 𝐷 ) given by
∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp{−𝜇(𝑉¯𝑡 𝑓 )}, 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + . (8.26)
𝑀 (𝐸)
8.3 Infinitely Divisible Probability Entrance Laws 215
Proof Since (𝑃𝑡 )𝑡 ≥0 is conservative, every 𝜅 ∈ 𝒦(𝑃) is finite. By Theorem A.38

the relation 𝜅 𝑡 = 𝜇 𝑃¯𝑡 gives a one-to-one correspondence between 𝜅 ∈ 𝒦(𝑃) and
𝜇 ∈ 𝑀 (𝐸 𝐷 ). Using Lemma 8.8 it is easy to show that 𝑆𝑡 (𝜅, 𝑓 ) = 𝜇(𝑉¯𝑡 𝑓 ) for 𝑡 > 0
and 𝑓 ∈ 𝐵(𝐸) + . Then (8.26) follows from (8.18). □
Corollary 8.16 If (𝑃𝑡 )𝑡 ≥0 is a conservative semigroup, there is a one-to-one corre-

spondence between 𝐾 ◦ ∈ 𝒦𝑚1 (𝑄 ◦ ) and 𝜇 ∈ 𝑀 (𝐸 𝐷 ) ◦ given by
∫
(1 − e−𝜈 ( 𝑓 ) )𝐾𝑡◦ (d𝜈) = 1 − exp{−𝜇(𝑉¯𝑡 𝑓 )}, 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + .
𝑀 (𝐸) ◦
8.3 Infinitely Divisible Probability Entrance Laws
In this section, we study the structures of infinitely divisible probability entrance

laws for the (𝜉, 𝜙)-superprocess. Suppose that 𝜉 is a Borel right process in 𝐸 with
transition semigroup (𝑃𝑡 )𝑡 ≥0 and 𝜙 is a branching mechanism given by (2.29) or
(2.30). Let 𝑏 + = 0 ∨ 𝑏 and 𝑏 − = 0 ∨ (−𝑏). Let 𝛾(𝑥, d𝑦) be the kernel on 𝐸 defined
by (2.31) and let 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)]. Let (𝑄 𝑡 )𝑡 ≥0 denote the transition
semigroup of the (𝜉, 𝜙)-superprocess defined by (2.35) and (2.36).
We first consider the case where (𝑃𝑡 )𝑡 ≥0 is conservative. Let 𝐸 𝐷 be the entrance
space of 𝜉 and let (𝑉¯𝑡 )𝑡 ≥0 be the extension of (𝑉𝑡 )𝑡 ≥0 on 𝐵(𝐸 𝐷 ) + defined by (8.24).
Let 𝛾(𝑥,
¯ d𝑦) be the extension of 𝛾(𝑥, d𝑦) to 𝐸 𝐷 such that 𝛾(𝑥, ¯ 𝐸 𝐷 \ 𝐸) = 0 for 𝑥 ∈ 𝐸
¯ 𝐸 𝐷 ) = 0 for 𝑥 ∈ 𝐸 𝐷 \ 𝐸. Let ( 𝜋¯ 𝑡 )𝑡 ≥0 be the semigroup of kernels on 𝐸 𝐷
and 𝛾(𝑥,
¯ d𝑦). Since (𝑉¯𝑡 )𝑡 ≥0 is a cumulant semigroup,
defined by (2.38) from ( 𝑃¯𝑡 )𝑡 ≥0 and 𝛾(𝑥,
it can be represented in the form of (2.5). However, in view of (8.25), for 𝑡 > 0 and
𝑥 ∈ 𝐸 𝐷 we can write
∫
𝑉¯𝑡 𝑓 (𝑥) = 𝜆 𝑡 (𝑥, 𝑓 ) + 1 − e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈), 𝑓 ∈ 𝐵(𝐸) + , (8.27)

𝑀 (𝐸) ◦
where 𝜆 𝑡 (𝑥, d𝑦) is a bounded kernel from 𝐸 𝐷 to 𝐸 and 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded
kernel from 𝐸 𝐷 to 𝑀 (𝐸) ◦ . Let 𝐸 𝐷𝐶 be the set of points 𝑥 ∈ 𝐸 𝐷 such that 𝜆 𝑡 (𝑥, 𝐸) = 0
for all 𝑡 > 0.
Theorem 8.17 Suppose that (𝑃𝑡 )𝑡 ≥0 is a conservative semigroup. Then 𝐾 ∈ 𝒦 1 (𝑄)

is an infinitely divisible entrance law if and only if it has the representation, for 𝑡 > 0
and 𝑓 ∈ 𝐵(𝐸) ∗ ,
∫
¯
𝐿 𝐾𝑡 ( 𝑓 ) = exp − 𝛾 𝐷 (𝑉¯𝑡 𝑓 ) − (1 − e−𝜈 ( 𝑉𝑡 𝑓 ) )𝐺 𝐷 (d𝜈) , (8.28)
𝑀 (𝐸𝐷 ) ◦
where 𝛾 𝐷 ∈ 𝑀 (𝐸 𝐷 ) and 𝐺 𝐷 (d𝜈) is a 𝜎-finite measure on 𝑀 (𝐸 𝐷 ) ◦ satisfying

∫
𝜈(1)𝐺 𝐷 (d𝜈) < ∞. (8.29)
𝑀 (𝐸𝐷 ) ◦
Proof By Theorem 8.15 it is easy to see that (8.28) defines an infinitely divisible
entrance law 𝐾 ∈ 𝒦 1 (𝑄). By letting 𝑓 ≡ 𝜃 ≥ 0 and differentiating both sides at
𝜃 = 0 we obtain
∫ ∫
𝜈(1)𝐾𝑡 (d𝜈) = 𝛾 𝐷 ( 𝜋¯ 𝑡 1) − 𝜈( 𝜋¯ 𝑡 1)𝐺 𝐷 (d𝜈).
𝑀 (𝐸) ◦ 𝑀 (𝐸𝐷 ) ◦
Applying (8.10) and Theorem A.53 to ( 𝜋¯ 𝑡 )𝑡 ≥0 gives

+ ∥𝑡
e− ∥𝑏 ≤ 𝜋¯ 𝑡 1(𝑥) ≤ e𝑐0 𝑡 , 𝑡 ≥ 0, 𝑥 ∈ 𝐸 𝐷 .
Then (8.13) is equivalent to (8.29). On the other hand, since 𝒦 1 (𝑄) is a simplex,
if 𝐾 ∈ 𝒦 1 (𝑄) is an infinitely divisible entrance law, by Theorem 8.15 there is a
probability measure 𝐹𝐷 (d𝜈) on 𝑀 (𝐸 𝐷 ) such that
∫ ∫
¯
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = e−𝜇 ( 𝑉𝑡 𝑓 ) 𝐹𝐷 (d𝜇), 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + .
𝑀 (𝐸) 𝑀 (𝐸𝐷 )
Since (𝑉¯𝑡 )𝑡 ≥0 corresponds to a Borel right semigroup (𝑄¯ 𝑡 )𝑡 ≥0 on 𝑀 (𝐸 𝐷 ), we have

𝐹𝐷 = lim𝑡→0 𝐾𝑡 by the weak convergence of probability measures on 𝑀 (𝐸 𝐷 ). Then
𝐹𝐷 is infinitely divisible and the representation (8.28) follows. □
Corollary 8.18 Suppose that (𝑃𝑡 )𝑡 ≥0 is conservative. Then 𝐻 ∈ 𝒦(𝑄 ◦ ) if and only
if it is given by
∫
(1 − e−𝜈 ( 𝑓 ) )𝐻𝑡 (d𝜈)
𝑀 (𝐸) ◦ ∫
¯
= 𝛾 𝐷 (𝑉¯𝑡 𝑓 ) + (1 − e−𝜈 ( 𝑉𝑡 𝑓 ) )𝐺 𝐷 (d𝜈), (8.30)
𝑀 (𝐸𝐷 ) ◦
where 𝛾 𝐷 ∈ 𝑀 (𝐸 𝐷𝐶 ) and 𝐺 𝐷 (d𝜈) is a 𝜎-finite measure on 𝑀 (𝐸 𝐷 ) ◦ satisfying

(8.29).
Proof It is easy to see that (8.30) defines an entrance law 𝐻 ∈ 𝒦(𝑄 ◦ ). Conversely,
suppose that 𝐻 ∈ 𝒦(𝑄 ◦ ). By Corollary 8.4 an infinitely divisible probability en-
trance law 𝐾 = (𝐾𝑡 )𝑡 >0 ∈ 𝒦 1 (𝑄) is defined by (8.5). By Theorem 8.17, we can
represent 𝐻 = (𝐻𝑡 )𝑡 >0 by formula (8.30) for 𝛾 𝐷 ∈ 𝑀 (𝐸 𝐷 ) and a 𝜎-finite measure
𝐺 𝐷 (d𝜈) on 𝑀 (𝐸 𝐷 ) ◦ satisfying (8.29). Since the formula defines a family of 𝜎-finite
measures (𝐻𝑡 )𝑡 >0 on 𝑀 (𝐸) ◦ , the measure 𝛾 𝐷 ∈ 𝑀 (𝐸 𝐷 ) must be carried by 𝐸 𝐷𝐶 .□
Corollary 8.19 Suppose that (𝑃𝑡 )𝑡 ≥0 is conservative. Then 𝐻 ∈ 𝒦𝑚∞ (𝑄 ◦ ) if and

only if there exist 𝑞 > 0 and 𝑥 ∈ 𝐸 𝐷𝐶 such that
𝐻𝑡 (d𝜈) = 𝑞𝐿 𝑡 (𝑥, d𝜈), 𝑡 > 0, 𝜈 ∈ 𝑀 (𝐸) ◦ .

Now let us turn to a general underlying semigroup (𝑃𝑡 )𝑡 ≥0 , not necessarily con-
servative. Let (𝜋𝑡 )𝑡 ≥0 be the semigroup defined by (2.38). We can define a strictly
positive function ℎ ∈ 𝐵(𝐸) + by
∫ 1
ℎ(𝑥) = 𝜋 𝑠 1(𝑥)d𝑠, 𝑥 ∈ 𝐸. (8.31)
0
Proposition 8.20 Let 𝑏 0 = 𝑐 0 + ∥𝑏 + ∥. Then for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸 we have
e−𝑏0 𝑡 𝑃𝑡 ℎ(𝑥) ≤ e−𝑐0 𝑡 𝜋𝑡 ℎ(𝑥) ≤ ℎ(𝑥). (8.32)
Moreover, the function ℎ is 𝑏 0 -excessive for (𝑃𝑡 )𝑡 ≥0 .
Proof By Theorem A.53 we have ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0. Then by (8.10) we have
∫ 1
e−𝑏0 𝑡 𝑃𝑡 ℎ(𝑥) ≤ e−𝑐0 𝑡 𝜋𝑡 ℎ(𝑥) = e−𝑐0 𝑡 𝜋 𝑠 𝜋𝑡 1(𝑥)d𝑠 ≤ ℎ(𝑥).
0
This proves (8.32). On the other hand, from (8.31) we get

∫ 1+𝑡 ∫ 𝑡
𝜋𝑡 ℎ(𝑥) = 𝜋 𝑠 1(𝑥)d𝑠 − 𝜋 𝑠 1(𝑥)d𝑠.
0 0
Then 𝑡 ↦→ 𝜋𝑡 ℎ(𝑥) is right continuous. By Proposition A.43 we see 𝑡 ↦→ 𝑃𝑡 ℎ(𝑥) is

also right continuous. Therefore ℎ is a 𝑏 0 -excessive function for (𝑃𝑡 )𝑡 ≥0 . □
To investigate the structures of infinitely divisible entrance laws 𝐾 ∈ 𝒦 1 (𝑄) for

a general underlying semigroup (𝑃𝑡 )𝑡 ≥0 , we introduce some transformations based
on the result of Proposition 8.20. We first define a Borel right semigroup (𝑇𝑡 )𝑡 ≥0 on
𝐸 by
𝑇𝑡 𝑓 (𝑥) = ℎ(𝑥) −1 𝑃𝑡𝑏0 (ℎ 𝑓 ) (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸); (8.33)
see, e.g., Sharpe (1988, pp. 298–299). Moreover, by (2.5) it is easy to show that
𝑈𝑡 𝑓 (𝑥) = ℎ(𝑥) −1𝑉𝑡 (ℎ 𝑓 ) (𝑥), 𝑡 ≥ 0, 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸) +
defines a cumulant semigroup on 𝐸. Indeed, by Proposition 8.20 we have
𝑈𝑡 𝑓 (𝑥) ≤ 𝜋𝑡ℎ 𝑓 (𝑥) := ℎ(𝑥) −1 𝜋𝑡 (ℎ 𝑓 ) (𝑥) ≤ ∥ 𝑓 ∥e𝑐0 𝑡 . (8.34)
By Proposition 2.9 we can rewrite (2.36) as

∫ 𝑡 ∫
𝑏0 𝑏0
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + d𝑠 𝑏 0𝑉𝑠 𝑓 (𝑦) − 𝜙(𝑦, 𝑉𝑠 𝑓 ) 𝑃𝑡−𝑠 (𝑥, d𝑦).
0 𝐸
Then (𝑡, 𝑥) ↦→ 𝑈𝑡 𝑓 (𝑥) satisfies

∫ 𝑡 ∫
𝑈𝑡 𝑓 (𝑥) = 𝑇𝑡 𝑓 (𝑥) + d𝑠 𝛾0 (𝑦, 𝑈𝑠 𝑓 )𝑇𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 ∫0 𝐸
+ d𝑠 [𝑏 0 − 𝑏(𝑦)]𝑈𝑠 𝑓 (𝑦)𝑇𝑡−𝑠 (𝑥, d𝑦)

∫0 𝑡 ∫𝐸
− d𝑠 𝜓0 (𝑦, 𝑈𝑠 𝑓 )𝑇𝑡−𝑠 (𝑥, d𝑦), (8.35)
0 𝐸
where 𝛾0 (𝑦, 𝑓 ) = ℎ(𝑦) −1 𝛾(𝑦, ℎ 𝑓 ) and

∫
2 −1
𝜓0 (𝑦, 𝑓 ) = 𝑐(𝑦)ℎ(𝑦) 𝑓 (𝑦) + ℎ(𝑦) 𝐾 (𝜈, ℎ 𝑓 )𝐻 (𝑦, d𝜈).
𝑀 (𝐸) ◦
Note that although 𝑓 ↦→ 𝛾0 (·, 𝑓 ) and 𝑓 ↦→ 𝜓0 (·, 𝑓 ) are not necessarily bounded
operators on 𝐵(𝐸) + , all the terms in (8.35) are bounded by ∥ 𝑓 ∥e𝑐0 𝑡 . Indeed, by
(2.39) and Proposition 2.9 we have
∫ 𝑡 ∫
𝑏0 𝑏0
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + d𝑠 𝛾(𝑦, 𝜋 𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 ∫ 0 𝐸
𝑏0
+ d𝑠 [𝑏 0 − 𝑏(𝑦)]𝜋 𝑠 𝑓 (𝑦)𝑃𝑡−𝑠 (𝑥, d𝑦).
0 𝐸
Then (8.34) yields

∫ 𝑡 ∫
𝜋𝑡ℎ 𝑓 (𝑥) = 𝑇𝑡 𝑓 (𝑥) + d𝑠 𝛾0 (𝑦, 𝜋 𝑠ℎ 𝑓 )𝑇𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 ∫ 0 𝐸
+ d𝑠 [𝑏 0 − 𝑏(𝑦)]𝜋 𝑠ℎ 𝑓 (𝑦)𝑇𝑡−𝑠 (𝑥, d𝑦)

0 ∫𝐸 𝑡 ∫
≥ 𝑇𝑡 𝑓 (𝑥) + d𝑠 𝛾0 (𝑦, 𝑈𝑠 𝑓 )𝑇𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 ∫0 𝐸
+ d𝑠 [𝑏 0 − 𝑏(𝑦)]𝑈𝑠 𝑓 (𝑦)𝑇𝑡−𝑠 (𝑥, d𝑦).

0 𝐸
From this we see each term in (8.35) is bounded by ∥ 𝑓 ∥e𝑐0 𝑡 .
Now let (𝑇𝑡𝜕 )𝑡 ≥0 be the conservative extension of (𝑇𝑡 )𝑡 ≥0 to 𝐸 𝜕 := 𝐸 ∪ {𝜕}

with 𝜕 being an isolated point. Let (𝑇¯𝑡𝜕 )𝑡 ≥0 be the Ray extension of (𝑇𝑡𝜕 )𝑡 ≥0 to its
entrance space 𝐸 𝐷 𝜕,𝑇
with the Ray topology. Let 𝐸 𝐷𝑇 = 𝐸 𝜕,𝑇 \ {𝜕} and let (𝑇¯ )
𝐷 𝑡 𝑡 ≥0
𝑇 . Then 𝐸 𝑇 is Lusin and (𝑇¯ )
be the restriction of (𝑇¯𝑡𝜕 )𝑡 ≥0 to 𝐸 𝐷 𝐷 𝑡 𝑡 ≥0 is a Borel right
semigroup. It is known that for any 𝑡 > 0 and 𝑥 ∈ 𝐸 𝐷 𝑇 the measure 𝑇¯ (𝑥, ·) is
𝑡
supported by 𝐸; see Proposition A.37. Given 𝑓 ∈ 𝐵(𝐸 𝐷 ) + let 𝑓 = 𝑓¯| 𝐸 . By (8.35)
¯ 𝑇
it is easy to show that the limit 𝑈¯ 𝑡 𝑓¯(𝑥) := lim𝑟→0 𝑇¯𝑟 𝑈𝑡−𝑟 𝑓 (𝑥) exists for all 𝑡 > 0
and 𝑥 ∈ 𝐸 𝐷 𝑇 . Let 𝑈¯ 0 𝑓¯(𝑥) = 𝑓¯(𝑥) for 𝑥 ∈ 𝐸 𝑇 . Then (𝑈¯ 𝑡 )𝑡 ≥0 constitute a cumulant
𝐷
semigroup on 𝐸 𝐷 𝑇 . Moreover, we have
∫ 𝑡 ∫
𝑈¯ 𝑡 𝑓¯(𝑥) = 𝑇¯𝑡 𝑓¯(𝑥) + d𝑠 𝛾0 (𝑦, 𝑈𝑠 𝑓 )𝑇¯𝑡−𝑠 (𝑥, d𝑦)
∫ 𝑡 ∫ 0 𝐸
+ d𝑠 [𝑏 0 − 𝑏(𝑦)]𝑈𝑠 𝑓 (𝑦)𝑇¯𝑡−𝑠 (𝑥, d𝑦)

0
∫ 𝑡 ∫𝐸
− d𝑠 𝜓0 (𝑦, 𝑈𝑠 𝑓 )𝑇¯𝑡−𝑠 (𝑥, d𝑦) (8.36)
0 𝐸
for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸 𝐷𝑇 . By the observations in the last paragraph, each term in (8.36)
is bounded by ∥ 𝑓¯∥e𝑐0 𝑡 . Obviously, we can also regard (𝑈¯ 𝑡 )𝑡 >0 as operators from
𝐵(𝐸) + to 𝐵(𝐸 𝐷𝑇 )+.
Lemma 8.21 There is a one-to-one correspondence between 𝜇 ∈ 𝑀 (𝐸 𝐷

𝑇 ) and 𝜅 ∈
𝒦(𝑃) determined by
𝜅 𝑡 ( 𝑓 ) = e𝑏0 𝑡 𝜇(𝑇¯𝑡 (ℎ−1 𝑓 )), 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + . (8.37)
Moreover, if 𝜅 and 𝜇 are related by (8.37), we have
𝑆𝑡 (𝜅, 𝑓 ) = 𝜇(𝑈¯ 𝑡 (ℎ−1 𝑓 )), 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + . (8.38)

𝑇 ) and define the family of measures 𝜅 = (𝜅 )
Proof Let 𝜇 ∈ 𝑀 (𝐸 𝐷 𝑡 𝑡 >0 by (8.37).
Observe that
𝜅𝑟 (𝑃𝑡 𝑓 ) = e𝑏0 𝑟 𝜇𝑇¯𝑟 (ℎ−1 𝑃𝑡 𝑓 ) = e𝑏0 (𝑟+𝑡) 𝜇𝑇¯𝑟 𝑇𝑡 (ℎ−1 𝑓 ) = 𝜅𝑟+𝑡 ( 𝑓 )
for all 𝑟, 𝑡 > 0 and 𝑓 ∈ 𝐵(𝐸). Moreover, by (8.33) and (8.37) it is easy to see that
∫ 1 ∫ 1 ∫ 1
𝜅 𝑠 (1)d𝑠 = lim e𝑏0 𝑠 𝜇𝑇¯𝑠 (ℎ−1 )d𝑠 = lim 𝜇𝑇¯𝑟 (ℎ−1 𝑃𝑠−𝑟 1)d𝑠
0 𝑟→0 𝑟 𝑟→0 𝑟
∫ 1
+
≤ lim e ∥𝑏 ∥ (𝑠−𝑟) 𝜇𝑇¯𝑟 (ℎ−1 𝜋 𝑠−𝑟 1)d𝑠
𝑟→0 𝑟
+ +
≤ lim e ∥𝑏 ∥ 𝜇𝑇¯𝑟 (1) = e ∥𝑏 ∥ 𝜇(1),
𝑟→0
where we also used (8.10) for the first inequality. Then we have 𝜅 ∈ 𝒦(𝑃). Con-
versely, given 𝜅 ∈ 𝒦(𝑃), we first define an entrance law 𝜈 = (𝜈𝑡 )𝑡 >0 for the
semigroup (𝑇𝑡 )𝑡 ≥0 by 𝜈𝑡 ( 𝑓 ) = e−𝑏0 𝑡 𝜅 𝑡 (ℎ 𝑓 ). Observe that
∫ 1 ∫ 1
𝜈0+ (1) := ↑lim 𝜈𝑡 (1) = ↑lim e−𝑏0 𝑡 𝜅 𝑡 (𝜋 𝑠 1)d𝑠 = 𝜂 𝑠 (1)d𝑠 < ∞,
𝑡→0 𝑡→0 0 0
where 𝜂 ∈ 𝒦(𝜋) is defined by (8.8). For 𝑡 > 0 define 𝜈˜𝑡 ∈ 𝑀 (𝐸 𝜕 ) by 𝜈˜𝑡 | 𝐸 = 𝜈𝑡

and 𝜈˜𝑡 ({𝜕}) = 𝜈0+ (1) − 𝜈𝑡 (1). It is easy to see that ( 𝜈˜𝑡 )𝑡 >0 is a finite entrance law
for the conservative Borel right semigroup (𝑇𝑡𝜕 )𝑡 ≥0 . By Theorem A.38 there exists a
measure 𝜈˜0 ∈ 𝑀 (𝐸 𝐷 𝜕,𝑇
) such that 𝜈˜𝑡 = 𝜈˜0𝑇¯𝑡𝜕 for 𝑡 > 0. Then
𝜅 𝑡 ( 𝑓 ) = e𝑏0 𝑡 𝜈𝑡 (ℎ−1 𝑓 ) = e𝑏0 𝑡 𝜇𝑇¯𝑡 (ℎ−1 𝑓 )

𝑇 . Finally, assume that 𝜅 and 𝜇 are related by

with 𝜇 being the restriction of 𝜈˜0 to 𝐸 𝐷
+
(8.37). If 𝑓 ∈ 𝐵(𝐸) is bounded by const. · ℎ we can use Lemma 8.8 to see
𝑆𝑡 (𝜅, 𝑓 ) = lim 𝜅𝑟 (𝑉𝑡−𝑟 𝑓 ) = lim e𝑏0 𝑟 𝜇𝑇¯𝑟 (ℎ−1𝑉𝑡−𝑟 𝑓 )

𝑟→0 𝑟→0
= lim 𝜇𝑇¯𝑟 (𝑈𝑡−𝑟 (ℎ−1 𝑓 )) = 𝜇(𝑈¯ 𝑡 (ℎ−1 𝑓 )).
𝑟→0
Then we obtain (8.38) for all 𝑓 ∈ 𝐵(𝐸) + by taking increasing limits. □
Theorem 8.22 The entrance law 𝐾 ∈ 𝒦 1 (𝑄) is infinitely divisible if and only if it
has the representation, for 𝑡 > 0 and 𝑓 ∈ 𝐵(𝐸) + ,
∫
𝐿 𝐾𝑡 ( 𝑓 ) = exp − 𝑆𝑡 (𝜅, 𝑓 ) − (1 − e−𝑆𝑡 (𝜈, 𝑓 ) )𝐹 (d𝜈) , (8.39)
𝒦 ( 𝑃) ◦
where 𝜅 ∈ 𝒦(𝑃) and 𝐹 (d𝜈) is a 𝜎-finite measure on the space 𝒦(𝑃) ◦ satisfying
∫ 1 ∫
d𝑠 𝜈𝑠 (1)𝐹 (d𝜈) < ∞. (8.40)
0 𝒦 ( 𝑃) ◦
Moreover, the entrance law 𝐾 ∈ 𝒦 1 (𝑄) defined by (8.39) has finite first-moments
given by, for 𝑡 > 0 and 𝑓 ∈ 𝐵(𝐸),
∫ ∫
𝜈( 𝑓 )𝐾𝑡 (d𝜈) = 𝑞 𝑡 (𝜅, 𝑓 ) + 𝑞 𝑡 (𝜈, 𝑓 )𝐹 (d𝜈), (8.41)
𝑀 (𝐸) 𝒦 ( 𝑃) ◦
where
∫ 𝑡
𝑞 𝑡 (𝜅, 𝑓 ) = 𝜅 𝑡 ( 𝑓 ) + 𝜅 𝑡−𝑠 ((𝛾 − 𝑏)𝜋 𝑠 𝑓 )d𝑠. (8.42)
0
Proof By Theorem 8.10 any entrance law 𝐾 ∈ 𝒦 1 (𝑄) corresponds to a probability

measure 𝐽 on 𝒦(𝑃) such that
∫ ∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp{−𝑆𝑡 (𝜇, 𝑓 )}𝐽 (d𝜇)
𝑀 (𝐸) 𝒦 ( 𝑃)
for every 𝑓 ∈ 𝐵(𝐸) + . Then by Lemma 8.21 there is a probability measure 𝐻 on

𝑇 ) such that
𝑀 (𝐸 𝐷
∫ ∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp{−𝜇(𝑈¯ 𝑡 (ℎ−1 𝑓 ))}𝐻 (d𝜇). (8.43)
𝑀 (𝐸) 𝑇)
𝑀 (𝐸𝐷
For any 𝑓¯ ∈ 𝐶 (𝐸 𝐷
𝑇 ) + we can use the above equality to see
∫ ∫
−𝜇 ( 𝑓¯) ¯
e 𝐻 (d𝜇) = lim e−𝜈 (ℎ 𝑓 ) 𝐾𝑡 (d𝜈). (8.44)
𝑇)
𝑀 (𝐸𝐷 𝑡→0 𝑀 (𝐸)
8.4 Kuznetsov Measures and Excursion Laws 221
Using (8.43) and (8.44) one can see 𝐾 is an infinitely divisible probability entrance
law if and only if 𝐻 is an infinitely divisible probability measure. In this case, we
have the representation
∫ ∫
−𝜇 ( 𝑓¯) 𝑇 ¯ −𝜈 ( 𝑓¯) 𝑇
e 𝐻 (d𝜇) = exp − 𝛾 𝐷 ( 𝑓 ) − 1−e 𝐺 𝐷 (d𝜈) ,
𝑀 (𝐸𝐷
𝑇) 𝑇 )◦
𝑀 (𝐸𝐷
where 𝛾 𝐷𝑇 ∈ 𝑀 (𝐸 𝑇 ) and [1 ∧ 𝜈(1)]𝐺 𝑇 (d𝜈) is a finite measure on 𝑀 (𝐸 𝑇 ) ◦ . Then

𝐷 𝐷 𝐷
(8.39) follows by (8.43) and another application of Lemma 8.21. By the calculations
in the proof of Theorem 8.10, we can differentiate both sides of (8.39) and use (8.8)
to obtain (8.41). By Corollary 8.7 one can show (8.40) is equivalent to (8.13). □
The theorem above gives a complete characterization of infinitely divisible en-

trance laws in 𝒦 1 (𝑄). This result also yields a representation for the entrance laws
for the restricted semigroup (𝑄 ◦𝑡 )𝑡 ≥0 . Indeed, by Corollary 8.4 and Theorem 8.22,
an entrance law 𝐻 ∈ 𝒦(𝑄 ◦ ) can always be represented as
∫
(1 − e−𝜈 ( 𝑓 ) )𝐻𝑡 (d𝜈)
𝑀 (𝐸) ◦ ∫
= 𝑆𝑡 (𝜅, 𝑓 ) + (1 − exp{−𝑆𝑡 (𝜈, 𝑓 )})𝐹 (d𝜈), (8.45)
𝒦 ( 𝑃) ◦
where 𝜅 ∈ 𝒦(𝑃) and 𝐹 (d𝜈) is a 𝜎-finite measure on 𝒦(𝑃) ◦ satisfying (8.40). By

Corollaries 5.33 and 8.5 we have the following:
Corollary 8.23 Suppose that Condition 5.31 holds with 𝜙∗′ (∞) = ∞. Then 𝐻 ∈
𝒦(𝑄 ◦ ) if and only if it is given by (8.45) for 𝜅 ∈ 𝒦(𝑃) and for a 𝜎-finite measure
𝐹 (d𝜇) on 𝒦(𝑃) ◦ satisfying (8.40).
8.4 Kuznetsov Measures and Excursion Laws
In this section, we prove some properties of the entrance rules and Kuznetsov mea-
sures associated with an MB-process, which bring useful insights into the structures
of the process. Let 𝐸 be a Lusin topological space. Let 𝑊ˆ denote the space of paths
𝑤 : [0, ∞) → 𝑀 (𝐸) such that 𝑤 𝑡 takes values in 𝑀 (𝐸) ◦ and is right continuous in
some interval (𝛼(𝑤), 𝜁 (𝑤)) or [𝛼(𝑤), 𝜁 (𝑤)) ⊂ [0, ∞) and takes the value 0 ∈ 𝑀 (𝐸)
elsewhere. We include in 𝑊ˆ the path [0] that takes the value 0 ∈ 𝑀 (𝐸) constantly
and understand 𝛼( [0]) = ∞ and 𝜁 ( [0]) = 0. We equip 𝑊ˆ with the natural 𝜎-algebras
𝒜 0 = 𝜎({𝑤(𝑠) : 𝑠 ≥ 0}) and 𝒜𝑡0 = 𝜎({𝑤(𝑠) : 0 ≤ 𝑠 ≤ 𝑡}) for 𝑡 ≥ 0.
Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroups of a Borel right MB-process in 𝑀 (𝐸).
Let (𝑉𝑡 )𝑡 ≥0 be the corresponding cumulant semigroup with canonical representation
(2.5). By Theorem A.41, an entrance rule 𝐻 = (𝐻𝑡 )𝑡 >0 for (𝑄 ◦𝑡 )𝑡 ≥0 determines a
Kuznetsov measure Q(𝐻, ·), which is the unique 𝜎-finite measure on (𝑊, ˆ 𝒜 0 ) such
that Q(𝐻, {[0]}) = 0 and
Q(𝐻, 𝑤 𝑡1 ∈ d𝜈1 , 𝑤 𝑡2 ∈ d𝜈2 , . . . , 𝑤 𝑡𝑛 ∈ d𝜈𝑛 )

= 𝐻𝑡1 (d𝜈1 )𝑄 ◦𝑡2 −𝑡1 (𝜈1 , d𝜈2 ) · · · 𝑄 ◦𝑡𝑛 −𝑡𝑛−1 (𝜈𝑛−1 , d𝜈𝑛 ) (8.46)
for every {𝑡 1 < · · · < 𝑡 𝑛 } ⊂ (0, ∞) and {𝜈1 , . . . , 𝜈𝑛 } ⊂ 𝑀 (𝐸) ◦ . Roughly speaking,
the above formula means that {𝑤 𝑡 : 𝑡 > 0} under Q(𝐻, ·) is a Markov process
in 𝑀 (𝐸) ◦ with transition semigroup (𝑄 ◦𝑡 )𝑡 ≥0 and one-dimensional distributions
{𝐻𝑡 : 𝑡 > 0}. If 𝐻 = (𝐻𝑡 )𝑡 >0 is an entrance law, then Q(𝐻, ·) is carried by
𝑊ˆ 0 := {𝑤 ∈ 𝑊ˆ : 𝛼(𝑤) = 0}. A more convenient formulation of the Markov property
(8.46) is given in the following:
Theorem 8.24 Let Q(𝐻, ·) be the Kuznetsov measure on 𝑊ˆ corresponding to the

entrance rule 𝐻 = (𝐻𝑡 )𝑡 >0 for (𝑄 ◦𝑡 )𝑡 ≥0 determined by (8.2). Let 𝑡 ≥ 𝑟 > 0 and let 𝐹
be a positive 𝒜𝑟0 -measurable function on 𝑊. ˆ Then for any 𝑓 ∈ 𝐵(𝐸) + we have
Q 𝐻, 𝐹 (1 − e−𝑤𝑡 ( 𝑓 ) ) = Q 𝐻, 𝐹 (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) )

+ 𝐹 ( [0]) 𝜂𝑟 (𝑉𝑡−𝑟 𝑓 ) − 𝜂𝑡 ( 𝑓 ) . (8.47)
Proof Step 1. By Theorem A.40, there is a Radon measure 𝜌(d𝑠) on [0, ∞) and a
countable set 𝑇 ⊂ (0, ∞) such that
∫ ∑︁
𝐻𝑡 = 𝐻𝑡𝑠 𝜌(d𝑠) + 𝐺 𝑡𝑠 , 𝑡 > 0,
[0,𝑡) 𝑠 ∈𝑇∩(0,𝑡 ]
where 𝐻 𝑠 = {𝐻𝑡𝑠 : 𝑡 > 𝑠} is an entrance laws at 𝑠 ≥ 0 and 𝐺 𝑠 = {𝐺 𝑡𝑠 : 𝑡 ≥ 𝑠} is a

closed entrance law at 𝑠 ∈ 𝑇. Accordingly, we have the decomposition
∫ ∑︁
Q(𝐻, d𝑤) = N𝑠 (d𝑤) 𝜌(d𝑠) + M𝑠 (d𝑤),
[0,𝑡) 𝑠 ∈𝑇∩(0,𝑡 ]
where N𝑠 is the Kuznetsov measure determined by the entrance law 𝐻 𝑠 and M𝑠 is

the Kuznetsov measure determined by the closed entrance law 𝐺 𝑠 .
Step 2. Let 0 ≤ 𝑟 1 ≤ 𝑟 2 ≤ · · · ≤ 𝑟 𝑛 ≤ 𝑟 ≤ 𝑠. For N𝑠 -a.e. 𝑤 ∈ 𝑊ˆ we have

𝑤 𝑟𝑖 = 0 = [0] 𝑟𝑖 , 𝑖 = 1, · · · , 𝑛. Then, for positive Borel functions 𝑔1 , . . . , 𝑔𝑛 on
𝑀 (𝐸),

N𝑠 𝑔1 (𝑤 𝑟1 ) · · · 𝑔𝑛 (𝑤 𝑟𝑛 ) = 𝑔1 ( [0] 𝑟1 ) · · · 𝑔𝑛 ( [0] 𝑟𝑛 ).
For any positive 𝒜𝑟0 -measurable function 𝐹 on 𝑊,ˆ by a monotone class argument
we infer N [𝐹 (𝑤)] = 𝐹 ( [0]). This implies further that N𝑠 [ℎ(𝐹 (𝑤))] = ℎ(𝐹 ( [0]))
𝑠
for any ℎ ∈ 𝐵[0, ∞) + , and so N𝑠 ({𝑤 ∈ 𝑊ˆ : 𝐹 (𝑤) ≠ 𝐹 ( [0])}) = 0. Similarly, one

can show M𝑠 ({𝑤 ∈ 𝑊ˆ : 𝐹 (𝑤) ≠ 𝐹 ( [0])}) = 0 for 𝑠 > 𝑟.
Step 3. Using the properties given in the two steps above, for any positive
𝒜𝑟0 -measurable function 𝐹 on 𝑊ˆ and any 𝑓 ∈ 𝐵(𝐸) + we have
Q 𝐻, 𝐹 (𝑤) (1 − e−𝑤𝑡 ( 𝑓 ) )

∫ ∑︁
N𝑠 𝐹 (𝑤) (1 − e−𝑤𝑡 ( 𝑓 ) ) 𝜌(d𝑠) + M𝑠 𝐹 (𝑤) (1 − e−𝑤𝑡 ( 𝑓 ) )

=
[0,𝑡) 𝑠 ∈𝑇∩(0,𝑡 ]
∫ ∫
N 𝐹 (𝑤) (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) ) 𝜌(d𝑠) + 𝐹 ( [0]) N𝑠 (1 − e−𝑤𝑡 ( 𝑓 ) ) 𝜌(d𝑠)
𝑠

=
[0,𝑟) [𝑟 ,𝑡)
∑︁ ∑︁
M𝑠 𝐹 (𝑤) (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) ) + 𝐹 ( [0]) M𝑠 (1 − e−𝑤𝑡 ( 𝑓 ) )

+
𝑠 ∈𝑇∩(0,𝑟 ] 𝑠 ∈𝑇∩(𝑟 ,𝑡 ]
∫
= Q 𝐻, 𝐹 (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) ) + 𝐹 ( [0]) N𝑠 (1 − e−𝑤𝑡 ( 𝑓 ) ) 𝜌(d𝑠)

[0,𝑡)
∫ ∑︁
−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 )
− 𝐹 ( [0]) 𝑠
N (1 − e ) 𝜌(d𝑠) + 𝐹 ( [0]) M𝑠 (1 − e−𝑤𝑡 ( 𝑓 ) )
[0,𝑟) 𝑠 ∈𝑇∩(0,𝑡 ]
∑︁
𝑠 −𝑤𝑟 (𝑉𝑡−𝑟 𝑓 )
− 𝐹 ( [0]) M (1 − e )
𝑠 ∈𝑇∩(0,𝑟 ]
∫
= Q 𝐻, 𝐹 (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) ) + 𝐹 ( [0]) (1 − e−𝜈 ( 𝑓 ) )𝐻𝑡 (d𝜈)

𝑀 (𝐸) ◦
∫
−𝜈 (𝑉𝑡−𝑟 𝑓 )
− 𝐹 ( [0]) (1 − e )𝐻𝑟 (d𝜈)
𝑀 (𝐸) ◦
∫

𝑀 (𝐸) ◦
∫
−𝜈 ( 𝑓 ) ◦
− 𝐹 ( [0]) (1 − e )𝐻𝑟 𝑄 𝑡−𝑟 (d𝜈)
𝑀 (𝐸) ◦
∫

𝑀 (𝐸) ◦
∫
− 𝐹 ( [0]) (1 − e−𝜈 (𝑉𝑡−𝑟 𝑓 ) )𝐻𝑟 (d𝜈)
𝑀 (𝐸) ◦
−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 )
= Q 𝐻, 𝐹 (1 − e ) + 𝐹 ( [0]) 𝜂𝑟 (𝑉𝑡−𝑟 𝑓 ) − 𝜂𝑡 ( 𝑓 ) ,
where we have used Theorem 8.2 for the last equality. □
Corollary 8.25 Let L(𝑥) = L(𝑥, ·) be the Kuznetsov measure corresponding to the
canonical entrance rule 𝐿(𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0} at 𝑥 ∈ 𝐸 defined by (2.5). Let
𝑡 ≥ 𝑟 > 0 and let 𝐹 be a positive 𝒜𝑟0 -measurable function on 𝑊. ˆ Then for any
L 𝑥, 𝐹 (1 − e−𝑤𝑡 ( 𝑓 ) ) = L 𝑥, 𝐹 (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) )

+ 𝐹 ( [0]) 𝜆𝑟 (𝑥, 𝑉𝑡−𝑟 𝑓 ) − 𝜆 𝑡 (𝑥, 𝑓 ) . (8.48)
Now let us consider the situation of a (𝜉, 𝜙)-superprocess, where 𝜉 is a Borel right
process in 𝐸 and 𝜙 is a branching mechanism given by (2.29) or (2.30). Let (𝑄 𝑡 )𝑡 ≥0
be the transition semigroups of the (𝜉, 𝜙)-superprocess defined by (2.35) and (2.36).
Let 𝛾(𝑥, d𝑦) be the kernel on 𝐸 defined by (2.31) and let (𝜋𝑡 )𝑡 ≥0 be the semigroup
defined by (2.38). If the underlying semigroup (𝑃𝑡 )𝑡 ≥0 is conservative, the function
(𝑠, 𝑥) ↦→ 𝜋 𝑠 1(𝑥) is bounded away from zero on [0, 𝑢] × 𝐸 for every 𝑢 > 0. In this
case, we fix a constant 𝑢 > 0 and define the conservative inhomogeneous transition
semigroup (𝑄 𝑟𝑢,𝑡 : 0 ≤ 𝑟 ≤ 𝑡 ≤ 𝑢) on 𝑀 (𝐸) ◦ by
𝑄 𝑟𝑢,𝑡 (𝜇, d𝜈) = 𝜇(𝜋𝑢−𝑟 1) −1 𝜈(𝜋𝑢−𝑡 1)𝑄 ◦𝑡−𝑟 (𝜇, d𝜈). (8.49)
For any 𝑎 > 0 let 𝒦 𝑎 (𝑄 𝑢 ) denote the class of finite entrance laws 𝐻 :=
(𝐻𝑡 : 0 < 𝑡 ≤ 𝑢) for (𝑄 𝑟𝑢,𝑡 : 0 ≤ 𝑟 ≤ 𝑡 ≤ 𝑢) satisfying 𝐻𝑡 (𝑀 (𝐸) ◦ ) = 𝑎 for
0 < 𝑡 ≤ 𝑢. Given any 𝐾 ∈ 𝒦(𝑄 ◦ ) we can let
∫
𝑎= 𝜈(1)𝐾𝑢 (d𝜈)
𝑀 (𝐸) ◦
and define 𝐻 𝑢 ∈ 𝒦 𝑎 (𝑄 𝑢 ) by
𝐻𝑡𝑢 (d𝜈) = 𝜈(𝜋𝑢−𝑡 1)𝐾𝑡 (d𝜈), 0 < 𝑡 ≤ 𝑢. (8.50)
Theorem 8.26 Let 𝑥 ∈ 𝐸𝐶 and let 𝐿(𝑥) = {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0} be the canonical
entrance law defined by (2.11). Then the corresponding Kuznetsov measure L(𝑥) =
L(𝑥, ·) is carried by 𝑊ˆ 0 and for L(𝑥)-a.e. 𝑤 ∈ 𝑊ˆ 0 we have 𝑤 𝑡 → 0 and 𝑤 𝑡 (1) −1 𝑤 𝑡 →
𝛿 𝑥 in 𝑀 (𝐸) as 𝑡 → 0.
Proof By the general construction given by formula (A.28) we know that L(𝑥) is
carried by 𝑊ˆ 0 . Recall that ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0 by Theorem A.53. We divide the
following arguments into four steps.
Step 1. We first assume the underlying semigroup (𝑃𝑡 )𝑡 ≥0 is conservative. For
fixed 𝑢 > 0 define 𝐻 𝑢 (𝑥) ∈ 𝒦 𝑎 (𝑄 𝑢 ) by (8.50) with 𝐾 replaced by 𝐿 (𝑥), where
𝑎 = 𝜋𝑢 1(𝑥). Then
Q𝑢 (𝑥, d𝑤) := 𝑎 −1 𝑤 𝑢 (1)L(𝑥, d𝑤) = 𝜋𝑢 1(𝑥) −1 𝑤 𝑢 (1)L(𝑥, d𝑤)
defines a probability measure on 𝑊ˆ 0 . Under this measure, the coordinate process

{𝑤 𝑡 : 0 < 𝑡 ≤ 𝑢} is Markovian with transition semigroup (𝑄 𝑟𝑢,𝑡 : 0 ≤ 𝑟 ≤ 𝑡 ≤ 𝑢)
and one-dimensional distributions (𝑎 −1 𝐻𝑡𝑢 (𝑥) : 0 < 𝑡 ≤ 𝑢). By Corollary 8.19,
𝐿 (𝑥) ∈ 𝒦 ∞ (𝑄 ◦ ) is a minimal entrance law. Then 𝐻 𝑢 (𝑥) ∈ 𝒦 𝑎 (𝑄 𝑢 ) is a minimal
entrance law. It follows that Q𝑢 (𝑥) is trivial on 𝒜0+ 0 ; see Dynkin (1978, p. 724) or
+
Sharpe (1988, p. 199). For any 𝑓 ∈ 𝐵(𝐸) we can use the martingale convergence
theorem to get Q𝑢 (𝑥)-a.s.
∫
1 − e−𝜈 ( 𝑓 ) 𝜈(1) −1 𝐻𝑢𝑢 (𝑥, d𝜈)

𝑉𝑢 𝑓 (𝑥) =
𝑀 (𝐸) ◦

= 𝜋𝑢 1(𝑥)Q𝑢 𝑥, 1 − e−𝑤𝑢 ( 𝑓 ) 𝑤 𝑢 (1) −1


= lim 𝜋𝑢 1(𝑥)Q𝑢 𝑥, 1 − e−𝑤𝑢 ( 𝑓 ) 𝑤 𝑢 (1) −1 𝒜𝑠0

𝑠→0 ∫
1 − e−𝜈 ( 𝑓 ) 𝜈(1) −1 𝑄 𝑢𝑠,𝑢 (𝑤 𝑠 , d𝜈)

= lim 𝜋𝑢 1(𝑥)
𝑠→0 𝑀 (𝐸) ◦
∫
−1
1 − e−𝜈 ( 𝑓 ) 𝑄 ◦𝑢−𝑠 (𝑤 𝑠 , d𝜈)

= lim 𝜋𝑢 1(𝑥)𝑤 𝑠 (𝜋𝑢−𝑠 1)
𝑠→0 𝑀 (𝐸) ◦
= lim 𝜋𝑢 1(𝑥)𝑤 𝑠 (𝜋𝑢−𝑠 1) −1 1 − e−𝑤𝑠 (𝑉𝑢−𝑠 𝑓 ) ,

(8.51)
𝑠→0
where we have used (8.49) for the second to last equality. Let 𝑊ˆ 𝑢 = {𝑤 ∈ 𝑊ˆ 0 :
𝑤 𝑢 (1) > 0}. Then Q𝑢 (𝑥, d𝑤) and L(𝑥, d𝑤) are absolutely continuous with respect
to each other on 𝑊ˆ 𝑢 . Observe also that 𝑊ˆ 𝑣 ⊂ 𝑊ˆ 𝑢 for any 𝑣 ≥ 𝑢. Then (8.51) holds
for L(𝑥)-a.e. 𝑤 ∈ 𝑊ˆ 𝑣 . Since (𝑃𝑡 )𝑡 ≥0 is conservative, (8.10) and (8.51) imply
+ ∥)𝑢
𝑉𝑢 𝑓 (𝑥) ≤ lim inf e𝑐0 𝑢 𝑤 𝑠 (𝜋𝑢−𝑠 1) −1 ≤ lim inf e (𝑐0 + ∥𝑏 𝑤 𝑠 (1) −1 .
𝑠→0 𝑠→0
Then letting 𝑢 → 0 and 𝑓 → ∞ we see 𝑤 𝑠 (1) → 0 as 𝑠 → 0 for L(𝑥)-a.e. 𝑤 ∈ 𝑊ˆ 𝑣 .

Since 𝑊ˆ 0 = ∪𝑣>0𝑊ˆ 𝑣 , we have 𝑤 𝑠 (1) → 0 as 𝑠 → 0 for L(𝑥)-a.e. 𝑤 ∈ 𝑊ˆ 0 .
Step 2. Let ℛ be a rational Ray cone for (𝑃𝑡 )𝑡 ≥0 that generates the Ray–Knight
completion 𝐸¯ of 𝐸. Recall that each 𝑓 ∈ ℛ can be extended uniquely to a function
𝑓¯ ∈ 𝐶 ( 𝐸)
¯ + . By a similar reasoning as in the first step, for any 𝑣 ≥ 𝑢 we have
∫
𝜋𝑢 𝑓 (𝑥) = 𝜈( 𝑓 )𝜈(1) −1 𝐻𝑢𝑢 (𝑥, d𝜈)
𝑀 (𝐸) ◦
= lim 𝜋𝑢 1(𝑥)𝑤 𝑠 (𝜋𝑢−𝑠 1) −1 𝑤 𝑠 (𝜋𝑢−𝑠 𝑓 ) (8.52)
𝑠→0
for L(𝑥)-a.e. 𝑤 ∈ 𝑊ˆ 𝑣 . Take any 𝑤 ∈ 𝑊ˆ 𝑣 along which the above relation holds for all
𝑓 ∈ ℛ and all rational 𝑢 ∈ (0, 𝑣]. Let 𝛼 = 𝛼( 𝑓 ) ≥ 0 be a constant such that 𝑓 ∈ ℛ
is 𝛼-excessive for (𝑃𝑡 )𝑡 ≥0 . By the proof of Corollary 2.34, there is a constant 𝛽 ≥ 𝛼
such that 𝜋𝑡 𝑓 ≤ e2𝛽𝑡 𝑓 for all 𝑡 ≥ 0. Then by (8.10) and (8.52) we can see
+ ∥+2𝛽)𝑢
𝜋𝑢 𝑓 (𝑥) ≤ lim inf e (𝑐0 − ∥𝑏 𝑤 𝑠 (1) −1 𝑤 𝑠 ( 𝑓 ) (8.53)
𝑠→0
and
+ ∥+𝑐 )𝑢
e2𝛽𝑢 𝑓 (𝑥) ≥ lim sup e−(2 ∥𝑏 0
𝑤 𝑠 (1) −1 𝑤 𝑠 (𝑃𝑢 𝑓 ), (8.54)
𝑠→0
where we have also used the relation 𝑃𝑢−𝑠 𝑓 ≥ e−𝛼𝑠 𝑃𝑢 𝑓 for the second inequality.
Step 3. Let 𝑠 𝑘 = 𝑠 𝑘 (𝑤) > 0 be any sequence such that 𝑠 𝑘 → 0 and 𝑤 𝑠𝑘 (1) −1 𝑤 𝑠𝑘 →
¯ as 𝑘 → ∞, where 𝑤ˆ 0 is a probability measure on 𝐸.
𝑤ˆ 0 in 𝑀 ( 𝐸) ¯ By (8.53) we have
+ ∥+2𝛽)𝑢
𝜋𝑢 𝑓 (𝑥) ≤ e (𝑐0 − ∥𝑏 𝑤ˆ 0 ( 𝑓¯).
Then letting 𝑢 → 0 gives 𝑓 (𝑥) ≤ 𝑤ˆ 0 ( 𝑓¯). Let (𝑈 𝛼 ) 𝛼>0 denote the resolvent of
(𝑃𝑡 )𝑡 ≥0 and let (𝑈¯ 𝛼 ) 𝛼>0 denote its Ray extension. By (8.54) for any 𝜃 > 2𝛽 we have
∫ ∞
(𝜃 − 2𝛽) −1 𝑓 (𝑥) = e−( 𝜃−2𝛽)𝑢 𝑓 (𝑥)d𝑢
∫0 ∞
+
≥ lim sup e−( 𝜃+2 ∥𝑏 ∥+𝑐0 )𝑢 𝑤 𝑠 (1) −1 𝑤 𝑠 ( 𝑃¯𝑢 𝑓 )d𝑢
0 𝑠→0
∫ ∞
+
≥ lim sup e−( 𝜃+2 ∥𝑏 ∥+𝑐0 )𝑢 𝑤 𝑠 (1) −1 𝑤 𝑠 ( 𝑃¯𝑢 𝑓 )d𝑢
𝑠→0 0
+
= lim sup 𝑤 𝑠 (1) −1 𝑤 𝑠 (𝑈¯ 𝜃+2 ∥𝑏 ∥+𝑐0 𝑓¯)
𝑠→0
+ ∥+𝑐
≥ 𝑤ˆ 0 (𝑈¯ 𝜃+2 ∥𝑏 0
𝑓¯).
Multiplying both sides of the above equality by 𝜃 and letting 𝜃 → ∞ we ob-

tain 𝑓 (𝑥) ≥ 𝑤ˆ 0 ( 𝑓¯). It follows that 𝑓 (𝑥) = 𝑤ˆ 0 ( 𝑓¯) and hence 𝑤ˆ 0 = 𝛿 𝑥 because
{ 𝑓¯1 − 𝑓¯2 : 𝑓1 , 𝑓2 ∈ ℛ} is uniformly dense in 𝐶 ( 𝐸). ¯ By standard arguments we infer
𝑤 𝑠 (1) −1 𝑤 𝑠 → 𝛿 𝑥 for L(𝑥)-a.e. 𝑤 ∈ 𝑊ˆ 𝑣 first in 𝑀 ( 𝐸) ¯ and then in 𝑀 (𝐸). Since 𝑣 > 0
was arbitrary, the theorem follows when (𝑃𝑡 )𝑡 ≥0 is conservative.
Step 4. For a non-conservative underlying semigroup (𝑃𝑡 )𝑡 ≥0 , we extend it to a
conservative semigroup ( 𝑃˜𝑡 )𝑡 ≥0 on the Lusin topological space 𝐸˜ := 𝐸 ∪ {𝜕} with
𝜕 being an isolated cemetery. Take a spatially constant local branching mechanism
𝜆 ↦→ 𝜙∗ (𝜆) satisfying 𝜙∗′ (∞) = ∞. For 𝑓˜ ∈ 𝐵( 𝐸) ˜ + let 𝜙(𝜕,
˜ 𝑓˜) = 𝜙∗ ( 𝑓˜(𝜕)) and let
˜ ˜ ˜
𝜙(𝑥, 𝑓 ) = 𝜙(𝑥, 𝑓 | 𝐸 ) if 𝑥 ∈ 𝐸. From those extensions we can use an analogue of
(2.36) to define the cumulant semigroup (𝑉˜𝑡 )𝑡 ≥0 , which can be represented by (2.5)
with (𝜆 𝑡 , 𝐿 𝑡 ) replaced by (𝜆˜ 𝑡 , 𝐿˜ 𝑡 ). If we extend the definition of 𝑓 ∈ 𝐵(𝐸) + to 𝐸˜ by
setting 𝑓 (𝜕) = 0, it is not hard to show 𝑉˜𝑡 𝑓 (𝑥) = 𝑉𝑡 𝑓 (𝑥) for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. Then
𝜆 𝑡 (𝑥, ·) = 𝜆˜ 𝑡 (𝑥, ·)| 𝐸 for 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. In particular, we have 𝜆˜ 𝑡 (𝑥, 𝐸) = 0 for
𝑡 > 0 and 𝑥 ∈ 𝐸𝐶 . Let (𝑣 𝑡 )𝑡 ≥0 be the cumulant semigroup of the CB-process with
branching mechanism 𝜆 ↦→ 𝜙∗ (𝜆), which admits the representation (3.15). Since 𝜕
is a cemetery for ( 𝑃˜𝑡 )𝑡 ≥0 , we have
∫ ∞
˜
˜ ˜ 1 − e−𝑢 𝑓 (𝜕) 𝑙 𝑡 (d𝑢), 𝑡 > 0, 𝑓˜ ∈ 𝐵( 𝐸) ˜ +.

𝑉𝑡 𝑓 (𝜕) =
0
˜ = 0 for 𝑡 > 0. For any 𝑡 > 0 and 𝑥 ∈ 𝐸𝐶 one can choose sufficiently
Thus 𝜆˜ 𝑡 (𝜕, 𝐸)
small 𝑟 > 0 and use Corollary 2.7 to see
∫
˜ =
𝜆˜ 𝑡 (𝑥, 𝐸) 𝜆˜ 𝑟 (𝑥, d𝑦) 𝜆˜ 𝑡−𝑟 (𝑦, 𝐸)
˜ = 0.
𝐸˜
It follows that
∫
˜
𝑉˜𝑡 𝑓˜(𝑥) = 1 − e−𝜈 ( 𝑓 ) 𝐿˜ 𝑡 (𝑥, d𝜈), ˜ +.
𝑓˜ ∈ 𝐵( 𝐸) (8.55)
˜ ◦
𝑀 ( 𝐸)
Let 𝑊˜ 0 be the space of right continuous paths 𝑡 ↦→ 𝑤˜ 𝑡 from (0, ∞) to 𝑀 ( 𝐸) ˜ having

˜
zero as a trap and let L̃(𝑥) = L̃(𝑥, ·) be the Kuznetsov measure on 𝑊0 corresponding
to the entrance law 𝐿˜ (𝑥) := { 𝐿˜ 𝑡 (𝑥, ·) : 𝑡 > 0} defined by (8.55). Then { 𝑤˜ 𝑡 | 𝐸 : 𝑡 > 0}
under L̃(𝑥) is equivalent to {𝑤 𝑡 : 𝑡 > 0} under L(𝑥). By Steps 1 and 3, for L̃(𝑥)-a.e.
𝑤˜ ∈ 𝑊˜ 0 we have lim𝑡→0 𝑤˜ 𝑡 ( 𝐸) ˜ = 0 and lim𝑡→0 𝑤˜ 𝑡 ( 𝐸) ˜ −1 𝑤˜ 𝑡 = 𝛿 𝑥 in 𝑀 ( 𝐸),˜ and
hence lim𝑡→0 𝑤˜ 𝑡 (𝐸) = 0 and

˜ −1 𝑤˜ 𝑡 ( 𝑓 )
𝑤˜ 𝑡 ( 𝐸)
lim 𝑤˜ 𝑡 (𝐸) −1 𝑤˜ 𝑡 ( 𝑓 ) = lim = 𝑓 (𝑥)
𝑡→0 𝑡→0 𝑤 ˜ −1 𝑤˜ 𝑡 (𝐸)
˜ 𝑡 ( 𝐸)
for any 𝑓 ∈ 𝐶 (𝐸). This proves the theorem. □

By Theorem 8.26, for any 𝑥 ∈ 𝐸𝐶 the Kuznetsov measure L(𝑥) is actually carried
by the paths 𝑤 ∈ 𝑊ˆ 0 satisfying 𝑤 𝑡 → 0 and 𝑤 𝑡 (1) −1 𝑤 𝑡 → 𝛿 𝑥 in 𝑀 (𝐸) as 𝑡 → 0.
We call those paths excursions starting at 𝑥 ∈ 𝐸𝐶 and call L(𝑥) an excursion law for
the (𝜉, 𝜙)-superprocess. The following theorem gives an alternate characterization
of the excursion law.
Theorem 8.27 Let 𝑡 > 0 and assume 𝜆 ∈ 𝑀 ( [0, 𝑡]) satisfies 𝜆({0}) = 0. For a
bounded positive Borel function (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) on [0, 𝑡] × 𝐸 let (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) be
the unique bounded positive solution of (5.26). Then for any 𝑥 ∈ 𝐸𝐶 we have
n ∫ 𝑡 o
L 𝑥, 1 − exp − 𝑤 𝑠 ( 𝑓𝑠 )𝜆(d𝑠) = 𝑢 0 (𝑥). (8.56)
0
Proof Let 𝜉 = (Ω, ℱ, ℱ𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) and 𝑋 = (𝑊, 𝒢, 𝒢𝑟 ,𝑡 , 𝑋𝑡 , Q𝑟 , 𝜇 ) be right con-

tinuous realizations of the underlying spatial motion and the (𝜉, 𝜙)-superprocess,
respectively, started from the arbitrary initial time 𝑟 ≥ 0. By the Markov property of
L(𝑥) and Theorem 5.15 we have
∫ 𝑡
L 𝑥, 1 − exp − 𝑤 𝑠 ( 𝑓𝑠 )𝜆(d𝑠)
0 ∫
= lim L 𝑥, 1 − exp − 𝑤 𝑠 ( 𝑓𝑠 )𝜆(d𝑠)
𝜀→0 [ 𝜀,𝑡
] ∫
= lim L 𝑥, Q 𝜀,𝑤 𝜀 1 − exp − 𝑋𝑠 ( 𝑓𝑠 )𝜆(d𝑠)
𝜀→0 [ 𝜀,𝑡 ]

= lim L 𝑥, 1 − exp − 𝑤 𝜀 (𝑢 𝜀 ) = lim 𝑣 0 (𝑥, 𝑢 𝜀 ), (8.57)
𝜀→0 𝜀→0
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is defined by (5.26) and (𝑟, 𝑥) ↦→ 𝑣 𝑟 (𝑥) = 𝑣 𝑟 (𝑥, 𝑢 𝜀 ) is defined
by
∫ 𝜀
𝑣 𝑟 (𝑥) + P𝑟 , 𝑥 [𝜙(𝜉 𝑠 , 𝑣 𝑠 )]d𝑠 = P𝑟 , 𝑥 𝑢 𝜀 (𝜉 𝜀 ). (8.58)
𝑟
Combining (5.26) and (8.58) gives

∫ 𝜀
𝑣 0 (𝑥, 𝑢 𝜀 ) = P0, 𝑥 𝑢 𝜀 (𝜉 𝜀 ) − P0, 𝑥 [𝜙(𝜉 𝑠 , 𝑣 𝑠 (·, 𝑢 𝜀 ))]d𝑠
∫ 0 ∫ 𝑡
= P0, 𝑥 P 𝜀, 𝜉 𝜀 𝑓𝑠 (𝜉 𝑠 )𝜆(d𝑠) − P0, 𝑥 P 𝜀, 𝜉𝜀 𝜙(𝜉 𝑠 , 𝑢 𝑠 )d𝑠
∫ 𝜀 [ 𝜀,𝑡 ] 𝜀
− P0, 𝑥 [𝜙(𝜉 𝑠 , 𝑣 𝑠 (·, 𝑢 𝜀 ))]d𝑠

0
∫ ∫ 𝑡
= P0, 𝑥 𝑓𝑠 (𝜉 𝑠 )𝜆(d𝑠) − P0, 𝑥 𝜙(𝜉 𝑠 , 𝑢 𝑠 )d𝑠
∫ [ 𝜀,𝑡 ] 𝜀
𝜀
− P0, 𝑥 [𝜙(𝜉 𝑠 , 𝑣 𝑠 (·, 𝑢 𝜀 ))]d𝑠,
0
which converges to 𝑢 0 (𝑥) as 𝜀 → 0. Then (8.56) follows from (8.57). □

Example 8.1 Suppose that 𝜆 ↦→ 𝜙(𝜆) is a branching mechanism given by (3.1)
satisfying 𝜙 ′ (∞) = ∞. By Theorem 3.14, the corresponding CB-process has
cumulant semigroup admitting the representation (3.15). Let 𝐷 0 [0, ∞) + be the
set of positive càdlàg paths {𝑤(𝑡) : 𝑡 ≥ 0} satisfying 𝑤(𝑡) = 𝑤(0) = 0 for
𝑡 ≥ inf{𝑠 > 0 : 𝑤(𝑠) = 0}. By Theorem 8.26, the entrance law (𝑙 𝑡 )𝑡 >0 defined
by (3.15) corresponds to an excursion law Q(𝑙, d𝑤) that can be identified as a
𝜎-finite measure on 𝐷 0 [0, ∞) + .
Example 8.2 Let 𝐸 be a complete separable metric space. Suppose that 𝜉 is a càdlàg
Borel right process in 𝐸 satisfying Condition 4.7. We shall construct a variation
of the 𝜉-Brownian snake. Let 𝑅 𝑎,𝑏 ((𝑢, 𝑦), d(𝑤, 𝑧)) be the kernel on 𝑆 defined as
in Section 4.2. Let 𝐶 [0, ∞) + denote the space of positive continuous functions on
[0, ∞) furnished with the topology of local uniform convergence. For 𝑔 ∈ 𝐶 [0, ∞) +
and (𝑤 0 , 𝑧0 ) ∈ 𝑆 satisfying 𝑔(0) = 𝑧0 let Q (𝑤 ,𝑧 ) denote the law on 𝑆 [0,∞) of
𝑔
0 0
the time-inhomogeneous Markov process started at (𝑤 0 , 𝑧0 ) whose transition kernel
from time 𝑟 ≥ 0 to time 𝑡 ≥ 𝑟 is
𝑅𝑚(𝑟 ,𝑡),𝑔 (𝑡) ((𝑢, 𝑦), d(𝑤, 𝑧)), 𝑔(𝑟) = 𝑦, (𝑢, 𝑦) ∈ 𝑆, (𝑤, 𝑧) ∈ 𝑆,
where 𝑚(𝑟, 𝑡) = inf 𝑟 ≤𝑠 ≤𝑡 𝑔(𝑠). Let n(d𝑔) denote Itô’s excursion law, which is the
Kuznetsov measure corresponding to the entrance law (A.31) for the absorbing-
barrier Brownian motion. We think of n(d𝑔) as a 𝜎-finite measure carried by the
set 𝐶0 [0, ∞) + of positive continuous paths {𝑔(𝑡) : 𝑡 ≥ 0} such that 𝑔(0) = 𝑔(𝑡) = 0
for every 𝑡 ≥ inf{𝑠 > 0 : 𝑔(𝑠) = 0}. For 𝑥 ∈ 𝐸 let N 𝑥 be the 𝜎-finite measure on
𝐶0 [0, ∞) + × 𝑆 [0,∞) defined by
𝑔
N 𝑥 (d𝑔, d(𝜂, 𝜁)) = n(d𝑔)Q (𝑤 (d(𝜂, 𝜁)), (8.59)
0 ,0)
where 𝑤 0 (𝑡) = 𝑥 for all 𝑡 ≥ 0. Roughly speaking, under N 𝑥 the process {(𝜂 𝑠 , 𝜁 𝑠 ) :
𝑠 ≥ 0} behaves as the 𝜉-Brownian snake. The only difference is that {𝜁 𝑠 : 𝑠 ≥ 0} is
distributed according to Itô’s excursion law. Let 𝜏0 (𝜁) = inf{𝑠 > 0 : 𝜁 𝑠 = 0} and let
{2𝑙 𝑠 (𝑦, 𝜁) : 𝑠 ≥ 0, 𝑦 ≥ 0} be the local time of {𝜁 𝑠 : 𝑠 ≥ 0}. For 𝑡 ≥ 0 we define the
measure 𝜈𝑡 (d𝑦) = 𝜈𝑡 (𝑔, 𝜂, 𝜁, d𝑦) on 𝐸 by
∫ 𝜏0 (𝜁 )
𝜈𝑡 ( 𝑓 ) = 𝑓 (𝜂 𝑠 (𝜁 𝑠 ))d𝑙 𝑠 (𝑡, 𝜁), 𝑓 ∈ 𝐶 (𝐸) + . (8.60)
0
Then {𝜈𝑡 : 𝑡 ≥ 0} is continuous in 𝑀 (𝐸). It was proved in Le Gall (1999, p. 63) that
∫ 𝜏0 (𝜁 )
1
𝜈𝑡 ( 𝑓 ) = lim 1 [𝑡 ,𝑡+𝜀 ] (𝜁 𝑠 ) 𝑓 (𝜂 𝑠 (𝜁 𝑠 ))d𝑠
𝜀→0 𝜀 0
8.5 Cluster Representations of the Process 229
in N 𝑥 -measure. Consequently, for any ℎ ∈ 𝐶 (R+ ) + with bounded support,

∫ ∞ ∞
∑︁ ∫ 𝜏0 (𝜁 )
ℎ(𝑡)𝜈𝑡 ( 𝑓 )d𝑡 = lim ℎ(𝑖/𝑘) 1 [𝑖/𝑘, (𝑖+1)/𝑘 ] (𝜁 𝑠 ) 𝑓 (𝜂 𝑠 (𝜁 𝑠 ))d𝑠
0 𝑘→∞ 0
𝑖=0
∫ 𝜏0 (𝜁 )
= ℎ(𝜁 𝑠 ) 𝑓 (𝜂 𝑠 (𝜁 𝑠 ))d𝑠.
0
From Proposition 3 of Le Gall (1999, p. 59) it follows that

n ∫ ∞ o
N 𝑥 1 − exp − ℎ(𝑡)𝜈𝑡 ( 𝑓 )d𝑡 = 𝑢 0 (𝑥),
0
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) solves the integral equation

∫ ∞ ∫ ∞
2

𝑢𝑟 (𝑥) + P𝑟 , 𝑥 𝑢 𝑠 (𝜉 𝑠 ) d𝑠 = P𝑟 , 𝑥 ℎ(𝑠) 𝑓 (𝜉 𝑠 ) d𝑠.
𝑟 𝑟
Thus {𝜈𝑡 : 𝑡 > 0} under N 𝑥 is distributed on 𝑊ˆ 0 according to the excursion law L(𝑥)
characterized by (8.56) for this (𝜉, 𝜙)-superprocess with binary local branching
mechanism 𝜙(𝑧) = 𝑧2 . This gives a representation of L(𝑥) using N 𝑥 . In view of
(8.60), the result of Theorem 8.26 is obviously true for the binary local branching. It
was pointed out in Le Gall (1999, p. 56) that N 𝑥 can be understood as an excursion
law of the 𝜉-Brownian snake from the state (𝑤 0 , 0).
8.5 Cluster Representations of the Process
In this section, we give some cluster representations for the MB-process in terms
of Poisson random measures based on Kuznetsov measures. Let (𝑄 𝑡 )𝑡 ≥0 be the
transition semigroups of a Borel right MB-process in 𝑀 (𝐸). Let (𝑉𝑡 )𝑡 ≥0 be the
corresponding cumulant semigroup with canonical representation (2.5). Let 𝑊ˆ and
𝑊ˆ 0 be defined as in Section 8.4. For 𝜇 ∈ 𝑀 (𝐸) let L(𝜇, ·) be the Kuznetsov measure
corresponding to the entrance rule 𝜇𝐿 := (𝜇𝐿 𝑡 )𝑡 >0 . Then we have
∫
L(𝜇, d𝑤) = 𝜇(d𝑥)L(𝑥, d𝑤), 𝑤 ∈ 𝑊ˆ .
𝐸
Let 𝑁 𝜇 (d𝑤) be a Poisson random measure on 𝑊ˆ with intensity L(𝜇, d𝑤). For 𝑡 ≥ 0
define
∫
𝜇
𝑋𝑡 = 𝜇𝜆 𝑡 + 𝑤 𝑡 𝑁 𝜇 (d𝑤) (8.61)
ˆ
𝑊
and 𝒢𝑡 = 𝜎({𝑁 𝜇 ( 𝐴 ∩ {𝛼 ≤ 𝑡}) : 𝐴 ∈ 𝒜𝑡0 }).

𝜇
𝜇 𝜇
Theorem 8.28 The pair {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} defined above is an MB-process with
𝜇
transition semigroup (𝑄 𝑡 )𝑡 ≥0 and initial value 𝑋0 = 𝜇.
𝜇
Proof It is easy to check that 𝑋𝑡 has distribution 𝑄 𝑡 (𝜇, ·) on 𝑀 (𝐸). In fact, by the
construction (8.61) for any 𝑓 ∈ 𝐵(𝐸) + we have
∫
𝜇 𝜇
P exp{−𝑋𝑡 ( 𝑓 )} = P exp − 𝜇𝜆 𝑡 ( 𝑓 ) − 𝑤 𝑡 ( 𝑓 )𝑁 (d𝑤)
∫ 𝑊ˆ
−𝑤𝑡 ( 𝑓 )
= exp − 𝜇𝜆 𝑡 ( 𝑓 ) − (1 − e )L(𝜇, d𝑤)
∫𝑊ˆ
1 − e−𝜈 ( 𝑓 ) 𝜇𝐿 𝑡 (d𝜈)

= exp − 𝜇𝜆 𝑡 ( 𝑓 ) −
𝑀 (𝐸) ◦

= exp − 𝜇(𝑉𝑡 𝑓 ) .
Let 𝑡 ≥ 𝑟 ≥ 0 and let 𝑤 ↦→ ℎ(𝑤) be a bounded positive function on 𝑊ˆ measurable

relative to 𝒜𝑟0 . Let ℎ𝑟 (𝑤) = ℎ(𝑤)1 { 𝛼(𝑤) ≤𝑟 } . It is easy to see that ℎ𝑟 ( [0]) = 0. Then
we use (8.48) to see
∫
𝜇 𝜇
P exp − ℎ𝑟 (𝑤)𝑁 (d𝑤) − 𝑋𝑡 ( 𝑓 )
𝑊ˆ
∫
𝜇
= P exp − 𝜇𝜆 𝑡 ( 𝑓 ) − [ℎ𝑟 (𝑤) + 𝑤 𝑡 ( 𝑓 )]𝑁 (d𝑤)
∫ 𝑊ˆ
= exp − 𝜇𝜆 𝑡 ( 𝑓 ) − (1 − e−ℎ𝑟 (𝑤)−𝑤𝑡 ( 𝑓 ) )L(𝜇, d𝑤)
∫𝑊ˆ
= exp − 𝜇𝜆 𝑡 ( 𝑓 ) − (1 − e−ℎ𝑟 (𝑤) )L(𝜇, d𝑤)
ˆ
𝑊
∫
−ℎ𝑟 (𝑤) −𝑤𝑡 ( 𝑓 )
− e (1 − e )L(𝜇, d𝑤)
𝑊ˆ
∫
= exp − 𝜇𝜆 𝑡 ( 𝑓 ) − (1 − e−ℎ𝑟 (𝑤) )L(𝜇, d𝑤)
∫ ˆ
𝑊
e−ℎ𝑟 ( [0]) 𝜆𝑟 (𝑥, 𝑉𝑡−𝑟 𝑓 ) − 𝜆 𝑡 (𝑥, 𝑓 ) 𝜇(d𝑥)

−
∫𝐸
− e−ℎ𝑟 (𝑤) (1 − e−𝑤𝑟 (𝑉𝑡−𝑟 𝑓 ) )L(𝜇, d𝑤)
𝑊ˆ
∫
= exp − 𝜇𝜆𝑟 (𝑉𝑡−𝑟 𝑓 ) − (1 − e−𝐺𝑟 ,𝑡 (𝑤) )L(𝜇, d𝑤)
𝑊ˆ
∫
𝜇
= P exp − 𝜇𝜆𝑟 (𝑉𝑡−𝑟 𝑓 ) − 𝐺 𝑟 ,𝑡 (𝑤)𝑁 (d𝑤)
𝑊 ˆ
∫
𝜇 𝜇
= P exp − ℎ𝑟 (𝑤)𝑁 (d𝑤) − 𝑋𝑟 (𝑉𝑡−𝑟 𝑓 ) ,
ˆ
𝑊
𝜇 𝜇
where 𝐺 𝑟 ,𝑡 (𝑤) = ℎ𝑟 (𝑤) + 𝑤 𝑟 (𝑉𝑡−𝑟 𝑓 ). Then {(𝑋𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a Markov process
with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . □
The point of the cluster representation (8.61) is that it gives a construction of

𝜇
the whole path of the MB-process {𝑋𝑡 : 𝑡 ≥ 0}. From the construction we see
that the trajectory of the MB-process is decomposed into two parts, the first part is
deterministic and the second part consists of countably many pieces selected by the
𝜇
Poisson random measure. For any 𝑡 > 0 let 𝑁𝑡 (d𝜈) be the image of 𝑁 𝜇 (d𝑤) under
the mapping 𝑤 ↦→ 𝑤 𝑡 . Then 𝑁𝑡 (d𝜈) is a Poisson random measure on 𝑀 (𝐸) ◦ with
𝜇
intensity 𝜇𝐿 𝑡 (d𝜈) and (8.61) implies

∫
𝜇 𝜇
𝑋𝑡 = 𝜇𝜆 𝑡 + 𝜈𝑁𝑡 (d𝜈). (8.62)
𝑀 (𝐸) ◦
𝜇
This gives a cluster representation of the random measure 𝑋𝑡 for 𝑡 > 0.
By slightly modifying the representation (8.61), we can construct an interesting
family of correlated MB-processes on one probability space. To this end, let us
fix a measure 𝜆 ∈ 𝑀 (𝐸). Let 𝑁 (d𝑥, d𝑤, d𝑢) be a Poisson random measure on
𝐸 × 𝑊ˆ × (0, ∞) with intensity 𝜆(d𝑥)L(𝑥, d𝑤)d𝑢. Suppose that 𝜇 ∈ 𝑀 (𝐸) is another
measure absolutely continuous relative to 𝜆 with Radon–Nikodym derivative 𝜇¤ =
d𝜇/d𝜆. For 𝑡 ≥ 0 let
∫ ∫ ∫ 𝜇¤ ( 𝑥)
𝜇
𝑋𝑡 = 𝜇𝜆 𝑡 + 𝑤 𝑡 𝑁 (d𝑥, d𝑤, d𝑢) (8.63)
𝐸 ˆ
𝑊 0
and let 𝒢𝑡 be the 𝜎-algebra generated by {𝑁 (𝐵× ( 𝐴∩{𝛼 ≤ 𝑡}) ×𝐶) : 𝐵 ∈ ℬ(𝐸), 𝐴 ∈
𝒜𝑡0 , 𝐶 ∈ ℬ(0, ∞)}.
𝜇
Theorem 8.29 The process 𝑋 𝜇 = {𝑋𝑡 : 𝑡 ≥ 0} defined above is an MB-process
𝜇
relative to {𝒢𝑡 : 𝑡 ≥ 0} with transition semigroup (𝑄 𝑡 )𝑡 ≥0 and initial value 𝑋0 = 𝜇.
Moreover, a different choice of the Radon–Nikodym derivative 𝜇¤ gives a modification
𝜇
of {𝑋𝑡 : 𝑡 ≥ 0}.
Proof The first assertion follows easily by a modification of the proof of Theo-
rem 8.28. Suppose that 𝜇¤ 0 is another representative of the Radon–Nikodym deriva-
tive d𝜇/d𝜆. Let 𝜇¤ 1 = 𝜇¤ ∧ 𝜇¤ 0 and 𝜇¤ 2 = 𝜇¤ ∨ 𝜇¤ 0 . For 𝑖 = 0, 1, 2 let
∫ ∫ ∫ 𝜇¤ 𝑖 ( 𝑥)
𝑋𝑡(𝑖) = 𝜇𝜆 𝑡 + 𝑤 𝑡 𝑁 (d𝑥, d𝑤, d𝑢), 𝑡 ≥ 0.
𝐸 ˆ
𝑊 0
Then each {𝑋𝑡(𝑖) : 𝑡 ≥ 0} is an MB-processes with transition semigroup (𝑄 𝑡 )𝑡 ≥0

(𝑖)
and initial value 𝑋0(𝑖) = 𝜇, and so P[e−𝑋𝑡 (1) ] = e−𝜇 (𝑉𝑡 1) . From the constructions
of the processes it is clear that 𝑋𝑡(1) ≤ 𝑋𝑡 ≤ 𝑋𝑡(2) and 𝑋𝑡(1) ≤ 𝑋𝑡(0) ≤ 𝑋𝑡(2) . Then
𝜇
𝜇 (𝑖)
{𝑋𝑡 : 𝑡 ≥ 0} and {𝑋𝑡 : 𝑡 ≥ 0}, 𝑖 = 0, 1, 2, are all modifications of each other. □
Let 𝑀𝜆 (𝐸) denote the subset of 𝑀 (𝐸) consisting of measures absolutely con-
tinuous relative to the measure 𝜆 ∈ 𝑀 (𝐸). It is not hard to show that the family of
MB-processes {𝑋 𝜇 : 𝜇 ∈ 𝑀𝜆 (𝐸)} constructed by (8.63) has the following proper-
ties:
• For 𝜇 ≤ 𝜈 ∈ 𝑀𝜆 (𝐸), the difference 𝑋 𝜈 − 𝑋 𝜇 = {𝑋𝑡𝜈 − 𝑋𝑡 : 𝑡 ≥ 0} is an

𝜇
𝜇
MB-process relative to {𝒢𝑡 : 𝑡 ≥ 0} with 𝑋0𝜈 − 𝑋0 = 𝜈 − 𝜇.
• For 𝜇1 ≤ 𝜈1 ≤ 𝜇2 ≤ 𝜈2 ∈ 𝑀𝜆 (𝐸), the processes 𝑋 𝜈1 − 𝑋 𝜇1 and 𝑋 𝜈2 − 𝑋 𝜇2 are
independent of each other.
We now turn to a (𝜉, 𝜙)-superprocess, where 𝜉 is a Borel right process in 𝐸 and 𝜙
is a branching mechanism given by (2.29) or (2.30). We assume Condition 5.31 holds
with 𝜙∗ satisfying Grey’s condition. By Corollary 5.33 the cumulant semigroup of
𝑔
the superprocess has representation (2.11). Let ( 𝑓 , 𝑔) ↦→ 𝑉𝑡 𝑓 be the operator from
+ + +
𝐵(𝐸) × 𝐵(𝐸) to 𝐵(𝐸) defined by
∫
𝜈(𝑔)e−𝜈 ( 𝑓 ) 𝐿 𝑡 (𝑥, d𝜈), 𝑥 ∈ 𝐸, 𝑓 , 𝑔 ∈ 𝐵(𝐸) + .
𝑔
𝑉𝑡 𝑓 (𝑥) = (8.64)
𝑀 (𝐸) ◦
By Propositions 2.26 and 2.29 we have

∫ 𝑡 ∫
𝑔 𝑔
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑔(𝑥) − d𝑠 𝜓(𝑦, 𝑉𝑠 𝑓 , 𝑉𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦), (8.65)
0 𝐸
where ( 𝑓 , 𝑔) ↦→ 𝜓(·, 𝑓 , 𝑔) is the operator from 𝐵(𝐸) + × 𝐵(𝐸) to 𝐵(𝐸) defined by

(2.59). In this situation, for any 𝜇 ∈ 𝑀 (𝐸) the family {𝜇𝐿 𝑡 : 𝑡 > 0} is an entrance
law for (𝑄 ◦𝑡 )𝑡 ≥0 .
As an application of the cluster representation (8.62), we prove the follow-
ing theorem on absolute continuities of the distributions associated with the
(𝜉, 𝜙)-superprocess:
Theorem 8.30 Suppose that Condition 5.31 holds with 𝜙∗ satisfying Grey’s condi-
tion. Then for any 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸) the following properties are equivalent:
(1) 𝜇1 𝜋𝑟 ≪ 𝜇2 𝜋𝑡 on 𝐸 for all 0 < 𝑟 ≤ 𝑡;
(2) 𝜇1 𝐿 𝑟 ≪ 𝜇2 𝐿 𝑡 on 𝑀 (𝐸) ◦ for all 0 < 𝑟 ≤ 𝑡;
(3) 𝑄 𝑟 (𝜇1 , ·) ≪ 𝑄 𝑡 (𝜇2 , ·) on 𝑀 (𝐸) for all 0 < 𝑟 ≤ 𝑡;
(4) Q 𝜇1 (𝑋𝑟+· ∈ ·) ≪ Q 𝜇2 (𝑋𝑡+· ∈ ·) on 𝑊ˆ 0 for all 0 < 𝑟 ≤ 𝑡.
Proof “(3) ⇔ (4)” The implication (4) ⇒ (3) is obvious. By the Markov property
we have ∫
Q 𝜇 (𝑋𝑟+· ∈ ·) = 𝑄 𝑟 (𝜇, d𝜈)Q𝜈 (𝑋· ∈ ·).
𝑀 (𝐸)
This gives the implication (3) ⇒ (4).

“(1) ⇒ (2)” Suppose that (1) holds. By Corollary 5.34, for 𝑡 > 0 we have
𝑓𝑡 := 𝐿 𝑡 (·, 1) ∈ 𝐵(𝐸) + and 𝜇𝜆 𝑡 = 0 in (8.62). Then, for any 𝐹 ∈ ℬ(𝑀 (𝐸) ◦ ),
𝑄 𝑡 (𝜇, 𝐹) ≥ P 𝑋𝑡 ∈ 𝐹, 𝑁𝑡 (1) = 1 = e−𝜇 ( 𝑓𝑡 ) 𝜇𝐿 𝑡 (𝐹).

𝜇 𝜇
(8.66)
Take 0 < 𝑢 < 𝑟 ≤ 𝑡. From (8.66)) we have

∫ ∫
𝜇2 𝐿 𝑡 = 𝑄 𝑢◦ (𝜇, ·)𝜇2 𝐿 𝑡−𝑢 (d𝜇) ≥ e−𝜇 ( 𝑓𝑢 ) 𝜇𝐿 𝑢 (·)𝜇2 𝐿 𝑡−𝑢 (d𝜇).
𝑀 (𝐸) ◦ 𝑀 (𝐸) ◦
Suppose that 𝜇2 𝐿 𝑡 (𝐹) = 0 for 𝐹 ∈ ℬ(𝑀 (𝐸) ◦ ). By the above relation we have
∫ ∫ ∫
0= 𝜇2 𝐿 𝑡−𝑢 (d𝜇) 𝜇(d𝑥)𝐿 𝑢 (𝑥, 𝐹) = 𝜇2 𝜋𝑡−𝑢 (d𝑥)𝐿 𝑢 (𝑥, 𝐹).
𝑀 (𝐸) ◦ 𝐸 𝐸
Then 𝐿 𝑢 (𝑥, 𝐹) = 0 for 𝜇2 𝜋𝑡−𝑢 -a.a. 𝑥 ∈ 𝐸 and property (1) implies 𝐿 𝑢 (𝑥, 𝐹) = 0 for
𝜇1 𝜋𝑟−𝑢 -a.a. 𝑥 ∈ 𝐸. A reversion of the above steps yields
∫ ∫ ∫
0= 𝜇1 𝜋𝑡−𝑢 (d𝑥)𝐿 𝑢 (𝑥, 𝐹) = 𝜇1 𝐿 𝑟−𝑢 (d𝜇) 𝜇(d𝑥)𝐿 𝑢 (𝑥, 𝐹)
𝐸 𝑀 (𝐸) ◦ 𝐸
and, consequently,
∫
0= e−𝜇 ( 𝑓𝑢 ) 𝜇𝐿 𝑢 (𝐹)𝜇1 𝐿 𝑟−𝑢 (d𝜇)
∫𝑀 (𝐸) ◦
𝜇 𝜇
= P 𝑋𝑢 ∈ 𝐹, 𝑁𝑢 (1) = 1 𝜇1 𝐿 𝑟−𝑢 (d𝜇)
∫𝑀 (𝐸) ◦
𝜇 𝜇
≥ P 𝑋𝑢 ∈ 𝐹 − P 𝑁𝑢 (1) ≥ 2 𝜇1 𝐿 𝑟−𝑢 (d𝜇)
𝑀 (𝐸) ◦ ∫
𝜇
= 𝜇1 𝐿 𝑟 (𝐹) − P 𝑁𝑢 (1) ≥ 2 𝜇1 𝐿 𝑟−𝑢 (d𝜇), (8.67)
𝑀 (𝐸) ◦
𝜇 𝜇
where for the inequality we have used the fact that 𝑋𝑢 ∈ 𝐹 implies 𝑁𝑢 (1) ≥ 1. From
(2.11), (2.36) and (8.65) we see that the last term on the right-hand side of (8.67) is
equal to
∫
1 − e−𝜇 ( 𝑓𝑢 ) − 𝜇( 𝑓𝑢 )e−𝜇 ( 𝑓𝑢 ) 𝜇1 𝐿 𝑟−𝑢 (d𝜇)

𝑀 (𝐸) ◦ ∫
= 𝜇1 (𝑉𝑟−𝑢 𝑓𝑢 ) − 𝜇( 𝑓𝑢 )e−𝜇 ( 𝑓𝑢 ) 𝐿 𝑟−𝑢 (𝜇1 , d𝜇)
𝑀 (𝐸) ◦
∫ 𝑟−𝑢 ∫
𝑓
= 𝑑𝑠 𝜓(𝑦, 𝑉𝑠 𝑓𝑢 , 𝑉𝑠 𝑢 𝑓𝑢 )𝜇1 𝑃𝑡−𝑠 (d𝑦)
0 ∫ 𝐸 ∫
𝑟−𝑢
− 𝑑𝑠 𝜙(𝑦, 𝑉𝑠 𝑓𝑢 (𝑦))𝜇1 𝑃𝑡−𝑠 (d𝑦).
0 𝐸
It is elementary to see that the right-hand side of the equation above tends to zero as
𝑢 → 𝑟. By (8.67) we conclude 𝐿 𝑟 (𝜇1 , 𝐹) = 0.
“(2) ⇒ (3)” By the cluster decomposition of the superprocess we see that 𝑄 𝑟 (𝜇1 , ·)
Í 𝜂1 1 Í 𝜂2 2
and 𝑄 𝑡 (𝜇2 , ·) are the laws of 𝑖=1 𝜈𝑖 and 𝑖=1 𝜈𝑖 , respectively, where 𝜂1 and 𝜂2 are
Poissonian random variables with means 𝐿 𝑟 (𝜇1 , 1) and 𝐿 𝑡 (𝜇2 , 1), respectively, and
{𝜈𝑖1 : 𝑖 ≥ 1} and {𝜈𝑖2 : 𝑖 ≥ 1} are i.i.d. sequences with laws 𝜇1 ( 𝑓𝑟 ) −1 𝜇1 𝐿 𝑟 and
𝜇2 ( 𝑓𝑡 ) −1 𝜇2 𝐿 𝑡 , respectively. Clearly, (2) implies the 𝑛-fold product of 𝜇1 ( 𝑓𝑟 ) −1 𝜇1 𝐿 𝑟
is absolutely continuous with respect to that of 𝜇2 ( 𝑓𝑡 ) −1 𝜇2 𝐿 𝑡 . Therefore we can sum
over the values of 𝜂1 and 𝜂2 to obtain 𝑄 𝑟 (𝜇1 , ·) ≪ 𝑄 𝑡 (𝜇2 , ·) as required.
“(3) ⇒ (1)” This follows immediately from (2.53). □
Corollary 8.31 For a local branching mechanism 𝜙 give by (2.49), the properties in
Theorem 8.30 equivalent to: (5) 𝜇1 𝑃𝑟 ≪ 𝜇2 𝑃𝑡 on 𝐸 for all 0 < 𝑟 ≤ 𝑡.
Proof For the local branching mechanism we have 𝜋𝑡 = 𝑃𝑡𝑏 for 𝑡 ≥ 0, which implies
that 𝜋𝑡 (𝑥, d𝑦) and 𝑃𝑡 (𝑥, d𝑦) are absolutely continuous with respect to each other for
every 𝑥 ∈ 𝐸. Then the result is obvious. □
Example 8.3 Let us continue the discussion in Example 8.2. Suppose that 𝜇 ∈ 𝑀 (𝐸)
and 𝑁 (d𝑥, d𝑔, d(𝜂, 𝜁)) is a Poisson random measure on 𝐸 × 𝐶0 [0, ∞) + × 𝑆 [0,∞) with
intensity 𝜇(d𝑥)N 𝑥 (d𝑔, d(𝜂, 𝜁)). Let 𝜈𝑡 = 𝜈𝑡 (𝑔, 𝜂, 𝜁) be given by (8.60) and define
the measure-valued process {𝑋𝑡 : 𝑡 ≥ 0} by 𝑋0 = 𝜇 and
∫ ∫ ∫
𝑋𝑡 = 𝜈𝑡 𝑁 (d𝑥, d𝑔, d(𝜂, 𝜁)), 𝑡 > 0. (8.68)
𝐸 𝐶0 [0,∞) + 𝑆 [0,∞)
Then {𝑋𝑡 : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess with local branching mechanism 𝜙(𝑧) =

𝑧2 ; see Le Gall (1999, pp. 61–62). This follows from Theorem 8.28 and the fact
that {𝜈𝑡 : 𝑡 > 0} is distributed under N 𝑥 according to the excursion law L(𝑥) of the
(𝜉, 𝜙)-superprocess. Let {(𝑥 𝑖 , 𝑔𝑖 , (𝜂𝑖 , 𝜁 𝑖 )) : 𝑖 = 1, 2, . . .} be the countable support
of 𝑁 (d𝑥, d𝑔, d(𝜂, 𝜁)). Let
𝑇 = sup{𝑡 ≥ 0 : 𝑋𝑡 > 0} = inf{𝑡 ≥ 0 : 𝑋𝑡 = 0}
denote the extinction time of {𝑋𝑡 : 𝑡 ≥ 0}. Then there is a unique label 𝑘 ≥ 1 such
that
𝑇= sup 𝜁 𝑘 (𝑠) = sup sup 𝜁 𝑖 (𝑠).

0≤𝑠 ≤𝜏0 (𝜁 𝑘 ) 𝑖 ≥1 0≤𝑠 ≤𝜏0 (𝜁 𝑖 )
Let 𝜎 be the unique value in [0, 𝜏0 (𝜁 𝑘 )] such that 𝜁 𝑘 (𝜎) = 𝑇. It is easy to see that
lim 𝑋𝑡 (1) −1 𝑋𝑡 = 𝛿 𝜂 𝜎𝑘 (𝑇) .

𝑡 ↑𝑇
This gives a description of the behavior of the superprocess near its extinction time.
8.6 Super-Absorbing-Barrier Brownian Motions
We first consider a bounded domain 𝐸 in the Euclidean space R𝑑 with twice continu-
ously differentiable boundary 𝜕𝐸. Let 𝜉 be an absorbing-barrier Brownian motion in
𝐸. Let (𝑃𝑡 )𝑡 ≥0 denote the transition semigroup of 𝜉. It is well known that 𝑃𝑡 (𝑥, d𝑦)
has a density 𝑝 𝑡 (𝑥, 𝑦) for 𝑡 > 0, which is the fundamental solution of the heat
equation on 𝐸 with Dirichlet boundary condition. Moreover, 𝑝 𝑡 (𝑥, 𝑦) = 𝑝 𝑡 (𝑦, 𝑥) is
continuously differentiable in 𝑥 and 𝑦 to the boundary 𝜕𝐸; see, e.g., Friedman (1964,
p. 83). We shall use 𝜕𝑧 to denote the operator of inward normal differentiation at
𝑧 ∈ 𝜕𝐸. Clearly,
8.6 Super-Absorbing-Barrier Brownian Motions 235
∫ 1
ℎ(𝑥) = 𝑃𝑠 1(𝑥)d𝑠, 𝑥∈𝐸 (8.69)
0
defines a bounded strictly positive excessive function for (𝑃𝑡 )𝑡 ≥0 and ℎ(𝑥) → 0 as
𝑥 → 𝑧 ∈ 𝜕𝐸. Let 𝑀ℎ (𝐸) denote the set of 𝜎-finite measures 𝜇 on 𝐸 such that
𝜇(ℎ) < ∞.
Lemma 8.32 The function ℎ is continuously differentiable to the boundary and
𝑧 ↦→ 𝜕𝑧 ℎ is bounded above and bounded away from zero on 𝜕𝐸.
Proof We only give the proof for 𝑑 ≥ 2 since the result for 𝑑 = 1 is well known.
We shall use superscripts to indicate the dependence of the objects on the domain
𝐸. The arguments consist of three steps.
Step 1. By Friedman (1964, p. 83) and the dominated convergence theorem it is
easy to see that ℎ is continuously differentiable to the boundary and
∫ 1 ∫ 1 ∫
𝜕𝑧 ℎ 𝐸 = 𝜕𝑧 𝑃𝑠 1d𝑠 = d𝑠 𝜕𝑧 𝑝 𝑠𝐸 (·, 𝑥)d𝑥, 𝑧 ∈ 𝜕𝐸. (8.70)
0 0 𝐸
Let (ℱ𝑡 , 𝜉 (𝑡), P 𝑥 ) be a standard Brownian motion on R𝑑 and let 𝜏𝐸 𝑐 denote its hitting
time of 𝐸 𝑐 . For 𝑥 ∈ 𝐸 we have P 𝑥 -a.s. 𝜉 (𝜏𝐸 𝑐 ) ∈ 𝜕𝐸 and
𝜕𝑧 𝑝 𝑠𝐸 (·, 𝑥)d𝑠𝜎(d𝑧) = 𝜕𝑧 𝑝 𝑠𝐸 (𝑥, ·)d𝑠𝜎(d𝑧) = 2P 𝑥 {𝜏𝐸 𝑐 ∈ d𝑠, 𝜉 (𝜏𝐸 𝑐 ) ∈ d𝑧},
where 𝜎(d𝑧) is the volume element on 𝜕𝐸; see, e.g., Hsu (1986, p. 110). Since 𝐸 is
bounded, integrating both sides of the equality above and using (8.70) we see that
∫ ∫
𝐸
0< 𝜕𝑧 ℎ 𝜎(d𝑧) = 2 P 𝑥 {𝜏𝐸 𝑐 ≤ 1}d𝑥 < ∞. (8.71)
𝜕𝐸 𝐸
Step 2. For 𝑤 ∈ R𝑑 and 𝑟 > 0 let 𝐵 𝑤 (𝑟) = {𝑥 ∈ R𝑑 : |𝑥 − 𝑤| < 𝑟}. By (8.70),

(8.71) and the spatial homogeneity and symmetry of the Brownian motion, there
is a constant 0 < 𝑐(𝑟) < ∞ such that 𝜕𝑧 ℎ 𝐵𝑤 (𝑟) = 𝑐(𝑟) for every 𝑧 ∈ 𝜕𝐵 𝑤 (𝑟).
Consequently, the theorem holds for 𝐸 = 𝐵 𝑤 (𝑟). In the general case, the smoothness
of the boundary 𝜕𝐸 implies the existence of a constant 𝑟 > 0 such that for each
𝑧 ∈ 𝜕𝐸 there exists a 𝑤 ∈ 𝐸 such that |𝑤 − 𝑧| = 𝑟 and 𝐵 𝑤 (𝑟) ⊂ 𝐸. Then using the
absorbing-barrier Brownian motion we have
𝑝 𝑠𝐸 (𝑥, 𝑦)d𝑦 = P 𝑥 {𝜏𝐸 𝑐 > 𝑠, 𝜉 (𝑠) ∈ 𝑑𝑦}

≥ P 𝑥 {𝜏𝐵𝑤 (𝑟) 𝑐 > 𝑠, 𝜉 (𝑠) ∈ 𝑑𝑦}
= 𝑝 𝑠𝐵𝑤 (𝑟) (𝑥, 𝑦)d𝑦
for every 𝑠 > 0 and 𝑥, 𝑦 ∈ 𝐵 𝑤 (𝑟). It follows that 𝜕𝑧 𝑝 𝑠𝐸 (·, 𝑦) ≥ 𝜕𝑧 𝑝 𝑠𝐵𝑤 (𝑟) (·, 𝑦) for
every 𝑠 > 0 and 𝑦 ∈ 𝐵 𝑤 (𝑟). In view of (8.70) we have 𝜕𝑧 ℎ 𝐸 ≥ 𝜕𝑧 ℎ 𝐵𝑤 (𝑟) = 𝑐(𝑟).
Then 𝜕𝑧 ℎ 𝐸 is bounded away from zero.
Step 3. For 𝑤 ∈ R𝑑 and 0 < 𝑟 < 𝜌 < ∞ let 𝐵 𝑤 (𝑟, 𝜌) = {𝑥 ∈ R𝑑 : 𝑟 < |𝑥 − 𝑤| <
𝜌}. By the spatial homogeneity and symmetry of the Brownian motion, there are
constants 0 < 𝛼(𝑟, 𝜌), 𝛽(𝑟, 𝜌) < ∞ such that

𝛼(𝑟, 𝜌) if |𝑧 − 𝑤| = 𝑟,
𝜕𝑧 ℎ 𝐵𝑤 (𝑟 ,𝜌) =
𝛽(𝑟, 𝜌) if |𝑧 − 𝑤| = 𝜌.
We can find constants 0 < 𝑟 < 𝜌 < ∞ such that for each 𝑧 ∈ 𝜕𝐸 there exists a
𝑤 ∈ 𝐸 𝑐 satisfying |𝑤 − 𝑧| = 𝑟 and 𝐵 𝑤 (𝑟, 𝜌) ⊃ 𝐸. By a comparison argument as in
Step 2 we get 𝜕𝑧 ℎ 𝐸 ≤ 𝜕𝑧 ℎ 𝐵𝑤 (𝑟 ,𝜌) = 𝛼(𝑟, 𝜌). □
Theorem 8.33 For any 𝜇 ∈ 𝑀ℎ (𝐸) and 𝜂 ∈ 𝑀 (𝜕𝐸), we can define an entrance law
𝜅 ∈ 𝒦(𝑃) by
∫
𝜅 𝑡 ( 𝑓 ) = 𝜇(𝑃𝑡 𝑓 ) + 𝜕𝑧 𝑃𝑡 𝑓 𝜂(d𝑧), 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸). (8.72)
𝜕𝐸
Moreover, every 𝜅 ∈ 𝒦(𝑃) has the representation (8.72) for some 𝜇 ∈ 𝑀ℎ (𝐸) and
𝜂 ∈ 𝑀 (𝜕𝐸).
Proof If 𝜅 = (𝜅 𝑡 )𝑡 >0 is given by (8.72), then clearly 𝜅 ∈ 𝒦(𝑃). For the converse,
suppose that 𝜅 ∈ 𝒦(𝑃). Let (𝑇𝑡 )𝑡 ≥0 be the ℎ-transform of Doob defined from (𝑃𝑡 )𝑡 ≥0
and the function (8.69) and let 𝛾 = (𝛾𝑡 )𝑡 >0 be the bounded entrance law for (𝑇𝑡 )𝑡 ≥0
defined by 𝛾𝑡 ( 𝑓 ) = 𝜅 𝑡 (ℎ 𝑓 ) for 𝑡 > 0 and 𝑓 ∈ 𝐶 (𝐸). By the smoothness of the
transition density 𝑝 𝑡 (𝑥, 𝑦), we can extend (𝑇𝑡 )𝑡 ≥0 to a transition semigroup (𝑇¯𝑡 )𝑡 ≥0
on 𝐸¯ := 𝐸 ∪ 𝜕𝐸 by letting 𝑇¯0 𝑓¯ ≡ 𝑓¯ and
ℎ(𝑥) −1 𝑃𝑡 (ℎ 𝑓 ) (𝑥)

if 𝑥 ∈ 𝐸,
𝑇¯𝑡 𝑓¯(𝑥) = (8.73)
(𝜕𝑥 ℎ) −1 𝜕𝑥 𝑃𝑡 (ℎ 𝑓 ) if 𝑥 ∈ 𝜕𝐸
¯ and 𝑓 = 𝑓¯| 𝐸 . Here 𝑇¯𝑡 maps 𝐶 ( 𝐸)

for 𝑡 > 0, where 𝑓¯ ∈ 𝐶 ( 𝐸) ¯ to itself. Moreover,
¯ ¯ ¯
since 𝐸 is compact, it is easy to show that 𝑡 ↦→ 𝑇𝑡 𝑓 is strongly continuous. By
Theorem 1.14, the family (𝛾𝑡 )𝑡 >0 is relatively compact if we regard them as measures
on 𝐸.¯ Choosing a sequence 𝑟 𝑛 → 0 such that 𝛾𝑟𝑛 converges weakly to some 𝛾0 ∈
¯ as 𝑛 → ∞ we get
𝑀 ( 𝐸)
𝛾𝑡 ( 𝑓 ) = lim 𝛾𝑟𝑛 (𝑇¯𝑡−𝑟𝑛 𝑓 ) = lim 𝛾𝑟𝑛 (𝑇¯𝑡 𝑓 ) = 𝛾0 (𝑇¯𝑡 𝑓 ),

𝑛→∞ 𝑛→∞
and hence
∫ ∫
𝜅𝑡 ( 𝑓 ) = ℎ(𝑥) −1 𝑃𝑡 𝑓 (𝑥)𝛾0 (d𝑥) + (𝜕𝑥 ℎ) −1 𝜕𝑥 𝑃𝑡 𝑓 𝛾0 (d𝑥).
𝐸 𝜕𝐸
Then (8.72) follows with 𝜇(d𝑥) = ℎ(𝑥) −1 𝛾0 (d𝑥) and 𝜂(d𝑥) = (𝜕𝑥 ℎ) −1 𝛾0 (d𝑥). The
extension to 𝑓 ∈ 𝐵(𝐸) is immediate. □
Let 𝜙 be a branching mechanism on 𝐸 given by (2.29) or (2.30) and let (𝑄 𝑡 )𝑡 ≥0

be the transition semigroup of the super-absorbing-barrier Brownian motion defined
by (2.35) and (2.36). For the entrance law 𝜅 ∈ 𝒦(𝑃) given by (8.72) we have
∫
𝑆𝑡 (𝜅, 𝑓 ) = 𝜇(𝑉𝑡 𝑓 ) + 𝜕𝑧 𝑉𝑡 𝑓 𝜂(d𝑧), 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸) + .
𝜕𝐸
8.6 Super-Absorbing-Barrier Brownian Motions 237
Then Theorems 8.10 and 8.35 imply the following:
Theorem 8.34 For any 𝜇 ∈ 𝑀ℎ (𝐸) and 𝜂 ∈ 𝑀 (𝜕𝐸), we can define an entrance law
𝐾 ∈ 𝒦𝑚1 (𝑄) by
∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 ) − 𝜂(𝜕· 𝑉𝑡 𝑓 )}. (8.74)
𝑀 (𝐸)
Moreover, every 𝐾 ∈ 𝒦𝑚1 (𝑄) has the representation (8.74) for 𝜇 ∈ 𝑀ℎ (𝐸) and
𝜂 ∈ 𝑀 (𝜕𝐸).
The above theorem gives a complete characterization of minimal probability en-

trance laws for the super-absorbing-barrier Brownian motion. Using Theorems 8.22
and 8.35 we can also give a characterization of its infinitely divisible probability
entrance laws. These results can be extended to some unbounded domains. For sim-
plicity we only discuss briefly the extensions to the positive half line 𝐸 0 := (0, ∞).
In the remainder of this section, let (𝑃𝑡 )𝑡 ≥0 be the transition semigroup of the
absorbing-barrier Brownian motion in 𝐸 0 given by (A.29) and (A.30). In this case,
the function 𝑥 ↦→ ℎ(𝑥) defined by (8.69) is a smooth function on 𝐸 0 with ℎ(0+) = 0.
Theorem 8.35 For any 𝜇 ∈ 𝑀ℎ (𝐸 0 ) and any 𝛼 ≥ 0, we can define an entrance law
𝜅 ∈ 𝒦(𝑃) by
𝜅 𝑡 ( 𝑓 ) = 𝜇(𝑃𝑡 𝑓 ) + 𝛼𝜕0 𝑃𝑡 𝑓 , 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸 0 ). (8.75)
Moreover, every 𝜅 ∈ 𝒦(𝑃) has the representation (8.75) with 𝜇 ∈ 𝑀ℎ (𝐸 0 ) and

𝛼 ≥ 0.
Proof The proof is very similar to that of Theorem 8.33, so we only describe
the difference. It suffices to prove each 𝜅 ∈ 𝒦(𝑃) has the representation (8.75).
Let (𝑇𝑡 )𝑡 ≥0 and its bounded entrance law (𝛾𝑡 )𝑡 >0 be defined as in the proof of
Theorem 8.33. By the smoothness of 𝑝 𝑡 (𝑥, 𝑦), we now extend (𝑇𝑡 )𝑡 ≥0 to a strongly
continuous transition semigroup (𝑇¯𝑡 )𝑡 ≥0 on 𝐸¯ 0 := [0, ∞] by letting 𝑇¯0 𝑓¯ ≡ 𝑓¯ and
 ℎ(𝑥) −1 𝑃𝑡 (ℎ 𝑓 ) (𝑥)
 if 0 < 𝑥 < ∞,


𝑇¯𝑡 𝑓¯(𝑥) = (𝜕0 ℎ) −1 𝜕0 𝑃𝑡 (ℎ 𝑓 ) if 𝑥 = 0, (8.76)
 ¯
 𝑓 (∞) if 𝑥 = ∞

for 𝑡 > 0, where 𝑓¯ ∈ 𝐶 ( 𝐸¯ 0 ) and 𝑓 = 𝑓¯| 𝐸0 . Then 𝛾𝑡 ( 𝑓 ) = 𝛾0 (𝑇¯𝑡 𝑓¯) for some
𝛾0 ∈ 𝑀 ( 𝐸¯ 0 ). Since ∞ is a trap for (𝑇¯𝑡 )𝑡 ≥0 , we must have 𝛾0 ({∞}) = 0 and then
(8.75) follows. □
Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup of the super-absorbing-barrier Brownian

motion over 𝐸 0 with branching mechanism given by (2.29) or (2.30). By easy
applications of Theorems 8.10 and 8.35 we get the following:
Theorem 8.36 For any 𝜇 ∈ 𝑀ℎ (𝐸 0 ) and 𝛼 ≥ 0, we can define 𝐾 ∈ 𝒦𝑚1 (𝑄) by

∫
e−𝜈 ( 𝑓 ) 𝐾𝑡 (d𝜈) = exp{−𝜇(𝑉𝑡 𝑓 ) − 𝛼𝜕0𝑉𝑡 𝑓 }. (8.77)
𝑀 (𝐸0 )
Moreover, every 𝐾 ∈ 𝒦𝑚1 (𝑄) has the representation (8.77) with 𝜇 ∈ 𝑀ℎ (𝐸 0 ) and
𝛼 ≥ 0.
Example 8.4 Let 𝑊ˆ 0 be the space of paths 𝑤 : [0, ∞) → 𝑀 (𝐸 0 ) such that 𝑤 𝑡 takes
values in 𝑀 (𝐸 0 ) ◦ and is right continuous in some interval (0, 𝜁 (𝑤)) or [0, 𝜁 (𝑤)) ⊂
[0, ∞) and takes the value 0 ∈ 𝑀 (𝐸 0 ) elsewhere. Let (𝒜 0 , 𝒜𝑡0 ) be the natural 𝜎-
algebras on 𝑊ˆ 0+ generated by the coordinate process. By Theorem 8.36, for each
𝑢 > 0,
∫
e−𝜈 ( 𝑓 ) 𝐾𝑡𝑢 (d𝜈) = exp{−𝑢𝜕0𝑉𝑠 𝑓 }, 𝑡 > 0, 𝑓 ∈ 𝐵(𝐸 0 ) + , (8.78)
𝑀 (𝐸0 )
defines a probability entrance law (𝐾𝑡𝑢 )𝑡 >0 for the super-absorbing-barrier Brownian
motion. Let Q𝑢 be the corresponding Kuznetsov measure, which is carried by 𝑊ˆ 0 .
Recall that the branching mechanism 𝜙 is given by (2.29). Suppose that
∫ h i
sup ℎ(𝑥) −1 𝜂(𝑥, ℎ) + 𝜈(ℎ) ∧ 𝜈(ℎ) 2 + 𝜈 𝑥 (ℎ) 𝐻 (𝑥, d𝜈) < ∞. (8.79)
𝑥 ∈𝐸0 𝑀 (𝐸0 ) ◦
Then for any 𝜀 > 0 we have
𝑤 𝑡 ((0, 𝜀]) → ∞ and 𝑤 𝑡 ( [𝜀, ∞)) → 0 as 𝑡 → 0 (8.80)
for Q𝑢 -a.e. 𝑤 ∈ 𝑊ˆ 0 . To see this let (𝑇¯𝑡 )𝑡 ≥0 be defined as in the proof of Theorem 8.35
and use the same notation for its restriction to R+ . Under condition (8.79) we can
define a branching mechanism 𝜓¯ on R+ by 𝜓(𝑥, ¯ 𝑓¯) = ℎ(𝑥) −1 𝜙(𝑥, ℎ 𝑓 ) for 𝑥 > 0
¯
and 𝜓(0, 𝑓¯) = 0, where 𝑓¯ ∈ 𝐵(R+ ) + and 𝑓 = 𝑓¯| 𝐸0 . Let (𝑈¯ 𝑡 )𝑡 ≥0 be the cumulant
semigroup defined from (𝑇¯𝑡 )𝑡 ≥0 and 𝜓. ¯ Then for 𝑡 > 0 we have
ℎ(𝑥) −1𝑉𝑡 (ℎ 𝑓 ) (𝑥) if 𝑥 > 0,

𝑈¯ 𝑡 𝑓¯(𝑥) = (8.81)
(𝜕0 ℎ) −1 𝜕0𝑉𝑡 (ℎ 𝑓 ) if 𝑥 = 0.
Theorem 5.13 implies that (𝑈¯ 𝑡 )𝑡 ≥0 determines a Borel right semigroup on 𝑀 (R+ ).
We then define the measure-valued process { 𝑋¯ 𝑡 : 𝑡 > 0} by 𝑋¯ 𝑡 ({0}) = 0 and
𝑋¯ 𝑡 (d𝑥) = ℎ(𝑥)𝑤 𝑡 (d𝑥) for 𝑥 > 0. It is not hard to see that { 𝑋¯ 𝑡 : 𝑡 > 0} is a
superprocess in 𝑀 (R+ ) with cumulant semigroup (𝑈¯ 𝑡 )𝑡 ≥0 . Using (8.76) one may
check 𝜕0𝑉𝑠 (ℎ 𝑓 ) = 𝜕0 ℎ𝑈¯ 𝑡 𝑓¯(0). From (8.78) we have
Q𝑢 exp{− 𝑋¯ 𝑡 ( 𝑓¯)} = exp{−𝑢𝜕0 ℎ𝑈¯ 𝑡 𝑓¯(0)}, 𝑡 > 0, 𝑓¯ ∈ 𝐵(R+ ) + .
This implies Q𝑢 { 𝑋¯ 0+ = 𝑢𝜕0 ℎ𝛿0 } = 1. Since ℎ(0+) = 0 and ℎ(𝑥) > 0 for 𝑥 > 0, we
have (8.80) for Q𝑢 -a.e. 𝑤 ∈ 𝑊ˆ 0 .
The structures of entrance laws for Dawson–Watanabe superprocesses were investi-

gated in Dynkin (1989b), Fitzsimmons (1988) and Li (1995/6, 1996, 1998b). Those
for branching particle systems were studied in Li (1998a). Evans (1992) gave a
characterization for the entrance laws of a conditioned superprocess.
Theorem 8.2 first appeared in Li (1995/6). The proof of Theorem 8.10 follows
Dynkin (1989b) and Li (1996, 1998b). Theorem 8.13 is a new result. Fitzsimmons
(1988) proved Theorem 8.15 for local branching mechanisms. Theorem 8.22 was
proved in Li (1996) for local branching mechanisms and in Li (1998b) for decom-
posable branching mechanisms.
Theorem 8.24 was first given in Li (2019b) for CB-processes. The random field
𝜇
{𝑋𝑡 : 𝑡 ≥ 0, 𝜇 ∈ 𝑀𝜆 (𝐸)} constructed in Theorem 8.29 is a measure-valued coun-
terpart of the stochastic flows studied in Bertoin and Le Gall (2006) and Dawson
and Li (2012), where 𝐸 was assumed to be a singleton. Theorem 8.30 was first
proved for binary local branching by Evans and Perkins (1991), who used it to prove
propagation properties of the superprocess. Some of the results of Evans and Perkins
(1991) were extended to general local branching mechanisms in Li and Zhou (2008).
The existence of excursion laws of Dawson–Watanabe superprocesses was first ob-
served by El Karoui and Roelly (1991). The presentation of Theorem 8.26 given
here is in the spirit of Li (2001). A special form of this result was proved in Li and
Shiga (1995) using a theorem of Perkins (1992), which asserts that a conditioned
Dawson–Watanabe superprocess is a generalized Fleming–Viot superprocess. The
proof of Lemma 8.32 was taken from Li (1998a). This results can also be obtained
from the general estimates of heat kernels given in Zhang (2002). The proofs of
Theorems 8.33 and 8.35 follow those of Li and Shiga (1995). It was shown in van
der Hofstad (2006) that the canonical measure of the super-Brownian motion is a
natural candidate for the scaling limits of various random systems; see also Hara and
Slade (2000) and van der Hofstad and Slade (2003).
The representation (8.68) of binary branching superprocesses was established in
Le Gall (1991, 1999). This relies on the fact that the genealogical trees of Feller’s
branching diffusion can be coded by the Brownian excursions. A similar coding
for the genealogical structures of CB-processes with general branching mechanisms
was given in Le Gall and Le Jan (1998a) using spectrally positive Lévy processes.
Bertoin et al. (1997) provided a snake-like construction of superprocesses based on
subordination. A direct construction of superprocesses with general local branching
mechanisms was given by Le Gall and Le Jan (1998b) using the so-called Lévy
snakes.
The snake representation has become a powerful tool in the study of the super-
processes and the associated nonlinear partial differential equations; see Duquesne
and Le Gall (2002), Le Gall (1999, 2005) and the references therein. This technique
has also played important roles in the work of Le Gall (2007, 2010), Le Gall and
Paulin (2008) and Miermont (2013) on the geometry of large planar maps; see also
Le Gall (2014) and Le Gall and Miermont (2012). A Schilder type theorem on large
deviations of the super-Brownian was established recently in Xiang (2010) using
the snake representation; see also Fleischmann et al. (1996) and Schied (1996). The
behavior of superprocesses near extinction was studied by Liu and Mueller (1989)
and Tribe (1992); see also Le Gall (1999, p. 72). In Abraham and Delmas (2008),
Lévy snakes were used to construct fragmentation processes.
Chapter 9
Structures of Independent Immigration
In this chapter we study independent immigration structures associated with MB-

processes. We first give a formulation of the structures using skew convolution semi-
groups. Those semigroups are in one-to-one correspondence with infinitely divisible
probability entrance laws for the MB-processes. We shall see that an immigration
superprocess has a Borel right realization if the corresponding skew convolution
semigroup is determined by a closable infinitely divisible probability entrance law.
The trajectories of the immigration processes are constructed using stochastic in-
tegrals with respect to Poisson random measures determined by entrance rules.
Ergodicities and exponential ergodicities are proved under suitable assumptions.
Most of the properties of superprocess obtained before are extended to immigration
superprocesses.
9.1 Skew Convolution Semigroups
Suppose that 𝐸 is a Lusin topological space and (𝑄 𝑡 )𝑡 ≥0 is the transition semigroup

of an MB-process given by (2.3) and (2.5). Let (𝑁𝑡 )𝑡 ≥0 be a family of probability
measures on 𝑀 (𝐸). We call (𝑁𝑡 )𝑡 ≥0 a skew convolution semigroup (SC-semigroup)
associated with (𝑄 𝑡 )𝑡 ≥0 provided
𝑁𝑟+𝑡 = (𝑁𝑟 𝑄 𝑡 ) ∗ 𝑁𝑡 , 𝑟, 𝑡 ≥ 0. (9.1)
The above equation is of interest because of the following:

Theorem 9.1 The relation (9.1) is satisfied if and only if
𝑄 𝑡𝑁 (𝜇, ·) := 𝑄 𝑡 (𝜇, ·) ∗ 𝑁𝑡 , 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) (9.2)
defines a Markov semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 on 𝑀 (𝐸).

Proof It is easy to see that (9.2) really defines a probability kernel on 𝑀 (𝐸). If
(𝑁𝑡 )𝑡 ≥0 satisfies (9.1), then for any 𝑟, 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + we have

242 9 Structures of Independent Immigration
∫
e−𝜈 ( 𝑓 ) 𝑄 𝑟+𝑡
𝑁
(𝜇, d𝜈)
𝑀 (𝐸) ∫ ∫
−𝜈1 ( 𝑓 )
= e 𝑄 𝑟+𝑡 (𝜇, d𝜈1 ) e−𝜈2 ( 𝑓 ) 𝑁𝑟+𝑡 (d𝜈2 )
∫ 𝑀 (𝐸) ∫ 𝑀 (𝐸)
= 𝑄 𝑟 (𝜇, d𝛾) e−𝜈1 ( 𝑓 ) 𝑄 𝑡 (𝛾, d𝜈1 )

𝑀 (𝐸)
∫ 𝑀 (𝐸) ∫
· e−𝜈2 ( 𝑓 ) (𝑁𝑟 𝑄 𝑡 ) (d𝜈2 ) e−𝜈3 ( 𝑓 ) 𝑁𝑡 (d𝜈3 )
∫ 𝑀 (𝐸) ∫ 𝑀 (𝐸) ∫
= 𝑄 𝑟𝑁 (𝜇, d𝛾) e−𝜈1 ( 𝑓 ) 𝑄 𝑡 (𝛾, d𝜈1 ) e−𝜈3 ( 𝑓 ) 𝑁𝑡 (d𝜈3 )
∫ 𝑀 (𝐸) ∫ 𝑀 (𝐸) 𝑀 (𝐸)
= 𝑄 𝑟𝑁 (𝜇, d𝛾) e−𝜈 ( 𝑓 ) 𝑄 𝑡𝑁 (𝛾, d𝜈),

𝑀 (𝐸) 𝑀 (𝐸)
where we used Theorem 2.1 for the third equality. Then (𝑄 𝑡𝑁 )𝑡 ≥0 satisfies the
Chapman–Kolmogorov equation. For the converse, suppose the kernels (𝑄 𝑡𝑁 )𝑡 ≥0
constitute a transition semigroup. Since 𝑄 𝑡 (0, ·) = 𝛿0 , we have 𝑄 𝑡𝑁 (0, ·) = 𝑁𝑡 .
Consequently, for any 𝑟, 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + ,
∫
e−𝜈 ( 𝑓 ) 𝑁𝑟+𝑡 (d𝜈)
𝑀 (𝐸) ∫ ∫
= 𝑁𝑟 (d𝜇) e−𝜈 ( 𝑓 ) 𝑄 𝑡𝑁 (𝜇, d𝜈)
∫ 𝑀 (𝐸) ∫𝑀 (𝐸) ∫
= 𝑁𝑟 (d𝜇) e−𝜈1 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈1 ) e−𝜈2 ( 𝑓 ) 𝑁𝑡 (d𝜈2 )
∫ 𝑀 (𝐸) 𝑀 (𝐸) ∫ 𝑀 (𝐸)
= e−𝜈1 ( 𝑓 ) 𝑁𝑟 𝑄 𝑡 (d𝜈1 ) e−𝜈2 ( 𝑓 ) 𝑁𝑡 (d𝜈2 ).

𝑀 (𝐸) 𝑀 (𝐸)
Thus (𝑁𝑡 )𝑡 ≥0 satisfies (9.1). □
Suppose that 𝑇 is an interval on the real line and (𝒢𝑡 )𝑡 ∈𝑇 is a filtration. If

𝑌 = {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ∈ 𝑇 } is a Markov process in 𝑀 (𝐸) with transition semigroup
(𝑄 𝑡𝑁 )𝑡 ≥0 given by (9.2), we call it an immigration process associated with (𝑄 𝑡 )𝑡 ≥0
or the corresponding MB-process. In the special case where (𝑄 𝑡 )𝑡 ≥0 is the transition
semigroup of a Dawson–Watanabe superprocess, we also call 𝑌 an immigration
superprocess. The intuitive meaning of the model is clear in view of (9.1) and (9.2).
From (9.2) we see that the population at any time 𝑡 ≥ 0 is made up of two parts;
the native part generated by the mass 𝜇 ∈ 𝑀 (𝐸) has distribution 𝑄 𝑡 (𝜇, ·) and the
immigration in the time interval (0, 𝑡] gives the distribution 𝑁𝑡 . In a similar way, the
equation (9.1) decomposes the population immigrating to 𝐸 during the time interval
(0, 𝑟 +𝑡] into two parts; the immigration in the interval (𝑟, 𝑟 +𝑡] gives the distribution
𝑁𝑡 while the immigration in the interval (0, 𝑟] generates the distribution 𝑁𝑟 at time
𝑟 and gives the distribution 𝑁𝑟 𝑄 𝑡 at time 𝑟 + 𝑡. It is not hard to see that (9.2) gives a
general formulation of the immigration independent of the state of the population.
9.1 Skew Convolution Semigroups 243
Theorem 9.2 Suppose that {(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ∈ 𝑇 } and {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ∈ 𝑇 } are two

independent immigration processes associated with (𝑄 𝑡 )𝑡 ≥0 corresponding to the
SC-semigroups (𝑀𝑡 )𝑡 ≥0 and (𝑁𝑡 )𝑡 ≥0 , respectively. Let 𝑍𝑡 = 𝑋𝑡 + 𝑌𝑡 and ℋ𝑡 =
𝜎(ℱ𝑡 ∪ 𝒢𝑡 ). Then {(𝑍𝑡 , ℋ𝑡 ) : 𝑡 ∈ 𝑇 } is an immigration process corresponding to
the SC-semigroup (𝐿 𝑡 )𝑡 ≥0 defined by 𝐿 𝑡 = 𝑀𝑡 ∗ 𝑁𝑡 .
Proof By Theorem 2.1 it is simple to show that (𝐿 𝑡 )𝑡 ≥0 is really an SC-semigroup
associated with (𝑄 𝑡 )𝑡 ≥0 . Let (𝑄 𝑡𝐿 )𝑡 ≥0 be defined by (2.2) with (𝑁𝑡 )𝑡 ≥0 replaced by
(𝐿 𝑡 )𝑡 ≥0 . By a modification of the proof of Theorem 2.3 one shows {(𝑍𝑡 , ℋ𝑡 ) : 𝑡 ∈ 𝑇 }
is a Markov process with transition semigroup (𝑄 𝑡𝐿 )𝑡 ≥0 . □
Corollary 9.3 Let {(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ∈ 𝑇 } be an MB-process with transition semigroup
(𝑄 𝑡 )𝑡 ≥0 and let {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ∈ 𝑇 } be an immigration process with transition
semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 . Suppose the two processes are independent of each other.
Let 𝑍𝑡 = 𝑋𝑡 + 𝑌𝑡 and ℋ𝑡 = 𝜎(ℱ𝑡 ∪ 𝒢𝑡 ). Then {(𝑍𝑡 , ℋ𝑡 ) : 𝑡 ∈ 𝑇 } is an immigration
process with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 .
Theorem 9.4 Suppose that 𝑡 ↦→ 𝑉𝑡 𝑓 (𝑥) is locally bounded and right continuous
pointwise for every 𝑓 ∈ 𝐶 (𝐸) + . If (𝐾𝑠 ) 𝑠>0 is an infinitely divisible probability
entrance law for (𝑄 𝑡 )𝑡 ≥0 satisfying
∫ 𝑡
− log 𝐿 𝐾𝑠 (1)d𝑠 < ∞, 𝑡 ≥ 0, (9.3)
0
then an SC-semigroup (𝑁𝑡 )𝑡 ≥0 associated with (𝑄 𝑡 )𝑡 ≥0 is defined by

∫ 𝑡
log 𝐿 𝐾𝑠 ( 𝑓 ) d𝑠, 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + .

log 𝐿 𝑁𝑡 ( 𝑓 ) = (9.4)
0
Conversely, for every SC-semigroup (𝑁𝑡 )𝑡 ≥0 associated with (𝑄 𝑡 )𝑡 ≥0 there is an

infinitely divisible probability entrance law (𝐾𝑠 ) 𝑠>0 for (𝑄 𝑡 )𝑡 ≥0 satisfying (9.3) so
that the Laplace functionals of (𝑁𝑡 )𝑡 ≥0 are given by (9.4).
Proof If (𝐾𝑠 ) 𝑠>0 is an infinitely divisible probability entrance law for (𝑄 𝑡 )𝑡 ≥0
satisfying (9.3), then (9.4) clearly defines a family of infinitely divisible probability
measures (𝑁𝑡 )𝑡 ≥0 on 𝑀 (𝐸). By the entrance law property of (𝐾𝑠 ) 𝑠>0 it is easy to
show that (9.1) holds, so (𝑁𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑄 𝑡 )𝑡 ≥0 . To
prove the converse, let (𝑁𝑡 )𝑡 ≥0 be an SC-semigroup associated with (𝑄 𝑡 )𝑡 ≥0 and let
∫
𝐽𝑡 ( 𝑓 ) = − log e−𝜈 ( 𝑓 ) 𝑁𝑡 (d𝜈), 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + . (9.5)
𝑀 (𝐸)
From (9.1) we have
𝐽𝑟+𝑡 ( 𝑓 ) = 𝐽𝑡 ( 𝑓 ) + 𝐽𝑟 (𝑉𝑡 𝑓 ), 𝑟, 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + . (9.6)
Then 𝑡 ↦→ 𝐽𝑡 ( 𝑓 ) is increasing for every 𝑓 ∈ 𝐵(𝐸) + . Observe also 𝐽𝑡 ( 𝑓1 ) ≤ 𝐽𝑡 ( 𝑓2 )

for 𝑓1 ≤ 𝑓2 ∈ 𝐵(𝐸) + . For 𝑓 ∈ 𝐶 (𝐸) + we have 𝑉𝑡 𝑓 (𝑥) → 𝑓 (𝑥) pointwise as 𝑡 → 0.
Then letting 𝑡 → 0 and 𝑟 → 0 in (9.6) and using (9.5) and dominated convergence
we get
lim 𝐽𝑡 ( 𝑓 ) = lim 𝐽𝑡 ( 𝑓 ) + lim 𝐽𝑟 ( 𝑓 ).

𝑡→0 𝑡→0 𝑟→0
Thus lim𝑡→0 𝐽𝑡 ( 𝑓 ) = 0 first for 𝑓 ∈ 𝐶 (𝐸) + and then for all 𝑓 ∈ 𝐵(𝐸) + . Let
𝑞 = 𝑞(𝑙, 𝑓 ) > 0 be such thatÍ∥𝑉𝑡 𝑓 ∥ ≤ 𝑞 for all 0 ≤ 𝑡 ≤ 𝑙. For 0 ≤ 𝑐 1 < 𝑑1 < · · · <
𝑛
𝑐 𝑛 < 𝑑 𝑛 < · · · ≤ 𝑙, set 𝜎𝑛 = 𝑖=1 (𝑑𝑖 − 𝑐 𝑖 ). We claim that
𝑛
∑︁
[𝐽𝑑𝑖 ( 𝑓 ) − 𝐽𝑐𝑖 ( 𝑓 )] ≤ 𝐽 𝜎𝑛 (𝑞).
𝑖=1
For 𝑛 = 1 this follows from (9.6). If the above inequality is true when 𝑛 is replaced
by 𝑛 − 1, using (9.6) we have
𝑛
∑︁ 𝑛−1
∑︁
[𝐽𝑑𝑖 ( 𝑓 ) − 𝐽𝑐𝑖 ( 𝑓 )] = [𝐽𝑑𝑖 ( 𝑓 ) − 𝐽𝑐𝑖 ( 𝑓 )] + 𝐽𝑑𝑛 −𝑐𝑛 (𝑉𝑐𝑛 𝑓 )
𝑖=1 𝑖=1
≤ 𝐽 𝜎𝑛−1 (𝑞) + 𝐽𝑑𝑛 −𝑐𝑛 (𝑉 𝜎𝑛−1 𝑞) = 𝐽 𝜎𝑛 (𝑞).
∫𝑡
Thus 𝑡 ↦→ 𝐽𝑡 ( 𝑓 ) is absolutely continuous. That is, we have 𝐽𝑡 ( 𝑓 ) = 0 𝐼𝑠 ( 𝑓 )d𝑠
for a positive Borel function 𝑠 ↦→ 𝐼𝑠 ( 𝑓 ) on [0, ∞). Let 𝑆2 (𝐸, 𝑟) be defined as in
Section 1.2. Then there is a set 𝐴 ⊂ [0, ∞) with full Lebesgue measure such that for
all 𝑠 ∈ 𝐴 and 𝑓 ∈ 𝑆2 (𝐸, 𝑟),
1h i 1
𝐼𝑠 ( 𝑓 ) = lim 𝐽𝑠+𝑟 ( 𝑓 ) − 𝐽𝑠 ( 𝑓 ) = lim 𝐽𝑟 (𝑉𝑠 𝑓 )
𝑟→0 𝑟 𝑟→0 𝑟
1
= lim 1 − exp{−𝐽𝑟 (𝑉𝑠 𝑓 )}
𝑟→0 𝑟 ∫ ∫
1
1 − e−𝜈 ( 𝑓 ) 𝑄 𝑠 (𝜇, d𝜈).

= lim 𝑁𝑟 (d𝜇)
𝑟→0 𝑟 𝑀 (𝐸) 𝑀 (𝐸) ◦
In view of (9.5) we have lim𝑛→∞ 𝐽𝑡 (1/𝑛) = 0 decreasingly. Thus, by taking a smaller

set 𝐴 ⊂ [0, ∞) with full Lebesgue measure, we may assume lim𝑛→∞ 𝐼𝑠 (1/𝑛) = 0
for all 𝑠 ∈ 𝐴. By Proposition 1.32 there is a 𝑈𝑠 ∈ ℐ(𝐸) such that 𝐼𝑠 ( 𝑓 ) = 𝑈𝑠 ( 𝑓 ) for
all 𝑠 ∈ 𝐴 and 𝑓 ∈ 𝑆2 (𝐸, 𝑟). Consequently,
∫ 𝑡
𝐽𝑡 ( 𝑓 ) = 𝑈𝑠 ( 𝑓 )d𝑠, 𝑡 ≥ 0,
0
first for 𝑓 ∈ 𝑆2 (𝐸, 𝑟) and then for all 𝑓 ∈ 𝐵(𝐸) + . Now the equation (9.6) yields
∫ 𝑟 ∫ 𝑟
𝑈𝑠+𝑡 ( 𝑓 )d𝑠 = 𝑈𝑠 (𝑉𝑡 𝑓 )d𝑠, 𝑟, 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + .
0 0
Then for any 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + there is a subset 𝐴𝑡 ( 𝑓 ) of [0, ∞) with full
Lebesgue measure such that 𝑈𝑠+𝑡 ( 𝑓 ) = 𝑈𝑠 (𝑉𝑡 𝑓 ) for all 𝑠 ∈ 𝐴𝑡 ( 𝑓 ). By Fubini’s
theorem, there are subsets 𝐵( 𝑓 ) and 𝐵𝑠 ( 𝑓 ) of [0, ∞) with full Lebesgue measures
9.1 Skew Convolution Semigroups 245
such that
𝑈𝑠+𝑡 ( 𝑓 ) = 𝑈𝑠 (𝑉𝑡 𝑓 ), 𝑠 ∈ 𝐵( 𝑓 ), 𝑡 ∈ 𝐵𝑠 ( 𝑓 ).
Since 𝑈𝑠+𝑡 and 𝑈𝑠 ◦ 𝑉𝑡 are determined by their restrictions to the countable set
𝑆2 (𝐸, 𝑟), for 𝐵 ⊂ [0, ∞) and 𝐵𝑠 ⊂ [𝑠, ∞) with full Lebesgue measures we have
𝑈𝑡 = 𝑈𝑠 ◦ 𝑉𝑡−𝑠 , 𝑠 ∈ 𝐵, 𝑡 ∈ 𝐵𝑠 .
Choose a sequence {𝑠 𝑛 } ⊂ 𝐵 with 𝑠 𝑛 → 0. For any 𝑡 > 𝑠 𝑛 > 𝑠 𝑛+1 > 0, we may take
𝑠 ∈ 𝐵𝑠𝑛 ∩ 𝐵𝑠𝑛+1 ∩ [0, 𝑡] to see
𝑈𝑠𝑛 ◦ 𝑉𝑡−𝑠𝑛 = 𝑈𝑠𝑛 ◦ 𝑉𝑠−𝑠𝑛 ◦ 𝑉𝑡−𝑠 = 𝑈𝑠 ◦ 𝑉𝑡−𝑠

= 𝑈𝑠𝑛+1 ◦ 𝑉𝑠−𝑠𝑛+1 ◦ 𝑉𝑡−𝑠 = 𝑈𝑠𝑛+1 ◦ 𝑉𝑡−𝑠𝑛+1 .
Then 𝑊𝑡 := 𝑈𝑠𝑛 ◦ 𝑉𝑡−𝑠𝑛 ∈ ℐ(𝐸) is independent of 𝑛 ≥ 1 and 𝑊𝑡 = 𝑈𝑡 for almost all

𝑡 > 0. Thus we have
∫ 𝑡
𝐽𝑡 ( 𝑓 ) = 𝑊𝑠 ( 𝑓 )d𝑠, 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + .
0
Moreover, it is easy to see that 𝑊𝑟+𝑡 = 𝑊𝑟 ◦𝑉𝑡 for all 𝑟, 𝑡 > 0. Let 𝐾𝑠 be the infinitely
divisible probability measure on 𝑀 (𝐸) such that − log 𝐿 𝐾𝑠 = 𝑊𝑠 . Then (𝐾𝑠 ) 𝑠>0 is
an entrance law for (𝑄 𝑡 )𝑡 ≥0 and (9.4) holds. □
It is clear that Theorem 9.4 establishes a one-to-one correspondence between the

SC-semigroup (𝑁𝑡 )𝑡 ≥0 and the infinitely divisible probability entrance law (𝐾𝑠 ) 𝑠>0
satisfying (9.3). By Theorem 8.2 we may assume 𝐼𝑡 = − log 𝐿 𝐾𝑡 is given by (8.2).
Then we can rewrite (9.4) as
∫ ∫ 𝑡
−𝜈 ( 𝑓 )
e 𝑁𝑡 (d𝜈) = exp − 𝐼𝑠 ( 𝑓 )d𝑠 , 𝑓 ∈ 𝐵(𝐸) + . (9.7)
𝑀 (𝐸) 0
The corresponding transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 is characterized by

∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑡𝑁 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) − 𝐼𝑠 ( 𝑓 )d𝑠 . (9.8)
𝑀 (𝐸) 0
Recall that the cumulant semigroup (𝑉𝑡 )𝑡 ≥0 has representation (2.5). The following
results are immediate:
Proposition 9.5 The SC-semigroup (𝑁𝑡 )𝑡 ≥0 given by (9.4) has finite first-moments
if and only if
∫ 𝑡 ∫
d𝑠 𝜈(1)𝐾𝑠 (d𝜈) < ∞, 𝑡 ≥ 0. (9.9)
0 𝑀 (𝐸)
In this case, we have

∫ ∫ 𝑡 ∫
𝜈( 𝑓 )𝑁𝑡 (d𝜈) = d𝑠 𝜈( 𝑓 )𝐾𝑠 (d𝜈), 𝑓 ∈ 𝐵(𝐸). (9.10)
𝑀 (𝐸) 0 𝑀 (𝐸)
Proposition 9.6 Suppose that 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from 𝐸 to 𝑀 (𝐸) ◦
for every 𝑡 ≥ 0. Let (𝑁𝑡 )𝑡 ≥0 be the SC-semigroup given by (9.4) such that (9.9) holds.
Then the transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 defined by (9.8) has finite first-moments given
by, for 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸),
∫ ∫ 𝑡 ∫
𝑁
𝜈( 𝑓 )𝑄 𝑡 (𝜇, d𝜈) = 𝜇(𝜋𝑡 𝑓 ) + d𝑠 𝜈( 𝑓 )𝐾𝑠 (d𝜈), (9.11)
𝑀 (𝐸) 0 𝑀 (𝐸)
where (𝜋𝑡 )𝑡 ≥0 is the semigroup defined by (2.54).
If (𝐾𝑡 )𝑡 >0 can be extended to a closed entrance law (𝐾𝑡 )𝑡 ≥0 , we say the SC-
semigroup (𝑁𝑡 )𝑡 ≥0 is regular and we call 𝐼 := − log 𝐿 𝐾0 ∈ ℐ(𝐸) the immigration
mechanism. Then an immigration mechanism has the representation
∫
1 − e−𝜈 ( 𝑓 ) 𝐻 (d𝜈), 𝑓 ∈ 𝐵(𝐸) + ,

𝐼 ( 𝑓 ) = 𝜂( 𝑓 ) + (9.12)
𝑀 (𝐸) ◦
where 𝜂 ∈ 𝑀 (𝐸) and [1 ∧ 𝜈(1)]𝐻 (d𝜈) is a finite measure on 𝑀 (𝐸) ◦ . In this case,
we can rewrite (9.8) as
∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑡𝑁 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) − 𝐼 (𝑉𝑠 𝑓 )d𝑠 . (9.13)
𝑀 (𝐸) 0
By combining Theorem 9.4 and Proposition 9.5 with the results in Section 8.3,
we get characterizations of SC-semigroups associated with the (𝜉, 𝜙)-superprocess
under the first-moment assumption. In particular, from Theorem 8.22 we immediately
derive the following:
Theorem 9.7 Suppose that 𝜅 ∈ 𝒦(𝑃) and 𝐹 (d𝜈) is a 𝜎-finite measure on the space
𝒦(𝑃) ◦ satisfying (8.40). Then there is an SC-semigroup (𝑁𝑡 )𝑡 ≥0 associated with the
(𝜉, 𝜙)-superprocess defined by
∫ 𝑡
𝐿 𝑁𝑡 ( 𝑓 ) = exp − 𝐼𝑟 (𝜅, 𝐹, 𝑓 )d𝑟 , 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + , (9.14)
0
where
∫
𝐼𝑟 (𝜅, 𝐹, 𝑓 ) = 𝑆𝑟 (𝜅, 𝑓 ) + (1 − e−𝑆𝑟 (𝜈, 𝑓 ) )𝐹 (d𝜈). (9.15)
𝒦 ( 𝑃) ◦
Moreover, the SC-semigroup (𝑁𝑡 )𝑡 ≥0 has finite first-moments given by, for 𝑡 ≥ 0 and
𝑓 ∈ 𝐵(𝐸),
9.2 Properties of Transition Probabilities 247
∫ ∫ 𝑡 ∫
𝜈( 𝑓 )𝑁𝑡 (d𝜈) = 𝑞 𝑟 (𝜅, 𝑓 ) + 𝑞 𝑟 (𝜈, 𝑓 )𝐹 (d𝜈) d𝑟, (9.16)
𝑀 (𝐸) ◦ 0 𝒦 ( 𝑃) ◦
where 𝑞 𝑟 (𝜅, 𝑓 ) is defined as in (8.42). Conversely, if (𝑁𝑡 )𝑡 ≥0 is an SC-semigroup

associated with the (𝜉, 𝜙)-superprocess with finite first-moments, then there exist
𝜅 ∈ 𝒦(𝑃) and a 𝜎-finite measure 𝐹 (d𝜈) on 𝒦(𝑃) ◦ satisfying (8.40) so that (𝑁𝑡 )𝑡 ≥0
is given by (9.14) and (9.15).
Example 9.1 Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup of the 𝑑-dimensional CB-

process defined in Example 2.5. The branching mechanism of the process is given
by (2.44). Since (𝑄 𝑡 )𝑡 ≥0 is a Feller semigroup, by Corollary A.39 the entrance law
(𝐾𝑡 )𝑡 >0 in (9.4) has a closed extension (𝐾𝑡 )𝑡 ≥0 , where 𝐾0 is an infinitely divisible
probability measure on R+𝑑 . Then the immigration mechanism 𝜓 := − log 𝐿 𝐾0 ∈
ℐ(R+𝑑 ) is a function on R+𝑑 with representation
∫
1 − e− ⟨𝑧,𝜆⟩ 𝑛(d𝑧),

𝜓(𝜆) = ⟨𝛽, 𝜆⟩ + (9.17)
R+𝑑 \{0}
where 𝛽 ∈ R+𝑑 is a vector and 𝑛(d𝑢) = 𝑛(d𝑢 1 , · · · , d𝑢 𝑑 ) is a 𝜎-finite measure on

R+𝑑 \ {0} such that
∫
(1 ∧ ⟨𝑧, 1⟩)𝑛(d𝑧) < ∞.
R+𝑑 \{0}
The transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 of the corresponding 𝑑-dimensional CBI-process

is given by
∫ ∫ 𝑡
e− ⟨𝑦,𝜆⟩ 𝑄 𝑡𝑁 (𝑥, d𝑦) = exp − ⟨𝑥, 𝑣(𝑡, 𝜆)⟩ − 𝜓(𝑣(𝑠, 𝜆))d𝑠 . (9.18)
R+𝑑 0
The CBI-process has been used widely in mathematical finance as models for interest
rates and asset prices; see, e.g., Duffie et al. (2003).
9.2 Properties of Transition Probabilities
Suppose that 𝐸 is a Lusin topological space and (𝑄 𝑡 )𝑡 ≥0 is the transition semigroup

of an MB-process given by (2.3) and (2.5). Suppose that 𝑡 ↦→ 𝑉𝑡 𝑓 (𝑥) is locally
bounded and right continuous pointwise for every 𝑓 ∈ 𝐶 (𝐸) + . Recall that (𝑄 ◦𝑡 )𝑡 ≥0
denotes the restriction of (𝑄 𝑡 )𝑡 ≥0 to 𝑀 (𝐸) ◦ .
Theorem 9.8 If (𝑁𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑄 𝑡 )𝑡 ≥0 , then each

probability measure 𝑁𝑡 is infinitely divisible. Moreover, we have the canonical rep-
resentation 𝑁𝑡 = 𝐼 (𝛾𝑡 , 𝐺 𝑡 ), where 𝑡 ↦→ 𝛾𝑡 is an increasing continuous path from
[0, ∞) to 𝑀 (𝐸) and (𝐺 𝑡 )𝑡 ≥0 is a regular entrance rule for (𝑄 ◦𝑡 )𝑡 ≥0 .
Proof By Theorem 9.4 there is an infinitely divisible probability entrance law

(𝐾𝑠 ) 𝑠>0 such that (9.4) holds. By Theorem 8.2 we may assume (𝐾𝑠 ) 𝑠>0 is given
by (8.2) and (8.4). Then we have 𝑁𝑡 = 𝐼 (𝛾𝑡 , 𝐺 𝑡 ), where
∫ 𝑡 ∫ 𝑡
𝛾𝑡 = 𝜂 𝑠 𝑑𝑠 and 𝐺 𝑡 = 𝐻𝑠 d𝑠. (9.19)
0 0
In particular, the map 𝑡 ↦→ 𝛾𝑡 is increasing and continuous. For 𝑡 > 𝑟 ≥ 0 the relation
(9.1) implies
∫
𝛾𝑡 = 𝛾𝑡−𝑟 + 𝛾𝑟 (d𝑥)𝜆 𝑡−𝑟 (𝑥, ·) (9.20)
𝐸
and
∫
𝐺 𝑡 = 𝐺 𝑡−𝑟 + 𝐺 𝑟 𝑄 ◦𝑡−𝑟 + 𝛾𝑟 (d𝑥)𝐿 𝑡−𝑟 (𝑥, ·). (9.21)
𝐸
Thus 𝐺 𝑟 𝑄 ◦𝑡−𝑟 ≤ 𝐺 𝑡 . By the second equality in (9.19) we have

∫ 𝑟 ∫ 𝑡
𝐺 𝑟 𝑄 ◦𝑡−𝑟 = 𝐻𝑠 𝑄 ◦𝑡−𝑟 d𝑠 = 𝐺 𝑡 𝑄 ◦𝑡−𝑟 − 𝐻𝑠 𝑄 ◦𝑡−𝑟 d𝑠.
0 𝑟
It follows that 𝐺 𝑟 𝑄 ◦𝑡−𝑟 → 𝐺 𝑡 as 𝑟 ↑ 𝑡. Then (𝐺 𝑡 )𝑡 ≥0 is a regular entrance rule for

(𝑄 ◦𝑡 )𝑡 ≥0 . □
In the situation of the above theorem, we call (𝐺 𝑡 )𝑡 ≥0 the canonical entrance rule
of the SC-semigroup (𝑁𝑡 )𝑡 ≥0 . The following theorem gives a general representation
of the canonical entrance rule.
Theorem 9.9 The canonical entrance rule (𝐺 𝑡 )𝑡 ≥0 of an SC-semigroup associated

with (𝑄 𝑡 )𝑡 ≥0 has the representation
∫ 𝑡
𝑠
𝐺𝑡 = 𝐺 𝑡−𝑠 𝜁 (d𝑠), 𝑡 ≥ 0, (9.22)
0
where 𝜁 (d𝑠) is a diffuse Radon measure on [0, ∞) and {(𝐺 𝑡𝑠 )𝑡 >0 : 𝑠 ≥ 0} is a family
of entrance laws for (𝑄 ◦𝑡 )𝑡 ≥0 .
Proof By Theorem A.40, there is a Radon measure 𝜁 (d𝑠) on [0, ∞) and a family of
entrance laws {(𝐺 𝑡𝑠 )𝑡 >0 : 𝑠 ≥ 0} for (𝑄 ◦𝑡 )𝑡 ≥0 such that
∫
𝑠
𝐺𝑡 = 𝐺 𝑡−𝑠 𝜁 (d𝑠), 𝑡 ≥ 0. (9.23)
[0,𝑡)
For 𝑓 ∈ 𝐶 (𝐸) + we can use the second expression in (9.19) to see

∫ ∫ 𝑡 ∫
𝑡 ↦→ (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑡 (d𝜈) = d𝑠 (1 − e−𝜈 ( 𝑓 ) )𝐻𝑠 (d𝜈)
𝑀 (𝐸) ◦ 0 𝑀 (𝐸) ◦
9.2 Properties of Transition Probabilities 249
is continuous on [0, ∞). Then for any 𝑟 ≥ 0 we have

∫ ∫
0 = lim (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟+𝑡 (d𝜈) − (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟 (d𝜈)
𝑡 ↓0 𝑀 (𝐸) ◦ 𝑀 (𝐸) ◦
∫ ∫
= lim 𝜁 (d𝑠) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟+𝑡−𝑠
𝑠
(d𝜈)
𝑡 ↓0 [0,𝑟+𝑡) 𝑀 (𝐸) ◦
∫ ∫
− 𝜁 (d𝑠) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟−𝑠
𝑠
(d𝜈)
∫ [0,𝑟) ∫ 𝑀 (𝐸) ◦
= lim 𝜁 (d𝑠) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟+𝑡−𝑠
𝑠
(d𝜈)
𝑡 ↓0 [𝑟 ,𝑟+𝑡) 𝑀 (𝐸) ◦
∫ ∫
+ lim 𝜁 (d𝑠) (1 − e−𝜈 (𝑉𝑡 𝑓 ) )𝐺 𝑟−𝑠
𝑠
(d𝜇)
𝑡 ↓0 [0,𝑟) 𝑀 (𝐸) ◦
∫ ∫
− 𝜁 (d𝑠) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟−𝑠
𝑠
(d𝜈)
[0,𝑟) 𝑀 (𝐸) ◦
∫ ∫
= lim 𝜁 (d𝑠) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟+𝑡−𝑠
𝑠
(d𝜈)
𝑡 ↓0 [𝑟 ,𝑟+𝑡) ◦
∫ 𝑀 (𝐸)
≥ lim sup 𝜁 ({𝑟}) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟𝑡 (d𝜈).
𝑡 ↓0 𝑀 (𝐸) ◦
Now suppose that 𝜁 ({𝑟 }) > 0 for some 𝑟 ≥ 0. From the above it follows that
∫
lim sup (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑟𝑡 (d𝜈) = 0. (9.24)
𝑡 ↓0 𝑀 (𝐸) ◦
For 𝑡 ≥ 0 let 𝑞 𝑡 = sup0≤𝑠 ≤𝑡 ∥𝑉𝑠 𝑓 ∥. Then for 0 < 𝑠 < 𝑡 we have

∫ ∫
−𝜈 ( 𝑓 )
(1 − e 𝑟
)𝐺 𝑡 (d𝜈) = (1 − e−𝜈 (𝑉𝑡−𝑠 𝑓 ) )𝐺 𝑟𝑠 (d𝜈)
𝑀 (𝐸) ◦ ∫𝑀 (𝐸) ◦
≤ (1 − e−𝜈 (𝑞𝑡 ) )𝐺 𝑟𝑠 (d𝜈).

𝑀 (𝐸) ◦
By (9.24) the right-hand side tends to zero as 𝑠 → 0, so (𝐺 𝑟𝑡 )𝑡 >0 is trivial. Therefore

we can remove all the atoms of 𝜁 (d𝑠) and obtain (9.22) from (9.23). □
Corollary 9.10 For every SC-semigroup (𝑁𝑡 )𝑡 ≥0 associated with (𝑄 𝑡 )𝑡 ≥0 , we have

the decomposition
∫ 𝑡 ∫
− log 𝐿 𝑁𝑡 ( 𝑓 ) = 𝛾𝑡 ( 𝑓 ) + 𝜁 (d𝑠) (1 − e−𝜈 ( 𝑓 ) )𝐺 𝑡−𝑠
𝑠
(d𝜈),
0 𝑀 (𝐸) ◦
where 𝑡 ↦→ 𝛾𝑡 is an increasing continuous path from [0, ∞) to 𝑀 (𝐸), 𝜁 (d𝑠) is a

diffuse Radon measure on [0, ∞) and {(𝐺 𝑡𝑠 )𝑡 >0 : 𝑠 ≥ 0} is a family of entrance laws
for (𝑄 ◦𝑡 )𝑡 ≥0 .
We next give some estimates for the variations of transition probabilities of the
MBI-process started from different initial states. Recall that the Wasserstein distance
𝑊1 (𝑄 1 , 𝑄 2 ) between two probability measures 𝑄 1 and 𝑄 2 on 𝑀 (𝐸) is defined
by (2.71). For 𝜇, 𝜈 ∈ 𝑀 (𝐸) let |𝜇 − 𝜈| denote the total variation of 𝜇 − 𝜈. Then
∥𝜇 − 𝜈∥ := |𝜇 − 𝜈|(𝐸) is the total variation norm of 𝜇 − 𝜈.
Theorem 9.11 Suppose that (9.9) holds and 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from
𝐸 to 𝑀 (𝐸) ◦ for every 𝑡 ≥ 0. Then for 𝜇, 𝜈 ∈ 𝑀 (𝐸) we have
|(𝜇 − 𝜈) (𝜋𝑡 1)| ≤ 𝑊1 (𝑄 𝑡𝑁 (𝜇, ·), 𝑄 𝑡𝑁 (𝜈, ·)) ≤ |𝜇 − 𝜈|(𝜋𝑡 1), (9.25)
where (𝜋𝑡 )𝑡 ≥0 is the semigroup of bounded kernels on 𝐸 defined by (2.54).
Proof The first inequality in (9.25) follows by a first-moment calculation based

on (9.11) as in the proof of Theorem 2.40. Let 𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) be the coupling
of 𝑄 𝑡 (𝜇, d𝛾1 ) and 𝑄 𝑡 (𝜈, d𝛾2 ) defined in that proof. Let 𝑄 𝑡 (𝜇, 𝜈, d𝜂1 , d𝜂2 ) be the
image of 𝑁𝑡 (d𝛾0 )𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ) under the mapping (𝛾0 , 𝛾1 , 𝛾2 ) ↦→ (𝜂1 , 𝜂2 ) :=
(𝛾0 +𝛾1 , 𝛾+𝛾2 ). From (9.2) we see that 𝑄 𝑡 (𝜇, 𝜈, d𝜂1 , d𝜂2 ) is a coupling of 𝑄 𝑡𝑁 (𝜇, d𝜂1 )
and 𝑄 𝑡𝑁 (𝜈, d𝜂2 ). It follows that
∫
𝑊1 (𝑄 𝑡𝑁 (𝜇, ·), 𝑄 𝑡𝑁 (𝜈, ·)) ≤ ∥𝜂1 − 𝜂2 ∥𝑄 𝑡 (𝜇, 𝜈, d𝜂1 , d𝜂2 )
∫𝑀 (𝐸) 2 ∫
= 𝑁𝑡 (d𝛾0 ) ∥𝛾1 − 𝛾2 ∥𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 )
∫𝑀 (𝐸) 𝑀 (𝐸) 2
= ∥𝛾1 − 𝛾2 ∥𝑃𝑡 (𝜇, 𝜈, d𝛾1 , d𝛾2 ).

𝑀 (𝐸) 2
Then the second inequality in (9.25) follows by the calculations in the proof of
Theorem 2.40. □
Corollary 9.12 Suppose that (9.9) holds and 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel from
𝐸 to 𝑀 (𝐸) ◦ for every 𝑡 ≥ 0. Then for any bounded Borel function 𝐹 on 𝑀 (𝐸) we
have 𝐿 var (𝑄 𝑡𝑁 𝐹) ≤ ∥𝜋𝑡 1∥𝐿 var (𝐹), where 𝐿 var denotes the Lipschitz constant defined
by (2.70).
Theorem 9.13 Suppose that the function 𝑣¯ 𝑡 defined by (2.7) is bounded on 𝐸 for
every 𝑡 > 0. Then for 𝜇, 𝜈 ∈ 𝑀 (𝐸) we have
∥𝑄 𝑡𝑁 (𝜇, ·) − 𝑄 𝑡𝑁 (𝜈, ·) ∥ ≤ 2(1 − e− | 𝜇−𝜈 | ( 𝑣¯𝑡 ) ) ≤ 2|𝜇 − 𝜈|( 𝑣¯ 𝑡 ).

9.3 Regular Immigration Superprocesses 251
Proof Let 𝐹 be a Borel function on 𝑀 (𝐸) satisfying |𝐹 | ≤ 1. In view of (9.2), we

have
∫ ∫
𝑄 𝑡𝑁 𝐹 (𝜇) − 𝑄 𝑡𝑁 𝐹 (𝜈) = 𝐹 (𝜂)𝑄 𝑡𝑁 (𝜇, d𝜂) − 𝐹 (𝜂)𝑄 𝑡𝑁 (𝜈, d𝜂)
∫𝑀 (𝐸) ∫ 𝑀 (𝐸)
= 𝑁𝑡 (d𝛾) 𝐹 (𝜂 + 𝛾)𝑄 𝑡 (𝜇, d𝜂)

𝑀 (𝐸) ∫ 𝑀 (𝐸) ∫
− 𝑁𝑡 (d𝛾) 𝐹 (𝜂 + 𝛾)𝑄 𝑡 (𝜈, d𝜂)

∫ ∫ 𝑀 (𝐸) 𝑀 (𝐸)
≤ 𝐹 (𝜂 + 𝛾)𝑄 𝑡 (𝜇, d𝜂)

𝑀 (𝐸) 𝑀 (𝐸)
∫
− 𝐹 (𝜂 + 𝛾)𝑄 𝑡 (𝜈, d𝜂) 𝑁𝑡 (d𝛾)
𝑀 (𝐸)
≤ 𝑄 𝑡 (𝜇, ·) − 𝑄 𝑡 (𝜈, ·) .
Then desired estimates follow by Theorem 2.45. □
Corollary 9.14 Suppose that 𝑣¯ 𝑡 is bounded on 𝐸 for 𝑡 > 0. Then for any bounded
Borel function 𝐹 on 𝑀 (𝐸) we have 𝐿 var (𝑄 𝑡𝑁 𝐹) ≤ 2∥ 𝑣¯ 𝑡 ∥ ∥𝐹 ∥, where 𝐿 var denotes
the Lipschitz constant defined by (2.70).
In the situation of Corollary 9.14, the operators (𝑄 𝑡𝑁 )𝑡 >0 map bounded Borel
functions on 𝑀 (𝐸) into functions continuous in the total variation distance, that is,
the semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 has the strong Feller property.
9.3 Regular Immigration Superprocesses
In this section we present some basic properties of immigration superprocesses

defined by regular SC-semigroups. Suppose that 𝜉 is a Borel right process in a
Lusin topological space 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 . Let 𝜙 be a branching
mechanism given by (2.29) or (2.30) and let (𝑉𝑡 )𝑡 ≥0 be the cumulant semigroup of
the (𝜉, 𝜙)-superprocess defined by (2.36). Recall that 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)]
and 𝑐+0 = 0 ∨ 𝑐 0 . Let 𝐼 ∈ ℐ(𝐸) be an immigration mechanism given by (9.12) with
𝜈(1)𝐻 (d𝜈) being a finite measure on 𝑀 (𝐸) ◦ . The associated regular immigration
superprocess has transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 given by (9.13). In this case, it
is easy to see that (𝑄 𝑡𝑁 )𝑡 ≥0 is actually a special case of the transition semigroup
constructed in Theorem 6.10. Then the results given below for immigration processes
are essentially consequences of those established in the preceding chapters.
Proposition 9.15 Let (𝑄 𝑡𝑁 )𝑡 ≥0 be defined by (9.13). Then for 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) and

𝑓 ∈ 𝐵(𝐸) we have
∫ ∫ 𝑡
𝑁
𝜈( 𝑓 )𝑄 𝑡 (𝜇, d𝜈) = 𝜇(𝜋𝑡 𝑓 ) + Γ(𝜋 𝑠 𝑓 )d𝑠, (9.26)
𝑀 (𝐸) 0
where 𝑡 ↦→ 𝜋𝑡 𝑓 is defined by (2.38) and

∫
Γ( 𝑓 ) = 𝜂( 𝑓 ) + 𝜈( 𝑓 )𝐻 (d𝜈). (9.27)
𝑀 (𝐸) ◦
Proposition 9.16 Let (𝑌𝑡 , 𝒢𝑡 , P) be an immigration superprocess with transition

semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 such that P[𝑌0 (1)] < ∞. Suppose that 𝛼 ∈ R and 𝑓 ∈ 𝐵(𝐸) +
satisfy 𝜋𝑡 𝑓 (𝑥) ≤ e 𝛼𝑡 𝑓 (𝑥) for all 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. Then the process
∫ 𝑡
−𝛼𝑡
𝑍𝑡 ( 𝑓 ) := e 𝑌𝑡 ( 𝑓 ) − Γ( 𝑓 ) e−𝛼𝑠 d𝑠, 𝑡≥0
0
is a (𝒢𝑡 )-supermartingale.
Proof By Proposition 9.15, for any 𝑡 ≥ 𝑟 ≥ 0 we have

∫ 𝑡
P 𝑍𝑡 ( 𝑓 ) 𝒢𝑟 = e−𝛼𝑡 P[𝑌𝑡 ( 𝑓 )|𝒢𝑟 ] − Γ( 𝑓 ) e−𝛼𝑠 d𝑠

∫ 𝑡−𝑟 0 ∫ 𝑡
−𝛼𝑡
=e 𝑌𝑟 (𝜋𝑡−𝑟 𝑓 ) + Γ(𝜋 𝑠 𝑓 )d𝑠 − Γ( 𝑓 ) e−𝛼𝑠 d𝑠
∫0 𝑡−𝑟 ∫ 0𝑡
−𝛼𝑟
≤ e 𝑌𝑟 ( 𝑓 ) + Γ( 𝑓 ) e 𝛼(𝑠−𝑡)
d𝑠 − Γ( 𝑓 ) e−𝛼𝑠 d𝑠
∫0 𝑟 0
= e−𝛼𝑟 𝑌𝑟 ( 𝑓 ) − Γ( 𝑓 ) e−𝛼𝑠 d𝑠.

0
Then 𝑡 ↦→ 𝑍𝑡 ( 𝑓 ) is a (𝒢𝑡 )-supermartingale. □
Corollary 9.17 Let (𝑌𝑡 , 𝒢𝑡 , P) be a right continuous immigration superprocess with

transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 such that P[𝑌0 (1)] < ∞. Then the process
∫ 𝑡
𝑧(𝑡) := e−𝑐0 𝑡 𝑌𝑡 (1) − Γ(1) e−𝑐0 𝑠 d𝑠, 𝑡 ≥ 0
0
is a (𝒢𝑡 )-supermartingale and for any 𝜆 ≥ 0 we have

n o ∫ 𝑡
𝜆P sup |𝑧(𝑡)| ≥ 𝜆 ≤ P[𝑌0 (1)] + 2Γ(1) e−𝑐0 𝑠 d𝑠.
𝑡 ≥0 0
Corollary 9.18 Let (𝑌𝑡 , 𝒢𝑡 , P) be an immigration superprocess with transition semi-

group (𝑄 𝑡𝑁 )𝑡 ≥0 such that P[𝑌0 (1)] < ∞. Let 𝛼 ≥ 0 and let 𝑓 ∈ 𝐵(𝐸) + be an
𝛼-super-mean-valued function for (𝑃𝑡 )𝑡 ≥0 satisfying 𝜀 := inf 𝑥 ∈𝐸 𝑓 (𝑥) > 0. Then for
any 𝛽 > 𝛼 + 𝑐+0 𝜀 −1 ∥ 𝑓 ∥ the process
𝑍𝑡 ( 𝑓 ) := e−2𝛽𝑡 𝑌𝑡 ( 𝑓 ) + (2𝛽) −1 e−2𝛽𝑡 Γ( 𝑓 ), 𝑡≥0
is a positive (𝒢𝑡 )-supermartingale.

Let F be the set of functions 𝑓 ∈ 𝐵(𝐸) that are finely continuous relative to 𝜉. Fix
𝛽 > 0 and let ( 𝐴, 𝒟( 𝐴)) be the weak generator of (𝑃𝑡 )𝑡 ≥0 defined by 𝒟( 𝐴) = 𝑈 𝛽 F
and 𝐴 𝑓 = 𝛽 𝑓 − 𝑔 for 𝑓 = 𝑈 𝛽 𝑔 ∈ 𝒟( 𝐴).
Theorem 9.19 Suppose that (𝑌𝑡 , 𝒢𝑡 , P) is a progressive realization of the immigra-
tion superprocess with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 such that P[𝑌0 (1)] < ∞. Then
for any 𝑓 ∈ 𝒟( 𝐴), the process
∫ 𝑡

𝑀𝑡 ( 𝑓 ) := 𝑌𝑡 ( 𝑓 ) − 𝑌0 ( 𝑓 ) − 𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 ) + Γ( 𝑓 ) d𝑠
0
is a (𝒢𝑡 )-martingale.
Proposition 9.20 Suppose that the kernel 𝐻 (𝑥, d𝜈) in (2.29) and the measure 𝐻 (d𝜈)
in (9.12) satisfy
∫ ∫
2
sup 𝜈( 𝑓 ) 𝐻 (𝑥, d𝜈) + 𝜈( 𝑓 ) 2 𝐻 (d𝜈) < ∞. (9.28)
𝑥 ∈𝐸 𝑀 (𝐸) ◦ 𝑀 (𝐸) ◦
Then for 𝑡 ≥ 0, 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸) we have

∫ ∫ 𝑡 2
𝜈( 𝑓 ) 2 𝑄 𝑡𝑁 (𝜇, d𝜈) = 𝜇(𝜋𝑡 𝑓 ) + Γ(𝜋 𝑠 𝑓 )d𝑠
𝑀 (𝐸) ∫ 𝑡 ∫ 0
+ d𝑠 𝑞(𝑥, 𝜋 𝑠 𝑓 )𝜇𝜋𝑡−𝑠 (d𝑥)
∫0 𝑡 ∫𝐸 𝑢 ∫
+ d𝑢 d𝑠 𝑞(𝑥, 𝜋 𝑠 𝑓 )Γ𝜋𝑢−𝑠 (d𝑥)
∫0 𝑡 ∫ 0 𝐸
+ d𝑠 𝜈(𝜋 𝑠 𝑓 ) 2 𝐻 (d𝜈), (9.29)

0 𝑀 (𝐸) ◦

Theorem 9.21 The immigration superprocess with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0
has a right realization in 𝑀 (𝐸). If 𝜉 is a Hunt process, then the immigration
superprocess has a Hunt realization in 𝑀 (𝐸).
When the spatial motion 𝜉 is conservative, we also have a counterpart of The-
orem 5.11 for the immigration superprocess. In particular, it has a right process
realization on the canonical space of paths that are right continuous in both 𝑀 (𝐸)
¯
and 𝑀 (𝐸 𝜌 ) and have left limits in 𝑀 ( 𝐸).
Let 𝜉 = (Ω, ℱ, ℱ𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) and 𝑌 = (𝑊, 𝒢, 𝒢𝑟 ,𝑡 , 𝑌𝑡 , Q𝑟𝑁, 𝜇 ) be respectively right

continuous realizations of the underlying spatial motion and the immigration super-
process from an arbitrary initial time 𝑟 ≥ 0. The next theorem gives a characterization
of the weighted occupation times of the immigration superprocess:
Theorem 9.22 Suppose that 𝑡 ≥ 0 and 𝜆 ∈ 𝑀 ( [0, 𝑡]). Let (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) be a
bounded positive Borel function on [0, 𝑡] × 𝐸. Then we have
∫ ∫ 𝑡
Q𝑟𝑁, 𝜇 exp − 𝑌𝑠 ( 𝑓𝑠 )𝜆(d𝑠) = exp − 𝜇(𝑢𝑟 ) − 𝐼 (𝑢 𝑠 )d𝑠
[𝑟 ,𝑡 ] 𝑟
for every 0 ≤ 𝑟 ≤ 𝑡, where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique bounded positive solution
on [0, 𝑡] × 𝐸 of (5.26).
Corollary 9.23 Let 𝑌 = (𝑊, 𝒢, 𝒢𝑡 , 𝑌𝑡 , Q 𝜇𝑁 ) be a right continuous realization of the
immigration superprocess started from time zero. Then for 𝑡 ≥ 0 and 𝑓 , 𝑔 ∈ 𝐵(𝐸) +
we have
∫ 𝑡 ∫ 𝑡
Q 𝜇𝑁 exp − 𝑌𝑡 ( 𝑓 ) − 𝑌𝑠 (𝑔)d𝑠 = exp − 𝜇(𝑣 𝑡 ) − 𝐼 (𝑣 𝑠 )d𝑠 ,
0 0
where (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) is the unique locally bounded positive solution of (5.32).
We can also extend the immigration superprocesses to the state space of tempered
measures. Let 𝛼 ≥ 0 and let ℎ ∈ pℬ(𝐸) be a strictly positive 𝛼-excessive function
for 𝜉. Recall that 𝑀ℎ (𝐸) is the space of Borel measures 𝜇 on 𝐸 satisfying 𝜇(ℎ) < ∞
and 𝐵 ℎ (𝐸) is the set of Borel functions 𝑓 on 𝐸 satisfying | 𝑓 | ≤ const. · ℎ.
Theorem 9.24 Let (𝑉𝑡 )𝑡 ≥0 be the cumulant semigroup defined in Theorem 6.3. Sup-
pose that 𝜂 ∈ 𝑀ℎ (𝐸) and 𝜈(ℎ)𝐻 (d𝜈) is a finite measure on 𝑀ℎ (𝐸) ◦ := 𝑀ℎ (𝐸) \ {0}
and write
∫
1 − e−𝜈 ( 𝑓 ) 𝐻 (d𝜈), 𝑓 ∈ 𝐵 ℎ (𝐸) + .

𝐼 ( 𝑓 ) = 𝜂( 𝑓 ) + (9.30)
𝑀ℎ (𝐸) ◦
Then a Borel right transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 on 𝑀ℎ (𝐸) is defined by

∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑡𝑁 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) − 𝐼 (𝑉𝑠 𝑓 )d𝑠 . (9.31)
𝑀ℎ (𝐸) 0
If, in addition, the semigroup ( 𝑃˜𝑡 )𝑡 ≥0 given by (6.10) has a Hunt realization, then
(𝑄 𝑡𝑁 )𝑡 ≥0 has a Hunt realization.
Suppose that 𝑇 ⊂ R is an interval and 𝐹 is a Lusin topological space. Let 𝐸˜ be

a Borel subset of 𝑇 × 𝐹. Let (𝑃𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) be an inhomogeneous Borel right
transition semigroup with global state space 𝐸˜ and let 𝜉 = (Ω, ℱ, ℱ𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) be
a right continuous realization of the semigroup. Let 𝜙 be given by (6.29). Suppose
that 𝜂(𝑠, d𝑦) is a bounded kernel from 𝑇 to 𝐸˜ and 𝜈(1)𝐻 (𝑠, d𝜈) is a bounded kernel
from 𝑇 to 𝑀 ( 𝐸)˜ ◦ . For every 𝑠 ∈ 𝑇 we assume 𝜂(𝑠, d𝑦) is supported by {𝑠} × 𝐸 𝑠 and
𝐻 (𝑠, d𝜈) is supposed by 𝑀 ({𝑠} × 𝐸 𝑠 ) ◦ . Then we can regard 𝜂(𝑠, d𝑦) as a measure on
𝐸 𝑠 and regard 𝐻 (𝑠, d𝜈) as a measure on 𝑀 (𝐸 𝑠 ) ◦ . For 𝑠 ∈ 𝑇 and 𝑓 ∈ 𝐵(𝐸 𝑠 ) + define
∫
1 − e−𝜈 ( 𝑓 ) 𝐻 (𝑠, d𝜈).

𝐼 (𝑠, 𝑓 ) = 𝜂(𝑠, 𝑓 ) + (9.32)
𝑀 (𝐸𝑠 ) ◦
Let 𝑀˜ = {(𝑡, 𝜇) : 𝑡 ∈ 𝑇, 𝜇 ∈ 𝑀 (𝐸 𝑡 )}. We identify this set with {(𝑡, 𝜇) ∈ 𝑇 × 𝑀 (𝐹) :

𝜇(𝐹 \ 𝐸 𝑡 ) = 0} furnished with the topology inherited from 𝑇 × 𝑀 (𝐹).
Theorem 9.25 For 𝑡 ∈ 𝑇 and 𝑓 ∈ 𝐵(𝐸 𝑡 ) + let (𝑟, 𝑥) ↦→ 𝑉𝑟 ,𝑡 𝑓 (𝑥) be the unique
locally bounded positive solution on 𝐸˜ ≤𝑡 of (6.30). Then an inhomogeneous Borel
right transition semigroup (𝑄 𝑟𝑁,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) with global state space 𝑀˜ is defined
by
∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑟𝑁,𝑡 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑟 ,𝑡 𝑓 ) − 𝐼 (𝑠, 𝑉𝑠,𝑡 𝑓 )d𝑠 . (9.33)
𝑀 (𝐸𝑡 ) 𝑟
If an inhomogeneous Markov process with global state space 𝑀˜ has transition

semigroup (𝑄 𝑟𝑁,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by (9.33), we call it an inhomogeneous
immigration superprocess with spatial motion 𝜉, branching mechanism 𝜙 and immi-
gration mechanism 𝐼. Let (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) be the transition semigroup defined by
(6.30) and (6.31). Clearly, we have
𝑄 𝑟𝑁,𝑡 (𝜇, ·) = 𝑄 𝑟 ,𝑡 (𝜇, ·) ∗ 𝑁𝑟 ,𝑡 , 𝑟 ≤ 𝑡 ∈ 𝑇, (9.34)
where 𝑁𝑟 ,𝑡 := 𝑄 𝑟𝑁,𝑡 (0, ·) satisfies
𝑁𝑟 ,𝑡 = (𝑁𝑟 ,𝑠 𝑄 𝑠,𝑡 ) ∗ 𝑁 𝑠,𝑡 , 𝑟 ≤ 𝑠 ≤ 𝑡 ∈ 𝑇. (9.35)
In view of (9.35), it is natural to call (𝑁𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) an inhomogeneous skew-

convolution semigroup associated with (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇).
Theorem 9.26 Let 𝑌 = (𝑊, 𝑌𝑡 , 𝒢, 𝒢𝑟 ,𝑡 , Q𝑟𝑁, 𝜇 ) be a right continuous inhomogeneous
immigration superprocess with transition semigroup (𝑄 𝑟𝑁,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by
(9.33). Suppose that 𝜆 is a Radon measure on 𝑇 and (𝑠, 𝑥) ↦→ 𝑓𝑠 (𝑥) is a locally
bounded positive Borel function on 𝐸. ˜ Then for any 𝑡 ∈ 𝑇 we have
∫
Q𝑟𝑁, 𝜇 exp − 𝑋𝑠 ( 𝑓𝑠 )𝜆(d𝑠)
[𝑟 ,𝑡 ] ∫ 𝑡
= exp − 𝜇(𝑢𝑟 ) − 𝐼 (𝑠, 𝑢 𝑠 )d𝑠 , 𝑟 ∈ 𝑇≤𝑡 , (9.36)
𝑟
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique locally bounded positive solution on 𝐸˜ ≤𝑡 of

(6.35).
Let us briefly discuss the special case of one-dimensional processes. Suppose that
𝛽 ∈ 𝐵(𝑇) + and 𝑧𝑛(𝑡, d𝑧) is a bounded kernel from 𝑇 to (0, ∞). For 𝑡 ∈ 𝑇 and 𝜆 ≥ 0
define
∫ ∞
1 − e−𝜆𝑧 𝑛(𝑡, d𝑧).

𝜓(𝑡, 𝜆) = 𝛽(𝑡)𝜆 + (9.37)
0
Let 𝑟 ↦→ 𝑣 𝑟 ,𝑡 (𝜆) be the unique locally bounded positive solution of (6.38). By

modifying the proof of Theorem 6.17 we obtain the following:
Theorem 9.27 There is an inhomogeneous Borel right transition semigroup

𝛾
(𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) on [0, ∞) defined by, for 𝜆 ≥ 0,
∫ ∫ 𝑡
−𝜆𝑦 𝛾
e 𝑄 𝑟 ,𝑡 (𝑥, d𝑦) = exp − 𝑥𝑣 𝑟 ,𝑡 (𝜆) − 𝜓(𝑠, 𝑣 𝑠,𝑡 (𝜆))d𝑠 . (9.38)
[0,∞) 𝑟
𝛾
Moreover, the semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) has a càdlàg realization.
𝛾
The transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by (9.38) is a natural
generalization of the homogeneous semigroup given by (3.29). If an inhomogeneous
𝛾
Markov process in [0, ∞) has transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇), we call
it an inhomogeneous CBI-process with branching mechanism 𝜙 and immigration
mechanism 𝜓. As a special case of Theorem 9.26, we have:
𝛾
Theorem 9.28 Suppose that 𝑌 = (𝑊, 𝒢, 𝒢𝑟 ,𝑡 , 𝑦(𝑡), Q𝑟 , 𝑥 ) is a right continuous in-
𝛾
homogeneous CBI-process with transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝑇) defined by
(9.38). Let 𝜆 ≥ 0 and let 𝑠 ↦→ 𝑓 (𝑠) be a locally bounded Borel function on 𝑇. Then
for any 𝑡 ≥ 𝑟 ∈ 𝑇 we have
∫ 𝑡
𝛾
Q𝑟 , 𝑥 exp − 𝜆𝑦(𝑡) − 𝑓 (𝑠)𝑦(𝑠)d𝑠
𝑟 ∫ 𝑡
= exp − 𝑥𝑢(𝑟, 𝜆, 𝑓 ) − 𝜓(𝑠, 𝑢(𝑠, 𝜆, 𝑓 ))d𝑠 , (9.39)
𝑟
where 𝑟 ↦→ 𝑢(𝑟, 𝜆, 𝑓 ) is the unique locally bounded positive solution to (6.40).
9.4 Characterizations by Martingale Problems
Suppose that 𝐸 is a locally compact separable metric space. Let 𝜉 be a Hunt pro-
cess in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 . We assume (𝑃𝑡 )𝑡 ≥0 preserves 𝐶0 (𝐸)
and 𝑡 ↦→ 𝑃𝑡 𝑓 is continuous in the supremum norm for every 𝑓 ∈ 𝐶0 (𝐸), but the
semigroup is not necessarily conservative. Let 𝜙 be a branching mechanism given
by (2.29) or (2.30) satisfying Conditions 7.1 and 7.2. By Theorem 9.21 the immigra-
tion superprocess with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 given by (9.13) has a càdlàg
realization. The characterizations of the immigration superprocess by martingale
problems given below are essentially consequences of Theorem 6.10 and the results
in Sections 7.2 and 7.4.
9.4 Characterizations by Martingale Problems 257
Proposition 9.29 If {𝑌𝑡 : 𝑡 ≥ 0} is a càdlàg Markov process in 𝑀 (𝐸) relative to

a filtration (𝒢𝑡 )𝑡 ≥0 with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 , then {𝑌𝑡 : 𝑡 ≥ 0} is also a
Markov process relative to the augmented right continuous filtration (𝒢¯ 𝑡+ )𝑡 ≥0 with
the same transition semigroup.
Let 𝐴 denote the strong generator of (𝑃𝑡 )𝑡 ≥0 with domain 𝐷 0 ( 𝐴) ⊂ 𝐶0 (𝐸). Let
𝒟0 be the class of functions on 𝑀 (𝐸) of the form (7.16). Let 𝐿 0 be the generator
defined by (7.17). For 𝐹 ∈ 𝒟0 define
∫
𝐿𝐹 (𝜇) = 𝐿 0 𝐹 (𝜇) + 𝐹 ′ (𝜇; 𝑥)𝜂(d𝑥)
∫ 𝐸
+ [𝐹 (𝜇 + 𝜈) − 𝐹 (𝜇)]𝐻 (d𝜈). (9.40)

𝑀 (𝐸) ◦
Suppose that (𝑊, 𝒢, 𝒢𝑡 , P) is a filtered probability space satisfying the usual hy-
potheses and {𝑌𝑡 : 𝑡 ≥ 0} is a càdlàg process in 𝑀 (𝐸) that is adapted to (𝒢𝑡 )𝑡 ≥0 and
satisfies P[𝑌0 (1)] < ∞. For this process we consider the following properties:
(1) For every 𝑇 ≥ 0 and 𝑓 ∈ 𝐶0 (𝐸) + ,

∫ 𝑇−𝑡
exp − 𝑌𝑡 (𝑉𝑇−𝑡 𝑓 ) − 𝐼 (𝑉𝑠 𝑓 )d𝑠 , 0≤𝑡 ≤𝑇
0
is a martingale.
(2) For every 𝑓 ∈ 𝐷 0 ( 𝐴) + ,
∫ 𝑡
𝐻𝑡 ( 𝑓 ) := exp − 𝑌𝑡 ( 𝑓 ) + [𝑌𝑠 ( 𝐴 𝑓 − 𝜙( 𝑓 )) + 𝐼 ( 𝑓 )]d𝑠 , 𝑡≥0
0
is a local martingale.
(3) The process {𝑌𝑡 : 𝑡 ≥ 0} has no negative jumps. Moreover, we have:
by
∑︁
𝑁 (d𝑠, d𝜈) = 1 {Δ𝑌𝑠 ≠0} 𝛿 (𝑠,Δ𝑌𝑠 ) (d𝑠, d𝜈), (9.41)
𝑠>0
where Δ𝑌𝑠 = 𝑌𝑠 − 𝑌𝑠− . Then 𝑁 (d𝑠, d𝜈) has predictable compensator
𝑁ˆ (d𝑠, d𝜈) = d𝑠𝐾 (𝑌𝑠− , d𝜈) + d𝑠𝐻 (d𝜈),
where
∫
𝐸
(b) Let Γ be defined by (9.27) and let 𝑁˜ (d𝑠, d𝜈) = 𝑁 (d𝑠, d𝜈) − 𝑁ˆ (d𝑠, d𝜈). Then
for any 𝑓 ∈ 𝐷 0 ( 𝐴), we have
∫ 𝑡
𝑌𝑡 ( 𝑓 ) = 𝑌0 ( 𝑓 ) + 𝑀𝑡𝑐 ( 𝑓 ) + 𝑀𝑡𝑑 ( 𝑓 ) + Γ ( 𝑓 )𝑡 + 𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠, (9.42)
0

2𝑌𝑡 (𝑐 𝑓 2 )d𝑡 and
∫ 𝑡∫
𝑡 ↦→ 𝑀𝑡𝑑 ( 𝑓 ) = 𝜈( 𝑓 ) 𝑁˜ (d𝑠, d𝜈) (9.43)
0 𝑀 (𝐸) ◦

(4) For every 𝐹 ∈ 𝒟0 we have
∫ 𝑡
𝐹 (𝑌𝑡 ) = 𝐹 (𝑌0 ) + 𝐿𝐹 (𝑌𝑠 )d𝑠 + local mart.
0
(5) For every 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐷 0 ( 𝐴),

∫ 𝑡
𝐺 (𝑌𝑡 ( 𝑓 )) = 𝐺 (𝑌0 ( 𝑓 )) + 𝐺 ′ (𝑌𝑠 ( 𝑓 ))𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠
∫ 𝑡h 0
i
+ 𝐺 (𝑌𝑠 ( 𝑓 ))𝑌𝑠 (𝑐 𝑓 2 ) + 𝐺 ′ (𝑌𝑠 ( 𝑓 ))𝜂( 𝑓 ) d𝑠
′′
∫0 𝑡 ∫ ∫ h
+ d𝑠 𝑌𝑠 (d𝑥) 𝐺 (𝑌𝑠 ( 𝑓 ) + 𝜈( 𝑓 )) − 𝐺 (𝑌𝑠 ( 𝑓 ))
0 𝐸 𝑀 (𝐸) ◦ ∫ 𝑡 ∫
i h
− 𝜈( 𝑓 )𝐺 ′ (𝑌𝑠 ( 𝑓 )) 𝐻 (𝑥, d𝜈) + d𝑠 𝐺 (𝑌𝑠 ( 𝑓 ) + 𝜈( 𝑓 ))
i 0 𝑀 (𝐸) ◦
− 𝐺 (𝑌𝑠 ( 𝑓 )) 𝐻 (d𝜈) + local mart.
Theorem 9.30 The above properties (1), (2), (3), (4) and (5) are equivalent to each
other. Those properties hold if and only if {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is an immigration
superprocess with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 given by (9.13).
In the following corollaries, we assume {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a càdlàg realization

of the immigration superprocess satisfying P[𝑌0 (1)] < ∞.
Corollary 9.31 The local martingales in the above properties (3), (4) and (5) are
martingales.
Corollary 9.32 For 𝑇 ≥ 0 and 𝑓 ∈ 𝐷 0 ( 𝐴) there is a constant 𝐶 (𝑇, 𝑓 ) ≥ 0 such that

h i n
P sup |𝑌𝑡 ( 𝑓 )| ≤ 𝐶 (𝑇, 𝑓 ) P[𝑌0 (1)] + Γ(1)
0≤𝑡 ≤𝑇 o
√︁ √︁
+ P[𝑌0 (1)] + Γ(1) .
9.4 Characterizations by Martingale Problems 259
Corollary 9.33 Suppose that (9.28) holds. Then for every 𝑓 ∈ 𝐷 0 ( 𝐴),
∫ 𝑡
𝑀𝑡 ( 𝑓 ) = 𝑌𝑡 ( 𝑓 ) − 𝑌0 ( 𝑓 ) − 𝑡Γ( 𝑓 ) − 𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠 (9.44)
0
is a square integrable (𝒢𝑡 )-martingale with quadratic variation process

∫ 𝑡 ∫ ∫
⟨𝑀 ( 𝑓 )⟩𝑡 = 𝑞(𝑥, 𝑓 )𝑌𝑠 (d𝑥) + 𝜈( 𝑓 ) 2 𝐻 (d𝜈) d𝑠,
0 𝐸 𝑀 (𝐸) ◦
If 𝑃𝑡 1 ∈ 𝐶 (𝐸) for every 𝑡 ≥ 0 and there exists an 𝐴1 ∈ 𝐶 (𝐸) such that (7.36)
holds, where the convergence is uniform, we can extend the operator 𝐴 to the
linear span 𝐷 ( 𝐴) of 𝐷 0 ( 𝐴) and the constant functions. In this case, the results of
Theorem 9.30 and its corollaries remain true with 𝐷 0 ( 𝐴) replaced by 𝐷 ( 𝐴).
Theorem 9.34 The continuous martingale functional {𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐷 0 ( 𝐴)}

defined by (9.42) induces a continuous orthogonal martingale measure with covari-
ance measure 𝜂 𝑐 (d𝑠, d𝑥) = 2𝑐(𝑥)d𝑠𝑌𝑠 (d𝑥).
Proposition 9.35 Let 𝑁 (d𝑠, d𝜈) be given by (9.41). Then for any 𝑎 > 0 we can define
a càdlàg worthy martingale measure
∫ 𝑡∫
𝑎
𝑍𝑡 (𝐵) = 𝜈(𝐵) 𝑁˜ (d𝑠, d𝜈), 𝑡 ≥ 0, 𝐵 ∈ ℬ(𝐸),
0 {𝜈 (1) ≤𝑎 }

∫ ∫
𝑎
𝜂 (d𝑠, d𝑥, d𝑦) = d𝑠 𝑌𝑠 (d𝑧) 𝜈(d𝑥)𝜈(d𝑦)𝐻 (𝑧, d𝜈)
𝐸
∫ {𝜈 (1) ≤𝑎 }
+ d𝑠 𝜈(d𝑥)𝜈(d𝑦)𝐻 (d𝜈).
{𝜈 (1) ≤𝑎 }
Corollary 9.36 Suppose that (9.28) holds. Then we can define a càdlàg worthy
martingale measure
∫ 𝑡∫
𝑍𝑡 (𝐵) = 𝜈(𝐵) 𝑁˜ (d𝑠, d𝜈), 𝑡 ≥ 0, 𝐵 ∈ ℬ(𝐸),
0 𝑀 (𝐸) ◦

∫ ∫
𝜂(d𝑠, d𝑥, d𝑦) = d𝑠 𝑌𝑠 (d𝑧) 𝜈(d𝑥)𝜈(d𝑦)𝐻 (𝑧, d𝜈)
𝐸
∫ 𝑀 (𝐸) ◦
+ d𝑠 𝜈(d𝑥)𝜈(d𝑦)𝐻 (d𝜈).
𝑀 (𝐸) ◦
Theorem 9.37 Let (𝜋𝑡 )𝑡 ≥0 be the semigroup defined by (2.38). Then for any 𝑡 ≥ 0
and 𝑓 ∈ 𝐵(𝐸) we have a.s.
∫ 𝑡 ∫ 𝑡∫
𝑌𝑡 ( 𝑓 ) = 𝑌0 (𝜋𝑡 𝑓 ) + Γ(𝜋𝑡−𝑠 𝑓 )d𝑠 + 𝜋𝑡−𝑠 𝑓 (𝑥)𝑀 𝑐 (d𝑠, d𝑥)
∫ 𝑡∫ 0 0 𝐸
+ 𝜈(𝜋𝑡−𝑠 𝑓 ) 𝑁˜ (d𝑠, d𝜈). (9.45)

0 𝑀 (𝐸) ◦
The integral with respect to 𝑁˜ (d𝑠, d𝜈) in (9.45) is defined as in Section 7.4
by considering separately the sets {𝜈 ∈ 𝑀 (𝐸) ◦ : 𝜈(1) ≤ 1} and {𝜈 ∈ 𝑀 (𝐸) ◦ :
𝜈(1) > 1}.
We can also give martingale problem formulations of the immigration superpro-
cess on the tempered space. Suppose that ℎ ∈ 𝐷 0 ( 𝐴) is strictly positive and there is
a constant 𝛼 > 0 such that 𝐴ℎ ≤ 𝛼ℎ. Recall that 𝐶ℎ (𝐸) is the set of continuous func-
tions 𝑓 on 𝐸 satisfying | 𝑓 | ≤ const. · ℎ and 𝐷 ℎ ( 𝐴) = { 𝑓 ∈ 𝐷 0 ( 𝐴) ∩ 𝐶ℎ (𝐸) : 𝐴 𝑓 ∈
𝐶ℎ (𝐸)}. Let 𝜙 be a branching mechanism given as in Section 6.1 with 𝜌 = ℎ and let
(𝑄 𝑡𝑁 )𝑡 ≥0 be the transition semigroup on 𝑀ℎ (𝐸) defined by (9.30) and (9.31). Sup-
pose that 𝑓 ↦→ ℎ−1 𝜙(·, ℎ 𝑓 ) −𝛼 𝑓 satisfies the conditions for the branching mechanism
specified at the beginning of Section 7.1. Then we have:
Theorem 9.38 Let (𝑊, 𝒢, 𝒢𝑡 , P) be a filtered probability space satisfying the usual
hypotheses and let {𝑌𝑡 : 𝑡 ≥ 0} be a càdlàg process in 𝑀ℎ (𝐸) that is adapted to
(𝒢𝑡 )𝑡 ≥0 and satisfies P[𝑌0 (ℎ)] < ∞. Then Theorem 9.30 still holds when 𝑀 (𝐸),
𝐶0 (𝐸) and 𝐷 0 ( 𝐴) are replaced by 𝑀ℎ (𝐸), 𝐶ℎ (𝐸) and 𝐷 ℎ ( 𝐴), respectively.
Theorem 9.39 For every 𝜇 ∈ 𝑀ℎ (𝐸) the immigration superprocess with transition
semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 defined by (9.30) and (9.31) has a càdlàg realization {𝑌𝑡 : 𝑡 ≥ 0}
in 𝑀ℎ (𝐸) with initial value 𝑌0 = 𝜇.
We close this section with a characterization of the one-dimensional CBI-process
in terms of a martingale problem. Let 𝜙 and 𝜓 be the branching and immigration
mechanisms given by (3.1) and (3.26), respectively, with 𝑢𝑛(d𝑢) being a finite
𝛾
measure on (0, ∞). Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup defined by (3.3) and
(3.29). As a consequence of Theorem 9.30, we have the following:
Theorem 9.40 Suppose that {(𝑦(𝑡), 𝒢𝑡 ) : 𝑡 ≥ 0} is a positive càdlàg process such
that P[𝑦(0)] < ∞. Then {(𝑦(𝑡), 𝒢𝑡 ) : 𝑡 ≥ 0} is a CBI-process with transition
semigroup (𝑄 𝑡 )𝑡 ≥0 if and only if for every 𝑓 ∈ 𝐶 2 (R+ ) we have
𝛾
∫ 𝑡
𝑓 (𝑦(𝑡)) = 𝑓 (𝑦(0)) + 𝐿 𝑓 (𝑦(𝑠))d𝑠 + local mart., (9.46)
0
where
∫ ∞
′′
𝑓 (𝑥 + 𝑧) − 𝑓 (𝑥) − 𝑧 𝑓 ′ (𝑥) 𝑚(d𝑧)

𝐿 𝑓 (𝑥) = 𝑐𝑥 𝑓 (𝑥) + 𝑥
0 ∫ ∞
′

+ (𝛽 − 𝑏𝑥) 𝑓 (𝑥) + 𝑓 (𝑥 + 𝑧) − 𝑓 (𝑥) 𝑛(d𝑧). (9.47)
0
9.5 Constructions of the Trajectories 261
By Corollary 9.31, if {(𝑦(𝑡), 𝒢𝑡 ) : 𝑡 ≥ 0} is a CBI-process with transition

𝛾
semigroup (𝑄 𝑡 )𝑡 ≥0 , then the local martingale in (9.46) is actually a martingale.
9.5 Constructions of the Trajectories
Suppose that 𝐸 is a Lusin topological space. Let (𝑉𝑡 )𝑡 ≥0 and (𝑄 𝑡 )𝑡 ≥0 denote respec-
tively the cumulant and transition semigroups of a general Borel right MB-process
in 𝑀 (𝐸). Recall that the cumulant semigroup (𝑉𝑡 )𝑡 ≥0 has canonical representation
(2.5). Suppose that 𝑡 ↦→ 𝑉𝑡 𝑓 (𝑥) is locally bounded. Let 𝑊ˆ be the space of paths
𝑤 : [0, ∞) → 𝑀 (𝐸) such that 𝑤 𝑡 takes values in 𝑀 (𝐸) ◦ and is right continuous in
some interval (𝛼(𝑤), 𝜁 (𝑤)) or [𝛼(𝑤), 𝜁 (𝑤)) ⊂ [0, ∞) and takes the value 0 ∈ 𝑀 (𝐸)
elsewhere. Let 𝑤 𝑠 = {𝑤 𝑡∧𝑠 : 𝑡 ≥ 0} for 𝑠 ≥ 0 and 𝑤 ∈ 𝑊. ˆ We equip this space with
the natural 𝜎-algebras 𝒜 = 𝜎({𝑤(𝑠) : 𝑠 ≥ 0}) and 𝒜𝑡0 = 𝜎({𝑤(𝑠) : 0 ≤ 𝑠 ≤ 𝑡})
0
for 𝑡 ≥ 0.
Let (𝑁𝑡 )𝑡 ≥0 be an SC-semigroup defined by (9.7) with 𝐼𝑡 = − log 𝐿 𝐾𝑡 for an
infinitely divisible probability entrance law (𝐾𝑡 )𝑡 >0 , which is defined by (8.2) in
terms of {(𝜂𝑡 , 𝐻𝑡 ) : 𝑡 > 0}. Let Q(𝐻, ·) be the Kuznetsov measure on 𝑊ˆ defined by
(8.46) corresponding to the entrance rule 𝐻 = (𝐻𝑡 )𝑡 >0 . Suppose that 𝑁 (d𝑠, d𝑤) is a
Poisson random measure on (0, ∞) × 𝑊ˆ with intensity d𝑠Q(𝐻, d𝑤). For 𝑡 ≥ 0 let
∫ 𝑡 ∫ 𝑡∫
𝑌𝑡 = 𝜂𝑡−𝑠 d𝑠 + 𝑤 𝑡−𝑠 𝑁 (d𝑠, d𝑤) (9.48)
0 0 ˆ
𝑊
and let 𝒢𝑡 be the 𝜎-algebra generated by random variables of the form

∫ ∞∫
ℎ𝑡 (𝑠, 𝑤)𝑁 (d𝑠, d𝑤), (9.49)
0 ˆ
𝑊
where ℎ𝑡 (𝑠, 𝑤) = ℎ(𝑠, 𝑤 𝑡−𝑠 )1 {𝑠 ≤𝑡 , 𝛼(𝑤) ≤𝑡−𝑠 } for some ℎ ∈ p(ℬ(0, ∞) × 𝒜 0 ).
Theorem 9.41 The pair {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} defined above is an immigration process

with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 defined by (9.8).
Proof For 𝑡 ≥ 𝑟 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + write 𝐹𝑟 ,𝑡 (𝑠, 𝑤) = ℎ𝑟 (𝑠, 𝑤) + 𝑤 𝑡−𝑠 ( 𝑓 ). Then

we have
∫ ∞∫
P exp − ℎ𝑟 (𝑠, 𝑤)𝑁 (d𝑠, d𝑤) − 𝑌𝑡 ( 𝑓 )
0 𝑊ˆ
∫ 𝑡 ∫ 𝑡∫
= P exp − 𝜂𝑡−𝑠 ( 𝑓 )d𝑠 − 𝐹𝑟 ,𝑡 (𝑠, 𝑤)𝑁 (d𝑠, d𝑤)
0 0 𝑊ˆ
∫ 𝑡 ∫ 𝑡
Q 𝐻, 1 − e−𝐹𝑟 ,𝑡 (𝑠,𝑤) d𝑠

= exp − 𝜂𝑡−𝑠 ( 𝑓 )d𝑠 −
0 0
∫ 𝑡 ∫ 𝑟
−𝐹𝑟 ,𝑡 (𝑠,𝑤)
= exp − 𝜂𝑡−𝑠 ( 𝑓 )d𝑠 − Q 𝐻, 1 − e d𝑠
0 0
∫ 𝑡
Q 𝐻, 1 − e−𝑤𝑡−𝑠 ( 𝑓 ) d𝑠

· exp −
𝑟
∫ 𝑡 ∫ 𝑟
−ℎ𝑟 (𝑠,𝑤)
= exp − 𝜂𝑡−𝑠 ( 𝑓 )d𝑠 − Q 𝐻, 1 − e d𝑠
0 0
∫ 𝑟
Q 𝐻, e−ℎ𝑟 (𝑠,𝑤) [1 − e−𝑤𝑡−𝑠 ( 𝑓 ) ] d𝑠

· exp −
0
∫ 𝑡
−𝑤𝑡−𝑠 ( 𝑓 )
· exp − Q 𝐻, 1 − e d𝑠 .
𝑟
For 0 < 𝑠 ≤ 𝑟 it is clear that ℎ𝑟 (𝑠, [0]) = 0 and 𝑤 ↦→ ℎ𝑟 (𝑠, 𝑤) is measurable relative
0 . By Theorem 8.24,
to 𝒜𝑟−𝑠
∫ ∞∫
P exp − ℎ𝑟 (𝑠, 𝑤)𝑁 (d𝑠, d𝑤) − 𝑌𝑡 ( 𝑓 )
0 ∫𝑊ˆ 𝑡 ∫ 𝑟
Q 𝐻, 1 − e−ℎ𝑟 (𝑠,𝑤) d𝑠

= exp − 𝜂𝑡−𝑠 ( 𝑓 )d𝑠 −
∫0 𝑟 0
−ℎ𝑟 (𝑠,𝑤)
[1 − e−𝑤𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 ) ] d𝑠

· exp − Q 𝐻, e
∫0 𝑟
· exp − [𝜂𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 ) − 𝜂𝑡−𝑠 ( 𝑓 )]d𝑠
∫0 𝑡
−𝑤𝑡−𝑠 ( 𝑓 )
· exp − Q 𝐻, 1 − e d𝑠
∫ 𝑟𝑟

= exp − Q 𝐻, 1 − exp{−𝐺 𝑟 ,𝑡 (𝑠, 𝑤)} d𝑠
∫0 𝑟 ∫ 𝑡
· exp − 𝜂𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 )d𝑠 − 𝜂𝑡−𝑠 ( 𝑓 )d𝑠
∫0 𝑡 ∫ 𝑟
−𝜈 ( 𝑓 )
· exp − d𝑠 (1 − e )𝐻𝑡−𝑠 (d𝜈)
◦
∫𝑟 𝑟 ∫ 𝑀 (𝐸)
= P exp − 𝐺 𝑟 ,𝑡 (𝑠, 𝑤)𝑁 (d𝑠, d𝑤)
∫ 0𝑟 𝑊ˆ ∫ 𝑡
· exp − 𝜂𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 )d𝑠 − 𝐼𝑡−𝑠 ( 𝑓 )d𝑠
0∫ ∞ ∫ 𝑟
= P exp − ℎ𝑟 (𝑠, 𝑤)𝑁 (d𝑠, d𝑤)
ˆ
0 𝑊 ∫ 𝑡
· exp − 𝑌𝑟 (𝑉𝑡−𝑟 𝑓 ) − 𝐼𝑡−𝑠 ( 𝑓 )d𝑠 ,
𝑟
where 𝐺 𝑟 ,𝑡 (𝑠, 𝑤) = ℎ𝑟 (𝑠, 𝑤) + 𝑤 𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 ). Then {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is a Markov

process with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 . □
Let 𝜂 ∈ 𝑀 (𝐸) and let L(𝜂, ·) be the Kuznetsov measure corresponding to the
entrance rule 𝜂𝐿 := (𝜂𝐿 𝑡 )𝑡 >0 . Suppose that 𝑁 𝜂 (d𝑠, d𝑤) is a Poisson random measure
on (0, ∞) × 𝑊ˆ with intensity d𝑠L(𝜂, d𝑤). For 𝑡 ≥ 0 let
∫ 𝑡 ∫ 𝑡∫
𝜂
𝑌𝑡 = 𝜂𝜆 𝑡−𝑠 d𝑠 + 𝑤 𝑡−𝑠 𝑁 𝜂 (d𝑠, d𝑤) (9.50)
0 0 ˆ
𝑊
𝜂
and let 𝒢𝑡 be the 𝜎-algebra generated by the random variables in (9.49) with
𝑁 (d𝑠, d𝑤) replaced by 𝑁 𝜂 (d𝑠, d𝑤).
𝜂 𝜂
Corollary 9.42 The pair {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is an immigration process with transi-
𝜂
tion semigroup (𝑄 𝑡 )𝑡 ≥0 defined by the special form of (9.13) with 𝐼 ( 𝑓 ) = 𝜂( 𝑓 ) for
𝑓 ∈ 𝐵(𝐸) + .
Suppose that [1 ∧ 𝜈(1)]𝐻 (d𝜈) is a finite measure on 𝑀 (𝐸) ◦ . Let Q(𝐻, ·) be
the Kuznetsov measure corresponding to the entrance law (𝐻𝑄 ◦𝑡 )𝑡 >0 . Suppose that
𝑁 𝐻 (d𝑠, d𝑤) is a Poisson random measure on (0, ∞) × 𝑊ˆ with intensity d𝑠Q(𝐻, d𝑤).
For 𝑡 ≥ 0 let
∫ 𝑡∫
𝑌𝑡𝐻 = 𝑤 𝑡−𝑠 𝑁 𝐻 (d𝑠, d𝑤) (9.51)
0 ˆ
𝑊
and let 𝒢𝑡𝐻 be the 𝜎-algebra generated by the random variables in (9.49) with
𝑁 (d𝑠, d𝑤) replaced by 𝑁 𝐻 (d𝑠, d𝑤).
Corollary 9.43 The pair {(𝑌𝑡𝐻 , 𝒢𝑡𝐻 ) : 𝑡 ≥ 0} is an immigration process with transi-
tion semigroup (𝑄 𝑡𝐻 )𝑡 ≥0 defined by the special form of (9.13) with
∫
1 − e−𝜈 ( 𝑓 ) 𝐻 (d𝜈), 𝑓 ∈ 𝐵(𝐸) + .

𝐼( 𝑓 ) = (9.52)
𝑀 (𝐸) ◦
Corollary 9.44 Suppose that the two Poisson random measures in Corollaries 9.42
and 9.43 are defined on the same complete probability space and are independent
𝜂 𝜂
of each other. Let 𝑌𝑡 = 𝑌𝑡 + 𝑌𝑡𝐻 and 𝒢𝑡 = 𝜎(𝒢𝑡 ∪ 𝒢𝑡𝐻 ). Then {(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0}
is an immigration process with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 defined by (9.12) and
(9.13).
From the constructions of the immigration processes given above it is clear
that, except the deterministic parts, both the entry times and the evolutions of the
immigrants are determined by the Poisson random measures based on the Kuznetsov
measures. In the situation of the above corollaries, it is natural to expect a better
behavior of the immigration process.
We next discuss the constructions of immigration superprocesses. Suppose that 𝜉
is a Borel right process in 𝐸 and 𝜙 is a branching mechanism given by (2.29) or (2.30).
Let 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) be a canonical realization of the (𝜉, 𝜙)-superprocess as
a Borel right process, where 𝑊 is the space of right continuous paths from [0, ∞)
into 𝑀 (𝐸). Suppose that [1 ∧ 𝜈(1)]𝐻 (d𝜈) is a finite measure on 𝑀 (𝐸) ◦ and let Q 𝐻
be the 𝜎-finite measure on 𝑊 defined by
∫
Q 𝐻 (d𝑤) = 𝐻 (d𝜈)Q𝜈 (d𝑤), 𝑤 ∈ 𝑊. (9.53)
𝑀 (𝐸) ◦
Since the (𝜉, 𝜙)-superprocess has the null measure as a trap, we may think of Q 𝐻
as a measure on 𝑊ˆ carried by 𝑊ˆ 0 = {𝑤 ∈ 𝑊ˆ : 𝛼(𝑤) = 0 and 𝑤 0 ∈ 𝑀 (𝐸) ◦ }. Then it
is just the Kuznetsov measure corresponding to the closed entrance law (𝐻𝑄 ◦𝑡 )𝑡 ≥0 .
Suppose that 𝑁 𝐻 (d𝑠, d𝑤) is a Poisson random measure on (0, ∞) × 𝑊ˆ with intensity
d𝑠Q 𝐻 (d𝑤). For 𝑡 ≥ 0 let
∫ 𝑡∫
𝑌𝐻 (𝑡) = 𝑤 𝑡−𝑠 𝑁 𝐻 (d𝑠, d𝑤) (9.54)
0 ˆ
𝑊
and let 𝒢𝐻 (𝑡) be the 𝜎-algebra generated by the random variables in (9.49) with
𝑁 (d𝑠, d𝑤) replaced by 𝑁 𝐻 (d𝑠, d𝑤). Let (𝒢¯ 𝐻 (𝑡))𝑡 ≥0 be the augmentation of the
filtration (𝒢𝐻 (𝑡))𝑡 ≥0 .
Theorem 9.45 The process {𝑌𝐻 (𝑡) : 𝑡 ≥ 0} defined above is an a.s. right contin-
uous realization of the immigration superprocess in 𝑀 (𝐸) relative to (𝒢¯ 𝐻 (𝑡+))𝑡 ≥0
with transition semigroup (𝑄 𝑡𝐻 )𝑡 ≥0 defined by the special form of (9.13) with the
immigration mechanism 𝐼 given by (9.52). Moreover, the process
∫ 𝑡−𝑠 ∫
𝑠 ↦→ 1 − exp − ⟨𝑌𝐻 (𝑠), 𝑉𝑡−𝑠 𝑓 ⟩ − d𝑟 (1 − e−⟨𝜈,𝑉𝑟 𝑓 ⟩ ) 𝐻 (d𝜈) (9.55)
0 𝑀 (𝐸) ◦
is an a.s. right continuous (𝒢¯ 𝐻 (𝑠+))-martingale on [0, 𝑡].
Proof Step 1. Let 𝑤 + (𝑡) = 𝑤 𝑡 1 {𝑡 >0} for 𝑡 ≥ 0 and 𝑤 ∈ 𝑊. ˆ Then {𝑤 + (𝑡) : 𝑡 ≥ 0}

under Q 𝐻 is distributed according to the Kuznetsov measure Q(𝐻, ·) corresponding
to the entrance law (𝐻𝑄 ◦𝑡 )𝑡 >0 . Clearly, we have a.s.
∫ ∫ ∫ 𝑡∫
𝑌𝐻 (𝑡) = 𝑤 𝑡−𝑠 𝑁 𝐻 (d𝑠, d𝑤) = 𝑤 + (𝑡 − 𝑠)𝑁 𝐻 (d𝑠, d𝑤).
(0,𝑡) ˆ
𝑊 0 ˆ
𝑊
Then {𝑌𝐻 (𝑡) : 𝑡 ≥ 0} is a modification of the process {𝑌𝑡𝐻 : 𝑡 ≥ 0} constructed

by (9.51). From Corollary 9.43 we infer that {(𝑌𝐻 (𝑡), 𝒢¯ 𝐻 (𝑡)) : 𝑡 ≥ 0} is an immi-
gration superprocess with transition semigroup (𝑄 𝑡𝐻 )𝑡 ≥0 defined by (9.13) with the
immigration mechanism 𝐼 given by (9.52).
Step 2. For 𝑘 ≥ 1 define {𝑌𝑘 (𝑡) : 𝑡 ≥ 0} by the right-hand side of (9.54) with
𝑁 𝐻 (d𝑠, d𝑤) replaced by 𝑁 𝑘 (d𝑠, d𝑤) := 1 {𝑤0 (𝐸) >1/𝑘 } 𝑁 𝐻 (d𝑠, d𝑤). Let (𝑄 𝑘 (𝑡))𝑡 ≥0
be the transition semigroup defined by the special form of (9.13) where 𝐼 is given
by (9.52) with 𝑀 (𝐸) ◦ replaced by 𝑀𝑘 (𝐸) := {𝜈 ∈ 𝑀 (𝐸) ◦ : 𝜈(1) > 1/𝑘 }. Then the
result of the first step implies that {(𝑌𝑘 (𝑡), 𝒢¯ 𝐻 (𝑡)) : 𝑡 ≥ 0} is an immigration super-
process with transition semigroup (𝑄 𝑘 (𝑡))𝑡 ≥0 . It is easy to see that 𝐻 (𝑀𝑘 (𝐸)) < ∞.
Then 𝑁 𝑘 ((0, 𝑡] × 𝑊) ˆ < ∞ a.s. for every 𝑡 ≥ 0, and hence {𝑌𝑘 (𝑡) : 𝑡 ≥ 0} is a.s.
right continuous in 𝑀 (𝐸). Since 𝑌𝑘 (𝑡) → 𝑌𝐻 (𝑡) increasingly, we conclude that
𝑡 ↦→ ⟨𝑌𝐻 (𝑡), 𝑓 ⟩ is a.s. right lower semi-continuous for every 𝑓 ∈ 𝐶 (𝐸) + .
Step 3. Consider the special case where 𝜈(1)𝐻 (d𝜈) is a finite measure on 𝑀 (𝐸) ◦ .
Recall that 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)] and 𝑐+0 = 0 ∨ 𝑐 0 . By Corollary 9.18, for any
𝛽 > 𝑐+0 the a.s. right continuous positive process
∫
−2𝛽𝑡 −1 −2𝛽𝑡
𝑍 𝑘 (𝑡) := e ⟨𝑌𝑘 (𝑡), 1⟩ + (2𝛽) e ⟨𝜈, 1⟩𝐻 (d𝜈)
𝑀𝑘 (𝐸)
is a (𝒢¯ 𝐻 (𝑡))-supermartingale. Then it is also a (𝒢¯ 𝐻 (𝑡+))-supermartingale by

Dellacherie and Meyer (1982, p. 69). Note that 𝑍 𝑘 (𝑡) increases as 𝑘 → ∞ to
∫
−2𝛽𝑡 −1 −2𝛽𝑡
𝑍 (𝑡) := e ⟨𝑌𝐻 (𝑡), 1⟩ + (2𝛽) e ⟨𝜈, 1⟩𝐻 (d𝜈).
𝑀 (𝐸) ◦
Thus {𝑍 (𝑡) : 𝑡 ≥ 0} is an a.s. right continuous positive (𝒢¯ 𝐻 (𝑡+))-supermartingale;

see Dellacherie and Meyer (1982, p. 79). In particular, we conclude that 𝑡 ↦→
⟨𝑌𝐻 (𝑡), 1⟩ is a.s. right continuous. For any 𝑓 ∈ 𝐶 (𝐸) + , choose a constant 𝑞 ≥ ∥ 𝑓 ∥.
The arguments above imply that 𝑡 ↦→ ⟨𝑌𝐻 (𝑡), 𝑞⟩ = 𝑞⟨𝑌𝐻 (𝑡), 1⟩ is a.s. right contin-
uous. As we saw in the second step, both 𝑡 ↦→ ⟨𝑌𝐻 (𝑡), 𝑓 ⟩ and 𝑡 ↦→ ⟨𝑌𝐻 (𝑡), 𝑞 − 𝑓 ⟩
are a.s. right lower semi-continuous. Those clearly yield the a.s. right continuity of
𝑡 ↦→ ⟨𝑌𝐻 (𝑡), 𝑓 ⟩. Then 𝑡 ↦→ 𝑌𝐻 (𝑡) is a.s. right continuous in 𝑀 (𝐸).
Step 4. Consider the general case where [1 ∧ 𝜈(1)]𝐻 (d𝜈) is a finite measure on
𝑀 (𝐸) ◦ . Let 𝑁0 (d𝑠, d𝑤) = 1 𝑀0 (𝐸) (𝑤 0 )𝑁 𝐻 (d𝑠, d𝑤), where 𝑀0 (𝐸) = {𝜇 ∈ 𝑀 (𝐸) ◦ :
𝜇(1) ≤ 1}. Observe that 𝑌𝐻 (𝑡) = 𝑌0 (𝑡) + 𝑌1 (𝑡), where
∫ 𝑡∫
𝑌0 (𝑡) = 𝑤 0𝑡−𝑠 𝑁0 (d𝑠, d𝑤).
0 ˆ
𝑊
Then 𝑡 ↦→ 𝑌0 (𝑡) is a.s. right continuous by the result proved in the third step. Since
𝑡 ↦→ 𝑌1 (𝑡) is a.s. right continuous by the second step, we see that 𝑡 ↦→ 𝑌𝐻 (𝑡) is a.s.
right continuous in 𝑀 (𝐸).
Step 5. Let 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + . Since the (𝜉, 𝜙)-superprocess is a Borel right
process, by (9.53) and Theorem A.16 one can see that 𝑠 ↦→ exp{−⟨𝑤 𝑠 , 𝑉𝑡−𝑠 𝑓 ⟩} is
ˆ Then
right continuous on [0, 𝑡] for Q 𝐻 -a.e. 𝑤 ∈ 𝑊.
∫ 𝑡−𝑠 ∫
𝑠 ↦→ 1 − exp − ⟨𝑌𝑘 (𝑠) , 𝑉𝑡−𝑠 𝑓 ⟩ − d𝑟 (1 − e−⟨𝜈,𝑉𝑟 𝑓 ⟩ ) 𝐻 (d𝜈)
0 𝑀𝑘 (𝐸)
is an a.s. right continuous (𝒢¯ 𝐻 (𝑠+))-martingale on [0, 𝑡]. By taking the increasing
limit, we see as in the third step that (9.55) is an a.s. right continuous (𝒢¯ 𝐻 (𝑠+))-
martingale on [0, 𝑡]. This gives the desired Markov property of {(𝑌𝐻 (𝑡), 𝒢¯ 𝐻 (𝑡+)) :
𝑡 ≥ 0}. □
The next theorem improves the results of Theorem 9.21 by a weaker moment
assumption on the immigration mechanism.
Theorem 9.46 The immigration superprocess with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0

defined by (9.12) and (9.13) has a right realization in 𝑀 (𝐸). If 𝜉 is a Hunt process,
then the immigration superprocess has a Hunt realization in 𝑀 (𝐸).
Proof By Theorem 9.21, the results hold if 𝜈(1)𝐻 (d𝜈) is a finite measure on 𝑀 (𝐸) ◦ .
In the general case, we first consider the immigration mechanism 𝐼0 ∈ ℐ(𝐸) given
by, for 𝑓 ∈ 𝐵(𝐸) + ,
∫
1 − e−𝜈 ( 𝑓 ) 𝐻0 (d𝜈),

𝐼0 ( 𝑓 ) = 𝜂( 𝑓 ) +
𝑀 (𝐸) ◦
where 𝐻0 (d𝜈) = 1 {𝜈 (1) ≤1} 𝐻 (d𝜈). By Theorem 9.21, the above immigration mecha-
nism generates a Borel right immigration superprocess. Let 𝑌 𝜂,𝐻0 =
𝜂,𝐻
(𝑊, 𝒢, 𝒢𝑡 , 𝑌𝑡 , Q 𝜇 0 ) be the canonical right realization of the immigration super-
process, where 𝑊 is the space of right continuous paths from [0, ∞) into 𝑀 (𝐸)
and (𝒢, 𝒢𝑡 ) are the augmentations of the natural 𝜎-algebras (𝒢0 , 𝒢𝑡0 ) by the set of
𝜂,𝐻
probability measures {Q𝐾 0 : 𝐾 is an initial law on 𝑀 (𝐸)}. By Theorem A.16, for
any 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + and initial law 𝐾, the process
∫ 𝑡−𝑠
𝑠 ↦→ 1 − exp − ⟨𝑌𝑠 , 𝑉𝑡−𝑠 𝑓 ⟩ − 𝐼0 (𝑉𝑟 𝑓 )d𝑟
0
𝜂,𝐻
is a Q𝐾 0 -a.s. right continuous (𝒢𝑠 )-martingale on [0, 𝑡]. In the sequel, we may
assume 𝐻 ({𝜈 ∈ 𝑀 (𝐸) ◦ : 𝜈(1) > 1}) > 0, for otherwise the proof is over. Let
𝐻1 (d𝜈) = 1 {𝜈 (1) >1} 𝐻 (d𝜈) and let {𝑌1 (𝑡) : 𝑡 ≥ 0} be the a.s. right continuous
immigration superprocess defined as in the proof of Theorem 9.45. Then
∫ 𝑡−𝑠 ∫
𝑠 ↦→ 1 − exp − ⟨𝑌1 (𝑠) , 𝑉𝑡−𝑠 𝑓 ⟩ − d𝑟 (1 − e−⟨𝜈,𝑉𝑟 𝑓 ⟩ ) 𝐻1 (d𝜈)
0 𝑀 (𝐸) ◦
is an a.s. right continuous martingale on [0, 𝑡]. Let Q 𝐻1 denote the distribution of
𝜂,𝐻
{𝑌1 (𝑡) : 𝑡 ≥ 0} on 𝑊 and let Q𝐾 𝑁
= Q𝐾 0 ∗ Q 𝐻1 , where “∗” means convolution.
Then 𝑌 0 = (𝑊, 𝒢0 , 𝒢𝑡0 , 𝑌𝑡 , Q 𝜇𝑁 ) is a right continuous immigration superprocess with
transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 by Theorem 9.2. Moreover, it is not hard to see that,
for any 𝑡 ≥ 0, 𝑓 ∈ 𝐵(𝐸) + and initial law 𝐾, the process
∫ 𝑡−𝑠
𝑠 ↦→ 1 − exp − ⟨𝑌𝑠 , 𝑉𝑡−𝑠 𝑓 ⟩ − 𝐼 (𝑉𝑟 𝑓 )d𝑟
0
is a Q𝐾
𝑁
-a.s. right continuous (𝒢𝑠0 )-martingale on [0, 𝑡]. Let (𝒢, ¯ 𝒢¯ 𝑡 ) be the augmen-
0 0
tations of (𝒢 , 𝒢𝑡 ) by the set of probability measures {Q𝐾 : 𝐾 is an initial law on
𝑁
𝑀 (𝐸)}. By a monotone class argument we see that, for any 𝐹 ∈ 𝐵(𝑀 (𝐸)), the pro-
cess 𝑠 ↦→ 𝑄 𝑡−𝑠
𝑁
𝐹 (𝑌𝑠 ) is a Q𝐾
𝑁
-a.s. right continuous (𝒢¯ 𝑠 )-martingale on [0, 𝑡]. Then
¯ ¯
𝑌 = (𝑊, 𝒢, 𝒢𝑡 , 𝑌𝑡 , Q 𝜇 ) is a right process by Theorem A.16. From the construction
𝑁 𝑁
given above, it is clear that 𝑌 𝑁 is a countable concatenation of the subprocess of

𝑌 𝜂,𝐻0 generated by the multiplicative functional 𝑡 ↦→ exp{−𝑡𝐻1 (𝑀 (𝐸) ◦ )} together
with the transfer kernel 𝐽 (𝜇, d𝜈) on 𝑀 (𝐸) defined by, for 𝐹 ∈ 𝐵(𝑀 (𝐸)),
∫ ∫
𝐹 (𝜈)𝐽 (𝜇, d𝜈) = 𝐻1 (𝑀 (𝐸) ◦ ) −1 𝐹 (𝜇 + 𝜈)𝐻1 (d𝜈).
𝑀 (𝐸) 𝑀 (𝐸) ◦
If 𝜉 is a Hunt process, then 𝑌 𝜂,𝐻0 has a Hunt realization by Theorem 9.45, and so
𝑌 𝑁 has a Hunt realization by Theorem A.44. □
In the following examples, we consider the situation where the underlying pro-
cess 𝜉 is the absorbing-barrier Brownian motion in 𝐸 0 := (0, ∞) with transition
semigroup defined by (A.29) and (A.30).
Example 9.2 Let 𝜂 ∈ 𝑀 (𝐸 0 ) and let 𝛼 ≥ 0 be a constant. We can use the notation
𝜂, 𝛼
of Section 8.6 to define the transition semigroup (𝑄 𝑡 )𝑡 ≥0 of an immigration
superprocess in 𝑀 (𝐸 0 ) by
∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑡 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) −
𝜂, 𝛼
𝜂(𝑉𝑠 𝑓 ) + 𝛼𝜕0𝑉𝑠 𝑓 d𝑠 .
𝑀 (𝐸0 ) 0
Example 9.3 Suppose that 𝑢𝐹 (d𝑢) is a non-trivial finite measure on 𝐸 0 . We define

another transition semigroup (𝑄 𝑡𝐹 )𝑡 ≥0 on 𝑀 (𝐸 0 ) by
∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑡𝐹 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) − 𝐼𝑠 ( 𝑓 )d𝑠 ,
𝑀 (𝐸0 ) 0
where
∫ ∞
𝐼𝑠 ( 𝑓 ) = (1 − e−𝑢𝜕0 𝑉𝑠 𝑓 )𝐹 (d𝑢).
0
The corresponding immigration superprocess can be constructed in the following

way. From (8.78) one can see there is an entrance law 𝐻 ∈ 𝒦(𝑄 ◦ ) such that
∫
(1 − e−𝜈 ( 𝑓 ) )𝐻𝑠 (d𝜈) = 𝐼𝑠 ( 𝑓 ), 𝑠 > 0, 𝑓 ∈ 𝐵(𝐸 0 ) + .
𝑀 (𝐸0 ) ◦
Let 𝑊ˆ 0 be as in Example 8.4 and let Q𝐹 (d𝑤) be the Kuznetsov measure on 𝑊ˆ 0

corresponding to 𝐻 ∈ 𝒦(𝑄 ◦ ). Suppose that 𝑁 𝐹 (d𝑠, d𝑤) is a Poisson random mea-
sure on (0, ∞) × 𝑊ˆ 0 with intensity d𝑠Q𝐹 (d𝑤). By Theorem 9.41, we can define an
immigration superprocess in 𝑀 (𝐸 0 ) with transition semigroup (𝑄 𝑡𝐹 )𝑡 ≥0 by
∫ 𝑡∫
𝑌𝑡 = 𝑤 𝑡−𝑠 𝑁 𝐹 (d𝑠, d𝑤), 𝑡 ≥ 0. (9.56)
0 ˆ0
𝑊
Let {(𝑠𝑖 , 𝑤 𝑖 ) : 𝑖 = 1, 2, . . .} be an enumeration of the atoms of 𝑁 𝐹 (d𝑠, d𝑤). It is easy

to see that
∫ ∞
Q𝐹 (d𝑤) = Q𝑢 (d𝑤)𝐹 (d𝑢), 𝑤 ∈ 𝑊ˆ 0 ,
0
where Q𝑢 (d𝑤)is as in Example 8.4. Let ℎ be defined by (8.69) and assume (8.79)
holds. Then by (8.80) and (9.56), for every 𝜀 > 0 we have a.s.
lim 𝑌𝑡 ((0, 𝜀]) ≥ lim 𝑤 𝑖,𝑡−𝑠𝑖 ((0, 𝜀]) = ∞. (9.57)

𝑡→𝑠𝑖 𝑡→𝑠𝑖
If 𝐹 (d𝑢) is an infinite measure on (0, ∞), then {𝑠𝑖 : 𝑖 = 1, 2, . . . } ∩ (𝑟, 𝑡) is a.s.

infinite for every 𝑡 > 𝑟 ≥ 0.
Example 9.4 Let ℎ be defined by (8.69) and assume (8.79) holds. The immigration
superprocess constructed in the last example is certainly not right continuous. Indeed,
the transition semigroup (𝑄 𝑡𝐹 )𝑡 ≥0 has no right continuous realization. Otherwise,
suppose that {𝑍𝑡 : 𝑡 ≥ 0} is such a realization with 𝑍0 = 0. Given 𝜇 ∈ 𝑀 (𝐸 0 ) we
define 𝜇 ℎ ∈ 𝑀 (𝐸 0 ) by 𝜇 ℎ (d𝑥) = ℎ(𝑥)𝜇(d𝑥) for 𝑥 ∈ 𝐸 0 . In an obvious way, we also
regard 𝜇 ℎ as a measure in 𝑀 (R+ ). Then {𝑍𝑡ℎ : 𝑡 ≥ 0} is an a.s. right continuous
immigration superprocess in 𝑀 (R+ ) with semigroup ( 𝑄¯ 𝑡𝐹 )𝑡 ≥0 given by
∫ ∫ 𝑡
¯
e−𝜈 ( 𝑓 ) 𝑄¯ 𝑡𝐹 (𝜇, d𝜈) = exp − 𝜇(𝑈¯ 𝑡 𝑓¯) − 𝐼¯𝑠 ( 𝑓¯)d𝑠 ,
𝑀 (R+ ) 0
where (𝑈¯ 𝑡 )𝑡 ≥0 is defined by (8.81) and

∫ ∞
¯ ¯
¯𝐼𝑠 ( 𝑓¯) = (1 − e−𝑢𝜕0 ℎ𝑈𝑠 𝑓 (0) )𝐹 (d𝑢), 𝑓¯ ∈ 𝐵(R+ ) + .
0
It is easily seen that
P{𝑍𝑡ℎ ({0}) = 0 for all 𝑡 ≥ 0} = 1. (9.58)
For any 𝑤 ∈ 𝑊ˆ 0 define

lim𝑡→0 𝑤 𝑡ℎ if the limit exists in 𝑀 (R+ ),
𝑤 0ℎ =
0 if the limit above does not exist.
By the discussions in Example 8.4 one can see {𝑤 𝑡ℎ : 𝑡 ≥ 0} under Q𝐹 is a

superprocess in 𝑀 (R+ ) with cumulant semigroup (𝑈¯ 𝑡 )𝑡 ≥0 and 𝑤 0ℎ ({0}) > 0 for
Q𝐹 -a.e. 𝑤 ∈ 𝑊ˆ 0 . Then by Theorem 9.45,
∫ 𝑡∫
¯
𝑌𝑡 = ℎ
𝑤 𝑡−𝑠 𝑁 𝐹 (d𝑠, d𝑤), 𝑡 ≥ 0, (9.59)
0 ˆ0
𝑊
defines another a.s. right continuous realization of (𝑄¯ 𝑡𝐹 )𝑡 ≥0 with 𝑌¯0 = 0. Let 𝑆0 =
inf{𝑡 ≥ 0 : 𝑌¯𝑡 ({0}) > 0}. In view of (9.59) we have
P{𝑆0 ≤ 𝑎} = 1 − e−𝑎𝐹 (𝐸0 ) , 𝑢 > 0. (9.60)
However, an application of Theorem 9.21 shows that (𝑄¯ 𝑡𝐹 )𝑡 ≥0 is a Borel right

semigroup on 𝑀 (R+ ), so (9.58) and (9.60) are in contradiction.
9.6 Stationary Distributions and Ergodicities 269
9.6 Stationary Distributions and Ergodicities
We first discuss some basic structures of the stationary distributions. Given two
probability measures 𝐹1 and 𝐹2 on 𝑀 (𝐸), we write 𝐹1 ⪯ 𝐹2 if 𝐹1 ∗ 𝐺 = 𝐹2 for
another probability measure 𝐺 on 𝑀 (𝐸). Clearly, the measure 𝐺 is unique if it
exists. Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup of an MB-process defined by (2.3),
where the cumulant semigroup (𝑉𝑡 )𝑡 ≥0 is given by (2.5). Let ℰ ∗ (𝑄) denote the set
of probabilities 𝐹 on 𝑀 (𝐸) satisfying 𝐹𝑄 𝑡 ⪯ 𝐹 for all 𝑡 ≥ 0.
Theorem 9.47 For each 𝐹 ∈ ℰ ∗ (𝑄) there is a unique SC-semigroup (𝑁𝑡 )𝑡 ≥0 asso-
ciated with (𝑄 𝑡 )𝑡 ≥0 such that 𝐹𝑄 𝑡 ∗ 𝑁𝑡 = 𝐹 for all 𝑡 ≥ 0.
Proof Since 𝐹 ∈ ℰ ∗ (𝑄), for each 𝑡 ≥ 0 there is a unique probability measure 𝑁𝑡 on
𝑀 (𝐸) satisfying 𝐹 = (𝐹𝑄 𝑡 ) ∗ 𝑁𝑡 . By Theorem 2.1, for 𝑟, 𝑡 ≥ 0 we have
(𝐹𝑄 𝑟+𝑡 ) ∗ 𝑁𝑟+𝑡 = 𝐹 = (𝐹𝑄 𝑡 ) ∗ 𝑁𝑡 = {[(𝐹𝑄 𝑟 ) ∗ 𝑁𝑟 ]𝑄 𝑡 } ∗ 𝑁𝑡

= (𝐹𝑄 𝑟+𝑡 ) ∗ (𝑁𝑟 𝑄 𝑡 ) ∗ 𝑁𝑡 .
Then (9.1) holds, that is, (𝑁𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑄 𝑡 )𝑡 ≥0 . □

The infinitely divisible probabilities in ℰ ∗ (𝑄) are closely related with excessive
measures for (𝑄 ◦𝑡 )𝑡 ≥0 . Let ℰ(𝑄 ◦ ) denote the class of all excessive measures 𝐻 for
(𝑄 ◦𝑡 )𝑡 ≥0 satisfying
∫
[1 ∧ 𝜈(1)]𝐻 (d𝜈) < ∞. (9.61)
𝑀 (𝐸) ◦
Proposition 9.48 Let 𝐹 = 𝐼 (𝜂, 𝐻) be an infinitely divisible probability measure on

𝑀 (𝐸). Then 𝐹 ∈ ℰ ∗ (𝑄) if and only if (𝜂, 𝐻) satisfy
∫ ∫
𝜂(d𝑥)𝜆 𝑡 (𝑥, ·) ≤ 𝜂 and 𝜂(d𝑥)𝐿 𝑡 (𝑥, ·) + 𝐻𝑄 ◦𝑡 ≤ 𝐻. (9.62)
𝐸 𝐸
In particular, if 𝐻 ∈ ℰ(𝑄 ◦ ), then 𝐹 = 𝐼 (0, 𝐻) ∈ ℰ ∗ (𝑄).

Proof By Proposition 2.6 we have 𝐹𝑄 𝑡 = 𝐼 (𝜂𝑡 , 𝐻𝑡 ), where
∫ ∫
𝜂𝑡 = 𝜂(d𝑥)𝜆 𝑡 (𝑥, ·) and 𝐻𝑡 = 𝜂(d𝑥)𝐿 𝑡 (𝑥, ·) + 𝐻𝑄 ◦𝑡 .
𝐸 𝐸
Then 𝐹𝑄 𝑡 ⪯ 𝐹 holds if and only if (9.62) is satisfied. The second assertion is

immediate. □
We write 𝐹 ∈ ℰ𝑖∗ (𝑄) if 𝐹 ∈ ℰ ∗ (𝑄) is a stationary distribution for (𝑄 𝑡 )𝑡 ≥0 , and
write 𝐹 ∈ ℰ𝑝∗ (𝑄) if 𝐹 ∈ ℰ ∗ (𝑄) and lim𝑡→∞ 𝐹𝑄 𝑡 = 𝛿0 . Clearly, we have 𝛿0 ∈ ℰ𝑖∗ (𝑄),
but there can be other non-trivial stationary distributions.
Theorem 9.49 Let 𝐹 ∈ ℰ ∗ (𝑄) and let (𝑁𝑡 )𝑡 ≥0 be the SC-semigroup defined in
Theorem 9.47. Then 𝐹 = 𝐹𝑖 ∗ 𝐹 𝑝 , where 𝐹𝑖 = lim𝑡→∞ 𝐹𝑄 𝑡 ∈ ℰ𝑖∗ (𝑄) and 𝐹 𝑝 =
lim𝑡→∞ 𝑁𝑡 ∈ ℰ𝑝∗ (𝑄).
Proof By the definition of ℰ ∗ (𝑄) we have 𝐹𝑄 𝑟+𝑡 ⪯ 𝐹𝑄 𝑡 for 𝑟, 𝑡 ≥ 0. Thus for every
𝑓 ∈ 𝐵(𝐸) + the limits
𝐿 𝐹𝑖 ( 𝑓 ) = ↑lim 𝐿 𝐹𝑄𝑡 ( 𝑓 ) and 𝐿 𝐹𝑝 ( 𝑓 ) = ↓lim 𝐿 𝑁𝑡 ( 𝑓 )

𝑡→∞ 𝑡→∞
exist and they are the Laplace functionals of two probability measures 𝐹𝑖 and 𝐹 𝑝 on
𝑀 (𝐸). Clearly, 𝐹𝑖 ∈ ℰ𝑖∗ (𝑄) and 𝐹 = 𝐹𝑖 ∗ 𝐹 𝑝 . On the other hand,
𝐹𝑖 ∗ 𝐹 𝑝 = 𝐹 = (𝐹𝑄 𝑡 ) ∗ 𝑁𝑡 = 𝐹𝑖 ∗ (𝐹 𝑝 𝑄 𝑡 ) ∗ 𝑁𝑡 ,
so 𝐹 𝑝 = (𝐹 𝑝 𝑄 𝑡 ) ∗ 𝑁𝑡 . Therefore 𝐹 𝑝 ∈ ℰ ∗ (𝑄) and lim𝑡→∞ 𝐹 𝑝 𝑄 𝑡 = 𝛿0 . □
It is easy to see that the measure 𝐹 𝑝 ∈ ℰ𝑝∗ (𝑄) in Theorem 9.49 is a stationary
distribution of the transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 defined from (𝑄 𝑡 )𝑡 ≥0 and (𝑁𝑡 )𝑡 ≥0
by (9.2). Then the above theorem shows that any 𝐹 ∈ ℰ ∗ (𝑄) can be decomposed as
the convolution of a stationary distribution of (𝑄 𝑡 )𝑡 ≥0 with a stationary distribution
of an associated immigration process.
Example 9.5 Let (𝑣 ∗𝑡 )𝑡 ≥0 be the cumulant semigroup of a one-dimensional CB-

process with branching mechanism 𝜙∗ . Let 𝜉 be the Markov process in [0, 1] defined
by 𝜉𝑡 = (𝜉0 − 𝑡) ∨ ⌊𝜉0 ⌋ for 𝑡 ≥ 0, where “⌊·⌋” denotes the integer part. Let 𝜙
be the local branching mechanism on [0, 1] defined by 𝜙(𝑥, 𝜆) = 1 (0,1] (𝑥)𝜙∗ (𝜆) for
𝑥 ∈ [0, 1] and 𝜆 ≥ 0. Suppose that 𝑋 = (𝑊, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) is a right realization of the
(𝜉, 𝜙)-superprocess. Then Q𝑎 𝛿 𝑥 {𝑋𝑡 = 𝑋𝑡 (1)𝛿 ( 𝑥−𝑡)∨ ⌊𝑥 ⌋ for 𝑡 ≥ 0} = 1 for 𝑥 ∈ [0, 1]
and 𝑎 ≥ 0. The cumulant semigroup (𝑉𝑡 )𝑡 ≥0 of this (𝜉, 𝜙)-superprocess is given by
𝑉𝑡 𝑓 (𝑥) = 𝑣 ∗𝑡∧𝑥 ( 𝑓 ((𝑥 − 𝑡) ∨ 0)) for 𝑥 ∈ [0, 1) and 𝑉𝑡 𝑓 (𝑥) = 𝑣 ∗𝑡 ( 𝑓 (1)) for 𝑥 = 1.
Clearly, for any 𝜇 ∈ 𝑀 ( [0, 1)) ⊂ 𝑀 ( [0, 1]), the limit 𝑄 ∞ (𝜇, ·) := lim𝑡→∞ 𝑄 𝑡 (𝜇, ·)
exists and, for 𝑓 ∈ 𝐵( [0, 1]) + ,
∫ ∫
−𝜈 ( 𝑓 ) ∗
e 𝑄 ∞ (𝜇, d𝜈) = exp − 𝑣 𝑧 ( 𝑓 (0))𝜇(d𝑧) .
𝑀 ( [0,1]) [0,1)
It is easy to see that 𝑄 ∞ (𝜇, ·) ∈ ℰ𝑖∗ (𝑄) is carried by 𝑀 ({0}) ⊂ 𝑀 ( [0, 1]). If
𝑏 ∗ := 𝜙∗′ (0) > 0, for each 𝛽 > 0 we can define 𝑁 𝛽 ∈ ℰ𝑝∗ (𝑄) by
∫ ∫ ∞
e−𝜈 ( 𝑓 ) 𝑁 𝛽 (d𝜈) = exp − 𝛽 𝑣 ∗𝑠 ( 𝑓 (1))d𝑠 .
𝑀 ( [0,1]) 0
Then both ℰ𝑖∗ (𝑄) and ℰ𝑝∗ (𝑄) contain non-trivial elements.
We next discuss the ergodicity of the MBI-process. Suppose that (𝑁𝑡 )𝑡 ≥0 is an SC-
semigroup defined by (9.7) with 𝐼𝑡 = − log 𝐿 𝐾𝑡 for an infinitely divisible probability
entrance law (𝐾𝑡 )𝑡 >0 given by (8.2). Let (𝑄 𝑡𝑁 )𝑡 ≥0 be the corresponding transition
semigroup defined by (9.8).
Theorem 9.50 There is a probability measure 𝑁∞ on 𝑀 (𝐸) such that 𝑁𝑡 → 𝑁∞

weakly as 𝑡 → ∞ if and only if
∫ ∞
𝐼𝑠 (1)d𝑠 < ∞. (9.63)
0

∫ ∞
𝐿 𝑁∞ ( 𝑓 ) = exp − 𝐼𝑠 ( 𝑓 )d𝑠 , 𝑓 ∈ 𝐵(𝐸) + (9.64)
0
and 𝑁∞ is a stationary distribution for the transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 .
Proof Suppose that (9.63) holds. By Jensen’s inequality, for 𝑎 ≥ 1 and 𝑓 ∈ 𝐵 𝑎 (𝐸) +
we have 𝐼𝑠 ( 𝑓 ) ≤ 𝐼𝑠 (𝑎) ≤ 𝑎𝐼𝑠 (1). Then 𝐿 𝑁𝑡 ( 𝑓 ) converges uniformly on 𝐵 𝑎 (𝐸) + to
the right-hand side of (9.64). By Corollary 1.22 there is a probability measure 𝑁∞
given by (9.64) and lim𝑡→∞ 𝑁𝑡 = 𝑁∞ by weak convergence. Conversely, suppose
that 𝑁𝑡 converges weakly to a probability measure 𝑁∞ on 𝑀 (𝐸) as 𝑡 → ∞. From
(9.11) we see (9.64) holds for 𝑓 ∈ 𝐶 (𝐸) + , so it holds all 𝑓 ∈ 𝐵(𝐸) + . □
Corollary 9.51 The MBI-process with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 is ergodic

with 𝑁∞ as its unique stationary distribution if and only if (9.63) holds and
lim𝑡→∞ 𝜇(𝑉𝑡 1) = 0 for every 𝜇 ∈ 𝑀 (𝐸).
Proof This follows immediately from (9.8) and Theorems 1.21 and 9.50. □
Theorem 9.52 Let (𝑁𝑡 )𝑡 ≥0 be a regular SC-semigroup given by (9.7) with 𝐼𝑠 ( 𝑓 ) =

𝐼 (𝑉𝑠 𝑓 ) for 𝑓 ∈ 𝐵(𝐸) + , where 𝐼 ∈ ℐ(𝐸) is represented by (9.12). Suppose there is
a constant 𝑐 ∗ > 0 such that 𝑉𝑡 1(𝑥) ≤ e−𝑐∗ 𝑡 for every 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. Then 𝑁𝑡
converges weakly to the stationary distribution 𝑁∞ given by (9.64) as 𝑡 → ∞ if
∫
log[1 + 𝜈(1)]𝐻 (d𝜈) < ∞. (9.65)
𝑀 (𝐸) ◦
Proof By Theorem 9.50 it suffices to show (9.65) implies (9.63). For any 𝑐 > 0 we
can use a change of the variable to get
∫ ∞ ∫
−𝑐𝑠
𝐹 (𝜂, 𝐻, 𝑐) := e−𝑐𝑡 𝜂(1) + (1 − e−e 𝜈 (1) )𝐻 (d𝜈) d𝑠
◦
0
∫ 𝑀 (𝐸) ∫ 𝜈 (1)
−1 −1
= 𝑐 𝜂(1) + 𝑐 𝐻 (d𝜈) 𝑓 (𝑧)d𝑧, (9.66)
𝑀 (𝐸) ◦ 0
where 𝑓 (𝑧) = 𝑧−1 (1 − e−𝑧 ). Observe that 𝑓 (𝑧) = 1 + 𝑜(1) as 𝑧 → 0 and 𝑓 (𝑧) =
𝑧−1 + 𝑜(𝑧−1 ) as 𝑧 → ∞. Then 𝐹 (𝜂, 𝐻, 𝑐) < ∞ if and only if (9.65) holds. Clearly,
we have
∫ ∞
𝐼𝑠 (1)d𝑠 ≤ 𝐹 (𝜂, 𝐻, 𝑐 ∗ ).
0
Then (9.65) implies (9.63). □
Corollary 9.53 Let (𝑁𝑡 )𝑡 ≥0 be given as in Theorem 9.52. Suppose there are constants
∗
𝑐∗ ≥ 𝑐 ∗ > 0 such that e−𝑐 𝑡 ≤ 𝑉𝑡 1(𝑥) ≤ e−𝑐∗ 𝑡 for every 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. Then 𝑁𝑡
converges weakly to the stationary distribution 𝑁∞ given by (9.64) as 𝑡 → ∞ if and
only if (9.65) holds.
Proof Let 𝐹 (𝜂, 𝐻, 𝑐) be defined by (9.66). Under the conditions of the corollary, we
have
∫ ∞
𝐼𝑠 (1)d𝑠 ≥ 𝐹 (𝜂, 𝐻, 𝑐∗ ).
0
Then the result follows by Theorem (9.52). □
Theorem 9.54 Suppose that (9.63) holds and the function 𝑣¯ 𝑡 defined by (2.7) is
bounded on 𝐸 for every 𝑡 > 0. Then we have

2𝐿 𝑁∞ (1) 1 − 𝐿 𝑁∞ (𝑉𝑡 1) ≤ ∥𝑁𝑡 − 𝑁∞ ∥ ≤ 2 1 − 𝐿 𝑁∞ ( 𝑣¯ 𝑡 ) , (9.67)
where 𝐿 𝑁∞ ( 𝑣¯ 𝑡 ) → 1 as 𝑡 → ∞.
Proof By (9.14) and (9.64) it is easy to show that 𝑁𝑡 ∗ (𝑁∞ 𝑄 𝑡 ) = 𝑁∞ . Let

𝑀𝑡 (d𝜂1 , d𝜂2 ) be the image of the product measure 𝑁𝑡 (d𝜈1 ) (𝑁∞ 𝑄 𝑡 ) (d𝜈2 ) under
the mapping (𝜈1 , 𝜈2 ) ↦→ (𝜂1 , 𝜂2 ) := (𝜈1 , 𝜈1 + 𝜈2 ). Then 𝑀𝑡 (d𝜂1 , d𝜂2 ) is a coupling
of 𝑁𝑡 (d𝜂1 ) and 𝑁∞ (d𝜂2 ). By Theorem 5.7 in Chen (2004, p. 179) we have
∫
∥𝑁𝑡 − 𝑁∞ ∥ ≤ 2 1 { 𝜂1 ≠𝜂2 } 𝑀𝑡 (d𝜂1 , d𝜂2 )
∫𝑀 (𝐸) 2 ∫
=2 𝑁𝑡 (d𝜈1 ) 1 {𝜈2 ≠0} 𝑁∞ 𝑄 𝑡 (d𝜈2 )
∫𝑀 (𝐸) ∫ 𝑀 (𝐸)
=2 𝑁∞ (d𝜈) 1 {𝜈2 ≠0} 𝑄 𝑡 (𝜈, d𝜈2 )
∫𝑀 (𝐸) 𝑀 (𝐸)
=2 (1 − e−𝜈 ( 𝑣¯𝑡 ) )𝑁∞ (d𝜈),

𝑀 (𝐸)
where the last equality follows from (2.6). Then we get the upper bound in (9.67). By
applying Theorems 5.7 and 5.10 in Chen (2004, pp. 179–181) to the discrete metric
on 𝑀 (𝐸) we have
∫
∥𝑁𝑡 − 𝑁∞ ∥ ≥ 2 (1 − e−𝜈 (1) ) (𝑁∞ − 𝑁𝑡 ) (d𝜈)
𝑀 (𝐸)
∫ 𝑡 ∫ ∞
= 2 exp − 𝐼𝑠 (1)d𝑠 − exp − 𝐼𝑠 (1)d𝑠
∫0 𝑡 0∫ ∞
= 2 exp − 𝐼𝑠 (1)d𝑠 1 − exp − 𝐼𝑠 (1)d𝑠
∫0 ∞ ∫𝑡 ∞
≥ 2 exp − 𝐼𝑠 (1)d𝑠 1 − exp − 𝐼𝑠 (𝑉𝑡 1)d𝑠 .
0 0
This gives the lower bound in (9.67). For any 𝑡 ≥ 𝑟 > 0 we have
∫ ∞ ∫ ∞
− log 𝐿 𝑁∞ ( 𝑣¯ 𝑡 ) = 𝐼𝑠 ( 𝑣¯ 𝑡 )d𝑠 = 𝐼𝑠 (𝑉𝑡−𝑟 𝑣¯ 𝑟 )d𝑠
∫0 ∞ 0 ∫
∞
= 𝐼𝑠+𝑡−𝑟 ( 𝑣¯ 𝑟 )d𝑠 = 𝐼𝑠 ( 𝑣¯ 𝑟 )d𝑠,
0 𝑡−𝑟
which vanishes as 𝑡 → ∞. Then 𝐿 𝑁∞ ( 𝑣¯ 𝑡 ) → 1 as 𝑡 → ∞. □
Corollary 9.55 Suppose that (9.63) holds and the function 𝑣¯ 𝑡 is bounded on 𝐸 for
every 𝑡 > 0. Then we have
∥𝑄 𝑡𝑁 (𝜇, ·) − 𝑁∞ ∥ ≤ 2(1 − e−𝜇 ( 𝑣¯𝑡 ) ) + 2 1 − 𝐿 𝑁∞ ( 𝑣¯ 𝑡 ) , 𝜇 ∈ 𝑀 (𝐸).

Proof By Theorem 9.13 and the relation 𝑁𝑡 = 𝑄 𝑡𝑁 (0, ·), we have
∥𝑄 𝑡𝑁 (𝜇, ·) − 𝑁𝑡 ∥ ≤ 2(1 − e−𝜇 ( 𝑣¯𝑡 ) ).
Then the estimate follows by Theorem 9.54 and the triangle inequality. □
It is not hard to show that the probability measure 𝑁∞ given by (9.64) has finite
first-moment if and only if
∫ ∞ ∫
d𝑠 𝜈(1)𝐾𝑠 (d𝜈) < ∞, 𝑡 ≥ 0. (9.68)
0 𝑀 (𝐸)

∫ ∫ ∞ ∫
𝜈( 𝑓 )𝑁∞ (d𝜈) = d𝑠 𝜈( 𝑓 )𝐾𝑠 (d𝜈), 𝑓 ∈ 𝐵(𝐸). (9.69)
𝑀 (𝐸) 0 𝑀 (𝐸)
The next theorem gives an accurate evaluations of the Wasserstein distance between
𝑁𝑡 and the limit distribution 𝑁∞ .
Theorem 9.56 Suppose that (9.68) holds and 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel
from 𝐸 to 𝑀 (𝐸) ◦ for every 𝑡 ≥ 0. Then
∫ ∫ ∞ ∫
𝑊1 (𝑁𝑡 , 𝑁∞ ) = 𝜇(𝜋𝑡 1)𝑁∞ (d𝜇) = d𝑠 𝜈(1)𝐾𝑠 (d𝜈),
𝑀 (𝐸) 𝑡 𝑀 (𝐸)
which vanishes as 𝑡 → ∞.
Proof Let 𝑀𝑡 (d𝜂1 , d𝜂2 ) be the coupling of 𝑁𝑡 (d𝜂1 ) and 𝑁∞ (d𝜂2 ) defined in the
proof of Theorem 9.54. Then we have
∫
𝑊1 (𝑁𝑡 , 𝑁∞ ) ≤ ∥𝜂1 − 𝜂2 ∥𝑀𝑡 (d𝜂1 , d𝜂2 )
∫𝑀 (𝐸) 2 ∫
= 𝑁𝑡 (d𝜈1 ) ∥𝜈2 ∥𝑁∞ 𝑄 𝑡 (d𝜈2 )
𝑀 (𝐸) 𝑀 (𝐸)
∫ ∫
= 𝑁∞ (d𝜇) 𝜈2 (1)𝑄 𝑡 (𝜇, d𝜈2 )
∫𝑀 (𝐸) 𝑀 (𝐸)
= 𝜇(𝜋𝑡 1)𝑁∞ (d𝜇).

𝑀 (𝐸)
On the other hand, for any coupling 𝑃𝑡 (d𝜂1 , d𝜂2 ) of 𝑁𝑡 (d𝜂1 ) and 𝑁∞ (d𝜈2 ) we have
∫
∥𝜂1 − 𝜂2 ∥𝑃𝑡 (d𝜈1 , d𝜂2 )
𝑀 (𝐸) 2 ∫
≥ [𝜂2 (1) − 𝜂1 (1)]𝑃𝑡 (d𝜂1 , d𝜂2 )

∫𝑀 (𝐸) 2
≥ 𝜈(1) (𝑁∞ − 𝑁𝑡 ) (d𝜈)
∫ 𝑀∞(𝐸) ∫ ∫ 𝑡 ∫
= d𝑠 𝜈(1)𝐾𝑠 (d𝜈) − d𝑠 𝜈(1)𝐾𝑠 (d𝜈)
∫0 ∞ ∫𝑀 (𝐸) 0 𝑀 (𝐸)
= d𝑠 𝜈(1)𝐾𝑠+𝑡 (d𝜈)
∫0 ∞ ∫𝑀 (𝐸) ∫
= d𝑠 𝐾𝑠 (d𝜇) 𝜈(1)𝑄 𝑡 (𝜇, d𝜈)
∫0 𝑀 (𝐸) 𝑀 (𝐸)
= 𝜇(𝜋𝑡 1)𝑁∞ (d𝜇).

𝑀 (𝐸)
Then we get the first equality. The second equality follows immediately by the above
calculations. □
Corollary 9.57 Suppose that (9.68) holds and 𝜈(1)𝐿 𝑡 (𝑥, d𝜈) is a bounded kernel
from 𝐸 to 𝑀 (𝐸) ◦ for every 𝑡 ≥ 0. Then
∫
𝑁
𝑊1 (𝑄 𝑡 (𝜇, ·), 𝑁∞ ) ≤ 𝜇(𝜋𝑡 1) + 𝜈(𝜋𝑡 1)𝑁∞ (d𝜈), 𝜇 ∈ 𝑀 (𝐸).
𝑀 (𝐸)
Proof Since 𝑁𝑡 = 𝑄 𝑡𝑁 (0, ·), this follows by Theorems 9.11 and 9.56 and the triangle
inequality. □
Now let us briefly discuss the immigration structures associated with a (𝜉, 𝜙)-
superprocess, where 𝜉 is a Borel right process in 𝐸 and 𝜙 is a branching mechanism
given by (2.29) or (2.30). For the SC-semigroup (𝑁𝑡 )𝑡 ≥0 defined by (9.14) and (9.15),
the transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 is given by
∫ ∫ 𝑡
−𝜈 ( 𝑓 ) 𝑁
e 𝑄 𝑡 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) − 𝐼𝑟 (𝜅, 𝐹, 𝑓 )d𝑟 , (9.70)
𝑀 (𝐸) 0
where 𝐼𝑟 (𝜅, 𝐹, 𝑓 ) is defined by (9.15). Let 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)]. By Theo-

rem A.53 and Corollary 5.34 we have ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0 and ∥ 𝑣¯ 𝑡 ∥ ≤ e𝑐0 (𝑡−𝑟) ∥ 𝑣¯ 𝑟 ∥
for 𝑡 ≥ 𝑟 > 0. Recall that the functional 𝑞 𝑡 (𝜅, 𝑓 ) is defined by (8.42). The following
results are immediate consequences of the general results established above.
Theorem 9.58 There is a probability measure 𝑁∞ on 𝑀 (𝐸) with finite first-moment

such that 𝑁𝑡 → 𝑁∞ weakly as 𝑡 → ∞ if and only if
∫ ∞ ∫
𝑞 𝑠 (𝜅, 1) + 𝑞 𝑠 (𝜈, 1)𝐹 (d𝜈) d𝑠 < ∞. (9.71)
0 𝒦 ( 𝑃) ◦
In this case, we have, for 𝑓 ∈ 𝐵(𝐸) + ,

∫ ∞
𝐿 𝑁∞ ( 𝑓 ) = exp − 𝐼𝑠 (𝜅, 𝐹, 𝑓 )d𝑠 (9.72)
0
and, for 𝑓 ∈ 𝐵(𝐸),

∫ ∫ ∞ ∫
𝜈( 𝑓 )𝑁∞ (d𝜈) = 𝑞 𝑠 (𝜅, 𝑓 ) + 𝑞 𝑠 (𝜈, 𝑓 )𝐹 (d𝜈) d𝑠. (9.73)
𝑀 (𝐸) ◦ 0 𝒦 ( 𝑃) ◦
Theorem 9.59 Suppose that the condition (9.71) is satisfied. Then we have
∫
𝑊1 (𝑄 𝑡𝑁 (𝜇, ·), 𝑁∞ ) = e𝑐0 𝑡 𝜇(1) + 𝜈(1)𝑁∞ (d𝜈) .
𝑀 (𝐸)
Theorem 9.60 Suppose that (9.71) and Condition 5.31 hold with 𝜙∗ satisfying Grey’s
condition. Then, for 𝑡 ≥ 𝑟 > 0 and 𝜇 ∈ 𝑀 (𝐸),
∫
∥𝑄 𝑡𝑁 (𝜇, ·) − 𝑁∞ ∥ ≤ 2e𝑐0 (𝑡−𝑟) ∥ 𝑣¯ 𝑟 ∥ 𝜇(1) + 𝜈(1)𝑁∞ (d𝜈) .
𝑀 (𝐸)
Clearly, for 𝑐 0 < 0 the estimates in Theorems 9.59 and 9.60 yield the exponential
ergodicities of the immigration superprocess in the Wasserstein distance 𝑊1 and the
total variation distance ∥ · ∥, respectively.
Example 9.6 Let (𝑄 𝑡𝑁 )𝑡 ≥0 be the transition semigroup of the 𝑑-dimensional CBI-

process defined as in Example 9.1. The branching and immigration mechanisms of
the process are given by (2.44) and (9.17), respectively. We assume that ⟨𝑢, 1⟩𝑛(d𝑢)
is a finite measure on R+𝑑 \ {0}. Let
∫
𝛾𝑖 𝑗 = 𝜂 𝑖 𝑗 + 1 {𝑖≠ 𝑗 } 𝑢 𝑗 𝐻𝑖 (d𝑢), 𝑖, 𝑗 = 1, · · · , 𝑑.
R+𝑑 \{0}
Suppose that there is a spatially constant local branching mechanism 𝜙∗ satisfying

Grey’s condition so that, for 𝜆 ≥ 0 and 𝑖 = 1, · · · , 𝑑,
∫
[𝑏 𝑖 − ⟨𝛾𝑖 , 1)⟩]𝜆 + 𝑐 𝑖 𝜆2 + e−𝜆𝑧𝑖 − 1 + 𝜆𝑧𝑖 𝐻𝑖 (d𝑧) ≥ 𝜙∗ (𝜆).

R+𝑑 \{0}
By Corollaries 5.34 and 9.14, the semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 has the strong Feller property.
If 𝑐 0 := max1≤𝑖 ≤𝑑 [⟨𝛾𝑖 , 1⟩ − 𝑏 𝑖 ] < 0 in addition, the CBI-process is exponentially
ergodic in the total variation distance by Theorem 9.60.
The concept of SC-semigroups was introduced in Li (1995/6), where Theorem 9.4

was proved. The structures of those semigroups associated with Dawson–Watanabe
superprocesses were studied in Li (1996, 1998b). Theorem 9.8 was proved in Li
(2001). Theorems 9.11 and 9.13 are from Li (2021). Theorems 9.21 and 9.45 were
given in Li (1996). Example 9.3 can also be found in Li (1996). Most of other results
in Sections 9.5 and 9.6 first appeared in Li (2001, 2021). The results on strong
Feller properties and ergodicities generalize those for CBI-processes established in
Li and Ma (2015) by a coupling constructed by strong solutions of a stochastic
equation. Some results for special branching mechanisms were obtained earlier in
Stannat (2003a, 2003b). Extensions of the results to the space of tempered measures
were discussed in Friesen (2022+). The equilibrium behavior of a population with
immigration on a hierarchical group was studied in Dawson et al. (2004a). A general
criterion for transience or recurrence of CBI-processes was given by Duhalde et al.
(2014).
The exponential ergodicities in two suitably chosen Wasserstein distances for a
finite-dimensional affine process were established in Friesen et al. (2020). The strong
Feller property and ergodicities in the total variation distance of a two-factor affine
process were proved in Chen and Li (2022+) by extensions of the coupling of Li
and Ma (2015); see also Barczy et al. (2014), Handa (2012) and Jin et al. (2017).
The methods of couplings and distances for Markov processes have been developed
systematically in Chen (2004, 2005).
Let (𝐹𝑡 )𝑡 ≥0 be the composition semigroup of probability generating functions of
a continuous-time branching process. A probability generating function 𝑔 is called
self-decomposable relative to (𝐹𝑡 )𝑡 ≥0 by van Harn et al. (1982) if for each 𝑡 ≥ 0
there is another probability generating function 𝑔𝑡 such that
𝑔(𝑧) = (𝑔 ◦ 𝐹𝑡 ) (𝑧)𝑔𝑡 (𝑧), |𝑧| ≤ 1. (9.74)
This generalizes the classical concept of self-decomposability; see, e.g., Loève

(1977) and Sato (1999). A general representation of self-decomposable probabil-
ity generating functions for a critical or subcritical branching process was given in
van Harn et al. (1982); see also the earlier work of Steutel and van Harn (1979).
In view of (9.1) and (9.74), we may regard (9.64) as a counterpart in the setting of
measure-valued processes of the representation (6.1b) in van Harn et al. (1982).
The structure of immigration was studied in Li and Shiga (1995) in the setting of
𝜂, 𝛼
measure-valued diffusions. In particular, the transition semigroup (𝑄 𝑡 )𝑡 ≥0 given
in Example 9.2 was considered in Li and Shiga (1995) for binary local branching
with constant branching rate. There it was proved the corresponding immigration
superprocess {𝑌𝑡 : 𝑡 ≥ 0} has a continuous density field {𝑌 (𝑡, 𝑥) : 𝑡 > 0, 𝑥 > 0}
satisfying the following stochastic partial differential equation:
𝜕 √︁ 1
𝑌 (𝑡, 𝑥) = 𝑌 (𝑡, 𝑥)𝑊¤ (𝑡, 𝑥) + Δ𝑌 (𝑡, 𝑥) + 𝜂(𝑥)
¤ − 𝛼 𝛿¤0 ,
𝜕𝑡 2
where {𝑊 (𝑡, 𝑥) : 𝑡 ≥ 0, 𝑥 > 0} is a time–space Gaussian white noise based on the

Lebesgue measure and the “dot” denotes the derivative in the distribution sense. The
random measures {𝑌𝑡 : 𝑡 ≥ 0} have bounded supports if and only if 𝑌0 and 𝜂 have
bounded supports. In this case, let 𝑅𝑡 = ∪0≤𝑠 ≤𝑡 supp(𝑌𝑡 ) and 𝑅ˆ𝑡 = sup{𝑥 > 0 : 𝑥 ∈
𝑅𝑡 }. It was proved in Li and Shiga (1995) that the distribution of 𝑡 −1/3 𝑅ˆ𝑡 converges
−3
as 𝑡 → ∞ to the Fréchet distribution 𝐹 (𝑧) = e−𝛾𝑧 with
∫ ∞
1 Γ(1/3)Γ(1/6) 3
𝛾= 𝛼+ 𝑥𝜂(d𝑥) .
18 Γ(1/2) 0
Motivated by applications to statistical physics models, the asymptotics of the maxi-

mum processes of branching models has been studied by many researchers; see, e.g.,
Bovier (2017), Shi (2015) and the references therein.
A central limit theorem for the super-Brownian motion with immigration was
also given in Li and Shiga (1995). The corresponding large and moderate deviations
were studied in Zhang (2004a, 2004b). A number of functional central limit theo-
rems for related processes were proved in Zhang (2005a, 2008), which gave rise to
distribution-valued Gaussian processes. Li (1998a) studied immigration structures
associated with branching particle systems. A large-deviation principle for a Brown-
ian branching immigration particle system was established in Zhang (2005b). Some
central limit theorems for supercritical branching superprocesses were established
by Ren et al. (2017a, 2017b, 2019) and Wang (2018).
Chapter 10
One-Dimensional Stochastic Equations
In this chapter we establish several stochastic equations for one-dimensional CBI-

processes. By considering a particular stochastic equation, we establish the classical
Lamperti transformations of CB-processes and spectrally positive Lévy processes.
We also derive the distributions of some important random variables including the
number of jumps with specified jump sizes and the size of the maximal jump in a
time interval. For the CB-process, some properties of its global maximal jump are
proved. By a slight modification of one of the stochastic equations, we construct a
kind of generalized CBI-processes with stochastic immigration rates.
10.1 Existence and Uniqueness of Solutions
Let 𝜙 and 𝜓 be the branching and immigration mechanisms given by (3.1) and (3.26),
𝛾
respectively. Let (𝑄 𝑡 )𝑡 ≥0 be the transition semigroup defined by (3.3) and (3.29).
Suppose that (Ω, 𝒢, 𝒢𝑡 , P) is a filtered probability space satisfying the usual hypothe-
ses. Let {𝐵(𝑡)} be a standard (𝒢𝑡 )-Brownian motion and let {𝑀 (d𝑠, d𝑧, d𝑢)} be a
time–space (𝒢𝑡 )-Poisson random measure on (0, ∞) 3 with intensity d𝑠𝑚(d𝑧)d𝑢.
We denote by 𝑀˜ (d𝑠, d𝑧, d𝑢) = 𝑀 (d𝑠, d𝑧, d𝑢) − d𝑠𝑚(d𝑧)d𝑢 the compensated ran-
dom measure. Let {𝜂(𝑡)} be a positive increasing (𝒢𝑡 )-Lévy process with Laplace
transform given by
P[e−𝜆𝜂 (𝑡) ] = e−𝑡 𝜓 (𝜆) , 𝑡 ≥ 0, 𝜆 ≥ 0.
By the Lévy–Itô decomposition, there is a time–space (𝒢𝑡 )-Poisson random measure

{𝑁 (d𝑠, d𝑧)} on (0, ∞) 2 with intensity d𝑠𝑛(d𝑧) such that
∫ 𝑡∫ ∞
𝜂(𝑡) = 𝛽𝑡 + 𝑧𝑁 (d𝑠, d𝑧). (10.1)
0 0

280 10 One-Dimensional Stochastic Equations
We assume that {𝐵(𝑡)}, {𝑀 (d𝑠, d𝑧, d𝑢)} and {𝜂(𝑡)} are independent of each other.
Given a 𝒢0 -measurable random variable 𝑦(0) ≥ 0, we consider the stochastic integral
equation
∫ 𝑡 √︁ ∫ 𝑡
𝑦(𝑡) = 𝑦(0) + 2𝑐𝑦(𝑠−)d𝐵(𝑠) − 𝑏 𝑦(𝑠−)d𝑠
∫ 𝑡 ∫ 0∞ ∫ 𝑦 (𝑠−) 0
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢) + 𝜂(𝑡). (10.2)

0 0 0
We understand the fourth term on the right-hand side of (10.2) as an integral over
the random set
{(𝑠, 𝑧, 𝑢) : 0 < 𝑠 ≤ 𝑡, 0 < 𝑧 < ∞, 0 < 𝑢 ≤ 𝑦(𝑠−)}
and give similar interpretations for other stochastic integrals with respect to time–
space noises. By a (positive) solution to the stochastic equation (10.2), we mean
a positive càdlàg (𝒢𝑡 )-adapted process {𝑦(𝑡) : 𝑡 ≥ 0} that satisfies the stochastic
equation almost surely for every 𝑡 ≥ 0. A solution {𝑦(𝑡)} is called a strong solution
if it is adapted to the filtration (ℱ𝑡 ), where ℱ𝑡 is the 𝜎-algebra generated by the set
of random variables
{𝑦(0), 𝐵(𝑠), 𝜂(𝑠), 𝑀 ((0, 𝑠] × 𝐴) : 0 < 𝑠 ≤ 𝑡, 𝐴 ∈ ℬ((0, ∞) 2 )}.
We say the pathwise uniqueness of solutions holds for the equation if two solutions
{𝑦 1 (𝑡)} and {𝑦 2 (𝑡)} are indistinguishable whenever they have the same initial value
𝑦 1 (0) = 𝑦 2 (0). We refer to Ikeda and Watanabe (1989) and Situ (2005) for the basic
theory of stochastic equations. See also Barczy et al. (2015a) and Kurtz (2014) for
updated treatments of weak and strong solutions.
Theorem 10.1 A solution {𝑦(𝑡) : 𝑡 ≥ 0} to (10.2) is a CBI-process relative to the

𝛾
filtration (𝒢𝑡 )𝑡 ≥0 with transition semigroup (𝑄 𝑡 )𝑡 ≥0 .
Proof Let (𝑟, 𝑦) ↦→ 𝑓 (𝑟, 𝑦) be a function on [0, ∞) 2 with bounded continuous

derivatives up to the first order relative to 𝑟 ≥ 0 and up to the second order relative
to 𝑦 ≥ 0. By (10.2) and Itô’s formula,
∫ 𝑟
𝑦(𝑠) 𝑐 𝑓 𝑦′′𝑦 (𝑠, 𝑦(𝑠)) − 𝑏 𝑓 𝑦′ (𝑠, 𝑦(𝑠)) d𝑠

𝑓 (𝑟, 𝑦(𝑟)) = 𝑓 (0, 𝑦(0)) +
∫ 𝑟 ∫0 ∞

+ 𝑦(𝑠)d𝑠 𝑓 (𝑠, 𝑦(𝑠) + 𝑧) − 𝑓 (𝑠, 𝑦(𝑠))
0 0 ∫ 𝑟
′
𝑓 𝑦′ (𝑠, 𝑦(𝑠))d𝑠

− 𝑧 𝑓 𝑦 (𝑠, 𝑦(𝑠)) 𝑚(d𝑧) + 𝛽
∫ 𝑟 ∫ ∞ 0

+ d𝑠 𝑓 (𝑠, 𝑦(𝑠) + 𝑧) − 𝑓 (𝑠, 𝑦(𝑠)) 𝑛(d𝑧)
∫0 𝑟 0
′
+ 𝑓𝑠 (𝑠, 𝑦(𝑠))d𝑠 + local mart. (10.3)
0
10.1 Existence and Uniqueness of Solutions 281
Given 𝑡 ≥ 0 and 𝜆 ≥ 0, we define
𝑓𝜆 (𝑟, 𝑦) = e−𝑦𝑣𝑡−𝑟 (𝜆) , 0 ≤ 𝑟 ≤ 𝑡, 𝑦 ≥ 0.
It is elementary to see that
d d2
𝑓𝜆 (𝑠, 𝑦) = − 𝑓𝜆 (𝑠, 𝑦)𝑣 𝑡−𝑠 (𝜆), 𝑓𝜆 (𝑠, 𝑦) = 𝑓𝜆 (𝑠, 𝑦)𝑣 𝑡−𝑠 (𝜆) 2
d𝑦 d𝑦 2
and, by (3.5),
d
𝑓𝜆 (𝑠, 𝑦) = −𝑦 𝑓𝜆 (𝑠, 𝑦)𝜙(𝑣 𝑡−𝑠 (𝜆)).
d𝑠
By applying (10.3) to any smooth extension of (𝑟, 𝑦) ↦→ 𝑓𝜆 (𝑟, 𝑦) on [0, ∞) 2 we have
∫ 𝑟∧𝑡
−𝑦 (𝑟) 𝑣𝑡−𝑟∧𝑡 (𝜆) −𝑦 (0) 𝑣𝑡 (𝜆)
e =e − e−𝑦 (𝑠) 𝑣𝑡−𝑠 (𝜆) 𝜓(𝑣 𝑡−𝑠 (𝜆))d𝑠 + local mart.
0
Then an application of integration by parts shows that

∫ 𝑡
𝑟 ↦→ exp − 𝑦(𝑟)𝑣 𝑡−𝑟∧𝑡 (𝜆) − 𝜓(𝑣 𝑡−𝑠 (𝜆))d𝑠 (10.4)
𝑟∧𝑡
is a bounded (𝒢𝑡 )-martingale. It follows that, for 𝑡 ≥ 𝑟 ≥ 0,

∫ 𝑡
P e−𝜆𝑦 (𝑡) |𝒢𝑟 = exp − 𝑦(𝑟)𝑣 𝑡−𝑟 (𝜆) −

𝜓(𝑣 𝑡−𝑠 (𝜆))d𝑠 .
𝑟
This gives the desired result. □
Theorem 10.2 For any initial value 𝑦(0) ≥ 0, there is a pathwise unique positive
strong solution to (10.2).
Proof Step 1. Let us consider the special case where 𝑧𝑛(d𝑧) is a finite measure on
(0, ∞). By considering the conditional law given 𝒢0 , we may assume 𝑦(0) ≥ 0 is
a deterministic constant. Suppose that {𝑦(𝑡)} is a càdlàg realization of the CBI-
𝛾
process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . Let Δ𝑦(𝑠) = 𝑦(𝑠) − 𝑦(𝑠−) for 𝑠 > 0. By
Theorem 9.30, the process {𝑦(𝑡)} has no negative jumps and the random measure
∑︁
𝑁0 (d𝑠, d𝑧) := 1 {Δ𝑦 (𝑠)≠0} 𝛿 (𝑠,Δ𝑦 (𝑠)) (d𝑠, d𝑧)
𝑠>0
has predictable compensator
𝑁ˆ 0 (d𝑠, d𝑧) = 𝑦(𝑠−)d𝑠𝑚(d𝑧) + d𝑠𝑛(d𝑧).

Moreover, we have
∫ ∞ ∫ 𝑡
𝑦(𝑡) = 𝑦(0) + 𝑡 𝛽 + 𝑧𝑛(d𝑧) − 𝑏𝑦(𝑠)d𝑠
0∫ ∫ 0
𝑡 ∞
+ 𝑀 𝑐 (𝑡) + 𝑧 𝑁˜ 0 (d𝑠, d𝑧),
0 0
where 𝑁˜ 0 (d𝑠, d𝑧) = 𝑁0 (d𝑠, d𝑧) − 𝑁ˆ 0 (d𝑠, d𝑧) and 𝑡 ↦→ 𝑀 𝑐 (𝑡) is a continuous local
martingale with quadratic variation 2𝑐𝑦(𝑡−)d𝑡. By Theorem III.7.1′ in Ikeda and
Watanabe (1989, p. 90), on an extension of the original probability space there is a
standard Brownian motion {𝐵(𝑡)} such that
∫ 𝑡 √︁
𝑐
𝑀 (𝑡) = 2𝑐𝑦(𝑠−)d𝐵(𝑠).
0
By Theorem III.7.4 in Ikeda and Watanabe (1989, p. 93), on a further exten-

sion of the probability space we can define independent Poisson random measures
{𝑀 (d𝑠, d𝑧, d𝑢)} and {𝑁 (d𝑠, d𝑧)} with intensities d𝑠𝑚(d𝑧)d𝑢 and d𝑠𝑛(d𝑧), respec-
tively, so that
∫ 𝑡 ∫ ∞ ∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−)
𝑧 𝑁˜ 0 (d𝑠, d𝑧) = 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢)
0 0 0∫ 0∫ 0
𝑡 ∞
+ 𝑧 𝑁˜ (d𝑠, d𝑧).
0 0
Moreover, an application of Theorem III.6.3 in Ikeda and Watanabe (1989, p. 77)

shows that {𝐵(𝑡)} is independent of {𝑀 (d𝑠, d𝑧, d𝑢)} and {𝑁 (d𝑠, d𝑧)}. Then {𝑦(𝑡)}
is a solution to (10.2).
Step 2. Consider again the special case where 𝑧𝑛(d𝑧) is a finite measure on
(0, ∞). We shall prove the pathwise uniqueness of the solution to (10.2). Suppose
that {𝑥(𝑡)} and {𝑦(𝑡)} are two positive solutions to the stochastic equation on the
same probability space. By Theorem 10.1, both of them are CBI-processes. We
may assume 𝑥(0) and 𝑦(0) are deterministic upon taking a conditional probabil-
ity. Then the processes have locally bounded first-moments. For 𝑘 ≥ 0 set 𝑎 𝑘 =
exp{−𝑘 (𝑘 + 1)/2}. Observe that 𝑎 𝑘 → 0 decreasingly as 𝑘 → ∞ and
∫ 𝑎𝑘−1 𝑎
𝑧−1 d𝑧 = log
𝑘−1
= 𝑘, 𝑘 ≥ 1.
𝑎𝑘 𝑎 𝑘
Then for each 𝑘 ≥ 1 there is a positive continuous function 𝑥 ↦→ 𝑔 𝑘 (𝑥) supported by

(𝑎 𝑘 , 𝑎 𝑘−1 ) such that 𝑔 𝑘 (𝑥) ≤ 2(𝑘𝑥) −1 and
∫ 𝑎𝑘−1
𝑔 𝑘 (𝑥)d𝑥 = 1.
𝑎𝑘
For 𝑘 ≥ 1 and 𝑧 ∈ R let

∫ |𝑧 | ∫ 𝑦
𝑓 𝑘 (𝑧) = d𝑦 𝑔 𝑘 (𝑥)d𝑥.
0 0
Then 𝑓 𝑘 (𝑧) → |𝑧| increasingly as 𝑘 → ∞. Moreover, we have | 𝑓 𝑘′ (𝑧)| ≤ 1 and
0 ≤ |𝑧| 𝑓 𝑘′′ (𝑧) = |𝑧|𝑔 𝑘 (|𝑧|) ≤ 2/𝑘. (10.5)
For 𝑧, 𝜁 ∈ R write
𝐷 𝑧 𝑓 𝑘 (𝜁) = 𝑓 𝑘 (𝜁 + 𝑧) − 𝑓 𝑘 (𝜁) − 𝑧 𝑓 𝑘′ (𝜁). (10.6)
|𝐷 𝑧 𝑓 𝑘 (𝜁)| ≤ | 𝑓 𝑘 (𝜁 + 𝑧) − 𝑓 𝑘 (𝜁)| + |𝑧 𝑓 𝑘′ (𝜁)| ≤ 2|𝑧|.
By Taylor’s expansion, when 𝑧𝜁 ≥ 0, there is an 𝜂 between 𝜁 and 𝜁 + 𝑧 such that
|𝜁 ||𝐷 𝑧 𝑓 𝑘 (𝜁)| ≤ |𝜁 || 𝑓 𝑘′′ (𝜂)|𝑧2 /2 ≤ |𝜂|| 𝑓 𝑘′′ (𝜂)|𝑧2 /2 ≤ 𝑧2 /𝑘,
where we have used (10.5) for the last inequality. It follows that, when 𝑧𝜁 ≥ 0,
|𝜁 ||𝐷 𝑧 𝑓 𝑘 (𝜁)| ≤ (2|𝑧𝜁 |) ∧ (𝑧2 /𝑘) ≤ (1 + 2|𝜁 |) [|𝑧| ∧ (𝑧2 /𝑘)]. (10.7)
Let 𝜁 (𝑡) = 𝑥(𝑡) − 𝑦(𝑡) for 𝑡 ≥ 0. From (10.2) we have

∫ 𝑡 √ ∫ 𝑡 √︁ √︁
𝜁 (𝑡) = 𝜁 (0) − 𝑏 𝜁 (𝑠−)d𝑠 + 2𝑐 𝑥(𝑠−) − 𝑦(𝑠−) d𝐵(𝑠)
∫ 𝑡 0∫ ∞ ∫ 𝑥 (𝑠−) 0
+ 𝑧1 {𝜁 (𝑠−) >0} 𝑀˜ (d𝑠, d𝑧, d𝑢)

0 0 𝑦 (𝑠−)
∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−)
− 𝑧1 {𝜁 (𝑠−) <0} 𝑀˜ (d𝑠, d𝑧, d𝑢).
0 0 𝑥 (𝑠−)
By Itô’s formula,
∫ 𝑡
√︁ √︁ 2
𝑓 𝑘 (𝜁 (𝑡)) = 𝑓 𝑘 (𝜁 (0)) + 𝑐 𝑓 𝑘′′ (𝜁 (𝑠)) 𝑥(𝑠) − 𝑦(𝑠) d𝑠
∫ 𝑡 0
′
−𝑏 𝑓 𝑘 (𝜁 (𝑠))𝜁 (𝑠)d𝑠+𝑀𝑘 (𝑡)
∫ 𝑡0 ∫ ∞
+ 𝜁 (𝑠)1 {𝜁 (𝑠) >0} d𝑠 𝐷 𝑧 𝑓 𝑘 (𝜁 (𝑠))𝑚(d𝑧)
∫0 𝑡 ∫0 ∞
− 𝜁 (𝑠)1 {𝜁 (𝑠) <0} d𝑠 𝐷 −𝑧 𝑓 𝑘 (𝜁 (𝑠))𝑚(d𝑧), (10.8)
0 0
√︁ √︁ 2
where 𝑥(𝑠) − 𝑦(𝑠) ≤ |𝜁 (𝑠)| and 𝑡 ↦→ 𝑀𝑘 (𝑡) is a martingale defined by
√ ∫𝑡 √︁ √︁
𝑓 𝑘′ (𝜁 (𝑠−)) 𝑥(𝑠−) − 𝑦(𝑠−) d𝐵(𝑠)

𝑀𝑘 (𝑡) = 2𝑐
∫ 𝑡 0∫ ∞ ∫ 𝑥 (𝑠−)
+ 𝑓 𝑘′ (𝜁 (𝑠−))𝑧1 {𝜁 (𝑠−) >0} 𝑀˜ (d𝑠, d𝑧, d𝑢)
0 0 𝑦 (𝑠−)
∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−)
− 𝑓 𝑘′ (𝜁 (𝑠−))𝑧1 {𝜁 (𝑠−) <0} 𝑀˜ (d𝑠, d𝑧, d𝑢)
0 0 𝑥 (𝑠−)
∫ 𝑡 ∫ ∞ ∫ 𝑥 (𝑠−)
+ 𝐷 𝑧 𝑓 𝑘 (𝜁 (𝑠))1 {𝜁 (𝑠−) >0} 𝑀˜ (d𝑠, d𝑧, d𝑢)
0 0 𝑦 (𝑠−)
∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−)
+ 𝐷 −𝑧 𝑓 𝑘 (𝜁 (𝑠))1 {𝜁 (𝑠−) <0} 𝑀˜ (d𝑠, d𝑧, d𝑢).
0 0 𝑥 (𝑠−)
Taking expectations in both sides of (10.8) and using (10.5) and (10.7) we see
∫ 𝑡
P[ 𝑓 𝑘 (𝜁 (𝑡))] ≤ 𝑓 𝑘 (𝜁 (0)) + |𝑏| P[|𝜁 (𝑠)|]d𝑠 + 𝜀 𝑘 (𝑡),
0
where
∫ 𝑡 ∫ ∞
−1
𝜀 𝑘 (𝑡) = 2𝑐𝑘 𝑡 + (1 + 2P[|𝜁 (𝑠)|])d𝑠 [𝑧 ∧ (𝑘 −1 𝑧2 )]𝑚(d𝑧).
0 0
Clearly, we have lim 𝑘→∞ 𝜀 𝑘 (𝑡) = 0. Then letting 𝑘 → ∞ in the above inequality we
get
∫ 𝑡
P[|𝑥(𝑡) − 𝑦(𝑡)|] ≤ |𝑥(0) − 𝑦(0)| + |𝑏| P[|𝑥(𝑠) − 𝑦(𝑠)|]d𝑠.
0
If 𝑥(0) = 𝑦(0), we have P[|𝑥(𝑡) − 𝑦(𝑡)|] = 0 by Gronwall’s inequality, and so

P{𝑥(𝑡) = 𝑦(𝑡) for 𝑡 ≥ 0} = 1 by the right continuity of the processes. This proves
the pathwise uniqueness for (10.2). Then there is a pathwise unique positive strong
solution to the stochastic equation; see, e.g., Situ (2005, p. 76 and p. 104) and
Theorems 1 and 2 in Barczy et al. (2015a).
Step 3. Consider the general case where (1∧ 𝑧)𝑛(d𝑧) is a finite measure on (0, ∞).
By the second step, there is a pathwise unique positive strong solution to (10.2) when
𝜂(𝑡) is replaced by
∫ 𝑡 ∫ 1
𝜂1 (𝑡) := 𝛽𝑡 + 𝑧𝑁 (d𝑠, d𝑧).
0 0
It is easy to see that the process

∫ 𝑡 ∫ ∞
𝑡 ↦→ 𝜂2 (𝑡) := 𝜂(𝑡) − 𝜂1 (𝑡) = 𝑧𝑁 (d𝑠, d𝑧)
0 1
makes at most a finite number of jumps on each bounded interval. Then the theorem
also holds under the general assumption; see, e.g., Proposition 2.2 in Fu and Li
(2010). □
We can give a formulation of the CBI-process in terms another stochastic integral

equation weakly equivalent to (10.2). Let {𝑀 (d𝑠, d𝑧, d𝑢)} and {𝜂(𝑡)} be as in (10.2).
Let {𝑊 (d𝑠, d𝑢)} be a time–space (𝒢𝑡 )-Gaussian white noise on (0, ∞) 2 with intensity
2𝑐d𝑠d𝑢. We assume {𝑊 (d𝑠, d𝑢)}, {𝑀 (d𝑠, d𝑧, d𝑢)} and {𝜂(𝑡)} are independent of
each other. Given a 𝒢0 -measurable random variable 𝑦(0) ≥ 0, we consider the
stochastic integral equation
∫ 𝑡 ∫ 𝑦 (𝑠−) ∫ 𝑡
𝑦(𝑡) = 𝑦(0) + 𝑊 (d𝑠, d𝑢) − 𝑏 𝑦(𝑠−)d𝑠
0 ∫0 0
∫ 𝑡∫ ∞ 𝑦 (𝑠−)
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢) + 𝜂(𝑡). (10.9)
0 0 0
The concepts of (positive) solution, strong solution and pathwise uniqueness for
(10.9) can be introduced similarly as those for (10.2).
Theorem 10.3 The stochastic equations (10.2) and (10.9) are weakly equivalent.
Proof Suppose that {𝑦(𝑡)} is a solution to (10.2). By Theorem III.6 in El Karoui and
Méléard (1990), on an extension of the probability space we can define a time–space
Gaussian white noise {𝑊 (d𝑠, d𝑢)} with intensity 2𝑐d𝑠d𝑢 so that
∫ 𝑡 √︁ ∫ 𝑡 ∫ 𝑦 (𝑠−)
2𝑐𝑦(𝑠−)d𝐵(𝑠) = 𝑊 (d𝑠, d𝑢).
0 0 0
Then {𝑦(𝑡)} is also a solution to (10.9). Conversely, suppose that {𝑦(𝑡)} is a solution
to (10.9). By Theorem III.7.1′ in Ikeda and Watanabe (1989, p. 90), there is a standard
Brownian motion {𝐵(𝑡)} on an extension of the probability space such that the above
relation holds. Then {𝑦(𝑡)} is also a solution to (10.2). □
Corollary 10.4 A solution {𝑦(𝑡) : 𝑡 ≥ 0} to (10.9) is a CBI-process relative to the

𝛾
filtration (𝒢𝑡 )𝑡 ≥0 with transition semigroup (𝑄 𝑡 )𝑡 ≥0 .
Theorem 10.5 Suppose that {𝑦 1 (𝑡) : 𝑡 ≥ 0} and {𝑦 2 (𝑡) : 𝑡 ≥ 0} are two positive
solutions to (10.9) with P{𝑦 1 (0) ≤ 𝑦 2 (0)} = 1. Then we have P{𝑦 1 (𝑡) ≤ 𝑦 2 (𝑡) for
all 𝑡 ≥ 0} = 1.
Proof As in the proof of Theorem 10.2 we can reduce the proof to the case where
𝑧𝑛(d𝑧) is a finite measure on (0, ∞). By Corollary 10.4, both {𝑦 1 (𝑡)} and {𝑦 2 (𝑡)}
𝛾
are CBI-processes with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . Without loss of generality,
we assume 𝑦 1 (0) and 𝑦 2 (0) are deterministic constants. For 𝑘 ≥ 1 let 𝑔 𝑘 be defined
as in the proof of Theorem 10.2 and let
∫ 0∨𝑧 ∫ 𝑦
𝑓 𝑘 (𝑧) = d𝑦 𝑔 𝑘 (𝑥)d𝑥.
0 0
Then 𝑓 𝑘 (𝑧) → 0 ∨ 𝑧 increasingly as 𝑘 → ∞. Let 𝜁 (𝑡) = 𝑦 1 (𝑡) − 𝑦 2 (𝑡) for 𝑡 ≥ 0.

From (10.9) it follows that

∫ 𝑡 ∫ 𝑦1 (𝑠−)
𝜁 (𝑡) = 𝜁 (0) + 1 {𝜁 (𝑠−) >0} 𝑊 (d𝑠, d𝑢)
𝑦2 (𝑠−)
∫ 𝑡 ∫ 0𝑦2 (𝑠−) ∫ 𝑡
− 1 {𝜁 (𝑠−) <0} 𝑊 (d𝑠, d𝑢) − 𝑏 𝜁 (𝑠−)d𝑠
∫0 𝑡 ∫ 𝑦1∞(𝑠−)
∫ 𝑦1 (𝑠−) 0
+ 1 {𝜁 (𝑠−) >0} 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢)

0 0 𝑦2 (𝑠−)
∫ 𝑡 ∫ ∞ ∫ 𝑦2 (𝑠−)
− 1 {𝜁 (𝑠−) <0} 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢).
0 0 𝑦1 (𝑠−)
Since 𝑓 𝑘 (𝑧) = 0 for 𝑧 ≤ 0, by Itô’s formula one can see that

∫ 𝑡 ∫ 𝑡
𝑓 𝑘 (𝜁 (𝑡)) = 𝑐 𝑓 𝑘′′ (𝜁 (𝑠))|𝜁 (𝑠)|d𝑠 − 𝑏 𝑓 𝑘′ (𝜁 (𝑠))𝜁 (𝑠)d𝑠 + mart.
0
∫ 𝑡 ∫ ∞ 0
+ 𝜁 (𝑠)1 {𝜁 (𝑠) >0} d𝑠 𝐷 𝑧 𝑓 𝑘 (𝜁 (𝑠))𝑚(d𝑧)

∫0 𝑡 ∫0 ∞
− 𝜁 (𝑠)1 {𝜁 (𝑠) <0} d𝑠 𝐷 −𝑧 𝑓 𝑘 (𝜁 (𝑠))𝑚(d𝑧)
∫ 0𝑡 0 ∫ 𝑡
′′
=𝑐 𝑓 𝑘 (𝜁 (𝑠)) [0 ∨ 𝜁 (𝑠)]d𝑠 − 𝑏 𝑓 𝑘′ (𝜁 (𝑠)) [0 ∨ 𝜁 (𝑠)]d𝑠
∫0 𝑡 ∫ ∞ 0
+ [0 ∨ 𝜁 (𝑠)]d𝑠 𝐷 𝑧 𝑓 𝑘 (𝜁 (𝑠))𝑚(d𝑧) + mart.,

0 0
where 𝐷 𝑧 𝑓 𝑘 (𝜁) is defined as in (10.6). Taking expectations in the above equality and
arguing as in the proof of Theorem 10.2 we obtain
∫ 𝑡
P[0 ∨ 𝜁 (𝑡)] ≤ |𝑏| P[0 ∨ 𝜁 (𝑠)]d𝑠.
0
By Gronwall’s inequality we have P[0 ∨ 𝜁 (𝑡)] = 0 for 𝑡 ≥ 0, which implies

P{𝑦 1 (𝑡) ≤ 𝑦 2 (𝑡) for all 𝑡 ≥ 0} = 1. □
Corollary 10.6 For any initial value 𝑦(0) ≥ 0, there is a pathwise unique positive
Proof By Theorems 10.2 and 10.3 there is a solution {𝑦(𝑡)} to (10.9). The pathwise
uniqueness of solutions follows from Theorem 10.5. Then (10.9) has a unique positive
strong solution. □
Now let us consider a special CBI-process. Suppose that 𝑐, 𝜎 ≥ 0, 𝑏 ∈ R and

1 < 𝛼 < 2 are given constants. Let {𝐵(𝑡)} and {𝜂(𝑡)} be as in (10.2). Let {𝑧(𝑡)} be
a spectrally positive (𝒢𝑡 )-stable Lévy process with Lévy measure
𝛾(d𝑧) := (𝛼 − 1)Γ(2 − 𝛼) −1 𝑧−1−𝛼 d𝑧, 𝑧 > 0,

where the coefficient has been chosen so that
P[e−𝜆𝑧 (𝑡) ] = e𝑡𝜆

𝛼 /𝛼
, 𝑡, 𝜆 ≥ 0.
We assume that {𝐵(𝑡)}, {𝑧(𝑡)} and {𝜂(𝑡)} are independent of each other. Consider
the stochastic differential equation
√︁ √︁
d𝑦(𝑡) = 2𝑐𝑦(𝑡−)d𝐵(𝑡) + 𝛼 𝛼𝜎𝑦(𝑡−)d𝑧(𝑡) − 𝑏𝑦(𝑡−)d𝑡 + d𝜂(𝑡). (10.10)
Theorem 10.7 A solution {𝑦(𝑡) : 𝑡 ≥ 0} to (10.10) is a CBI-process relative to

the filtration (𝒢𝑡 )𝑡 ≥0 with branching mechanism 𝜙(𝜆) = 𝑏𝜆 + 𝑐𝜆2 + 𝜎𝜆 𝛼 and with
immigration mechanism 𝜓 given by (3.26).
Proof For any 𝜆 > 0 let 𝑡 ↦→ 𝑣 𝑡 (𝜆) be the unique positive solution to (3.5) with
𝜙 specified as in the theorem. As in the proof of Theorem 10.1, one can use Itô’s
formula to see that (10.4) is a bounded (𝒢𝑡 )-martingale, which implies that {𝑦(𝑡)}
is a CBI-process relative to (𝒢𝑡 ) with branching mechanism 𝜙 and immigration
mechanism 𝜓. □
Theorem 10.8 For any initial value 𝑦(0) ≥ 0, there is a pathwise unique positive
Proof By Theorem 10.2 there is a solution {𝑦(𝑡)} to (10.2) with {𝑀 (d𝑠, d𝑧, d𝑢)}
being a Poisson random measure with intensity d𝑠𝑚(d𝑧)d𝑢 = 𝛼𝜎d𝑠𝛾(d𝑧)d𝑢. We
may assume 𝜎 > 0, for otherwise the proof is simpler. Define the random measure
{𝑀0 (d𝑠, d𝑧)} on (0, ∞) 2 by
∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−)
𝑧
𝑀0 ((0, 𝑡] × 𝐵) = 1 {𝑦 (𝑠−) >0} 1 𝐵 √︁ 𝑀 (d𝑠, d𝑧, d𝑢)
𝛼
0 0 0 𝛼𝜎𝑦(𝑠−)
∫ 𝑡 ∫ ∞ ∫ 1/𝛼 𝜎
+ 1 {𝑦 (𝑠−)=0} 1 𝐵 (𝑧)𝑀 (d𝑠, d𝑧, d𝑢),
0 0 0
where 𝑡 ≥ 0 and 𝐵 ∈ ℬ(0, ∞). It is easy to compute that {𝑀0 (d𝑠, d𝑧)} has predictable
compensator { 𝑀ˆ 0 (d𝑠, d𝑧)} defined by
∫ 𝑡∫ ∞
ˆ 𝑧 𝛼𝜎𝑦(𝑠−) (𝛼 − 1)d𝑠d𝑧
𝑀0 ((0, 𝑡] × 𝐵) = 1 {𝑦 (𝑠−) >0} 1 𝐵 √︁
0 0
𝛼
𝛼𝜎𝑦(𝑠−) Γ(2 − 𝛼)𝑧 1+𝛼
∫ 𝑡∫ ∞
(𝛼 − 1)d𝑠d𝑧
+ 1 {𝑦 (𝑠−)=0} 1 𝐵 (𝑧)
∫ 𝑡0 ∫ ∞0 Γ(2 − 𝛼)𝑧1+𝛼
(𝛼 − 1)d𝑠d𝑧
= 1 𝐵 (𝑧) .
0 0 Γ(2 − 𝛼)𝑧 1+𝛼
Thus {𝑀0 (d𝑠, d𝑧)} is a Poisson random measure with intensity d𝑠𝛾(d𝑧); see, e.g.,
Theorem III.6.2 in Ikeda and Watanabe (1989, p. 75). Now define the Lévy process
∫ 𝑡∫ ∞
𝑧(𝑡) = 𝑧 𝑀˜ 0 (d𝑠, d𝑧), (10.11)
0 0
where 𝑀˜ 0 (d𝑠, d𝑧) = 𝑀0 (d𝑠, d𝑧) − 𝑀ˆ 0 (d𝑠, d𝑧). It is easy to see that
∫ 𝑡 √︁ ∫ 𝑡 ∫ ∞ √︁
𝛼
𝛼𝜎𝑦(𝑠−)d𝑧(𝑠) = 𝛼
𝛼𝜎𝑦(𝑠−) 𝑧 𝑀˜ 0 (d𝑠, d𝑧)
0 0 0
∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−)
= 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢).
0 0 0
Then {𝑦(𝑡)} solves (10.10). This gives the existence of the solution. We next prove
the pathwise uniqueness for (10.10). By the Lévy–Itô decomposition, the one-sided
𝛼-stable process {𝑧(𝑡)} has representation (10.11) with { 𝑀˜ 0 (d𝑠, d𝑧)} being a com-
pensated Poisson random measure on (0, ∞) 2 with intensity d𝑠𝛾(d𝑧). For 𝑡 ≥ 0
let
∫ 𝑡∫ 1 ∫ 𝑡∫ ∞
𝑧 1 (𝑡) = 𝑧 𝑀˜ 0 (d𝑠, d𝑧), 𝑧2 (𝑡) = 𝑧𝑀0 (d𝑠, d𝑧).
0 0 0 1
Since 𝑡 ↦→ 𝑧2 (𝑡) has at most finitely many jumps in each bounded interval, we only
need to prove the pathwise uniqueness for
√︁ √︁
d𝑦(𝑡) = 2𝑐𝑦(𝑡−)d𝐵(𝑡) + 𝛼 𝛼𝜎𝑦(𝑡−)d𝑧 1 (𝑡) − 𝑏𝑦(𝑡−)d𝑡
√︁
− 𝛼−1 (𝛼 − 1)Γ(2 − 𝛼) −1 𝛼 𝛼𝜎𝑦(𝑡−)d𝑡 + d𝜂(𝑡). (10.12)
Suppose that {𝑥(𝑡)} and {𝑦(𝑡)} are two positive solutions of (10.12) defined on
√︁ space with deterministic initial value 𝑥(0) = 𝑦(0) ≥ 0. Let
the same√︁probability
𝜁 𝜃 (𝑡) = 𝜃 𝑥(𝑡) − 𝜃 𝑦(𝑡) for 0 < 𝜃 ≤ 2 and 𝑡 ≥ 0. Then we have
√ √
d𝜁1 (𝑡) = 2𝑐𝜁2 (𝑡−)d𝐵(𝑡) + 𝛼 𝛼𝜎𝜁 𝛼 (𝑡−)d𝑧1 (𝑡) − 𝑏𝜁1 (𝑡−)d𝑡
√
− 𝛼−1 (𝛼 − 1)Γ(2 − 𝛼) −1 𝛼 𝛼𝜎𝜁 𝛼 (𝑡−)d𝑡.
For 𝑘 ≥ 1 let 𝑓 𝑘 be the function defined as in the proof of Theorem 10.2. By Itô’s
formula, it is not hard to see that
∫ 𝑡 ∫ 𝑡
𝑓 𝑘 (𝜁1 (𝑡)) = 𝑐 𝑓 𝑘′′ (𝜁1 (𝑠−))𝜁2 (𝑠−) 2 d𝑠 − 𝑏 𝑓 𝑘′ (𝜁1 (𝑠−))𝜁1 (𝑠−)d𝑠
0 ∫ 𝑡0
−1 −1 √
− 𝛼 (𝛼 − 1)Γ(2 − 𝛼) 𝛼
𝛼𝜎 𝑓 𝑘′ (𝜁1 (𝑠−))𝜁 𝛼 (𝑠−)d𝑠
∫ 𝑡 ∫ 1h 0
√
+ d𝑠 𝑓 𝑘 (𝜁1 (𝑠−) + 𝛼 𝛼𝜎𝜁 𝛼 (𝑠−)𝑧) − 𝑓 𝑘 (𝜁1 (𝑠−))
0 0
√ i
− 𝛼 𝛼𝜎𝜁 𝛼 (𝑠−)𝑧 𝑓 𝑘′ (𝜁1 (𝑠−)) 𝛾(d𝑧)+𝑀𝑘 (𝑡), (10.13)
where 𝑡 ↦→ 𝑀𝑘 (𝑡) is a local martingale with localization sequence {𝜏𝑖 } defined by

𝜏𝑖 = inf{𝑠 ≥ 0 : 𝑥(𝑠) ≥ 𝑖 or 𝑦(𝑠) ≥ 𝑖}. Clearly, for any 0 < 𝑠 ≤ 𝜏𝑖 we have
|𝜁1 (𝑠−)| ≤ 𝑖. By Taylor’s expansion, there exists 0 < 𝜉 < 𝑧 such that
√ √
𝑓 𝑘 (𝜁1 (𝑠−) +𝛼𝜎𝜁 𝛼 (𝑠−)𝑧) − 𝑓 𝑘 (𝜁1 (𝑠−)) − 𝛼 𝛼𝜎𝜁 𝛼 (𝑠−)𝑧 𝑓 𝑘′ (𝜁1 (𝑠−))
𝛼
√
= 2−1 (𝛼𝜎) 2/𝛼 𝑓 𝑘′′ (𝜁1 (𝑠−) + 𝛼 𝛼𝜎𝜁 𝛼 (𝑠−)𝜉)𝜁 𝛼 (𝑠−) 2 𝑧2
√
≤ 2−1 (𝛼𝜎) 2/𝛼 𝑓 𝑘′′ (𝜁1 (𝑠−) + 𝛼 𝛼𝜎𝜁 𝛼 (𝑠−)𝜉)|𝜁1 (𝑠−)| 2/𝛼 𝑧2
√
≤ 2−1 (𝛼𝜎) 2/𝛼 𝑖 2/𝛼−1 𝑓 𝑘′′ (𝜁1 (𝑠−) + 𝛼 𝛼𝜎𝜁 𝛼 (𝑠−)𝜉)|𝜁1 (𝑠−)|𝑧2
≤ (𝛼𝜎) 2/𝛼 𝑖 2/𝛼−1 𝑘 −1 𝑧2 ,
where we have used (10.5) and the fact 𝜁1 (𝑠−)𝜁 𝛼 (𝑠−) ≥ 0. Taking the expectation
in both sides of (10.13) at time 𝑡 ∧ 𝜏𝑖 gives
∫ 𝑡∧𝜏𝑖
P[ 𝑓 𝑘 (𝜁1 (𝑡 ∧ 𝜏𝑖 ))] ≤ 2𝑐𝑘 −1 𝑡 + |𝑏|P |𝜁1 (𝑠−)|d𝑠
0
∫ 𝑡 ∫ 1
2/𝛼 2/𝛼−1 −1
+ (𝛼𝜎) 𝑖 𝑘 d𝑠 𝑧2 𝛾(d𝑧)
∫ 𝑡 0 0
≤ 2𝑐𝑘 −1 𝑡 + |𝑏| P[|𝜁1 (𝑠 ∧ 𝜏𝑖 )|]d𝑠

0 ∫ 𝑡 ∫ 1
+ (𝛼𝜎) 2/𝛼 𝑖 2/𝛼−1 𝑘 −1 d𝑠 𝑧2 𝛾(d𝑧).
0 0
Now we can let 𝑘 → ∞ in the inequality above to get

∫ 𝑡
P[|𝜁1 (𝑡 ∧ 𝜏𝑖 )|] ≤ |𝑏| P[|𝜁1 (𝑠 ∧ 𝜏𝑖 )|]d𝑠.
0
Then P[|𝑥(𝑡 ∧𝜏𝑖 ) − 𝑦(𝑡 ∧𝜏𝑖 )|] = P[|𝜁1 (𝑡 ∧𝜏𝑖 )|] = 0 for 𝑡 ≥ 0 by Gronwall’s inequality.
This implies the pathwise uniqueness for (10.10). □
The stochastic integral equations (10.2) and (10.9) give convenient constructions
of the trajectories of the CBI-process. In particular, the immigration structure is
represented by the increasing Lévy process {𝜂(𝑡)}, which is decomposed by (10.1)
into the continuous part determined by the drift coefficient 𝛽 and the discontinuous
part given by the Poisson random measure {𝑁 (d𝑠, d𝑧)}. Let {𝐿(d𝑠, d𝑢)} be the
spectrally positive time–space (𝒢𝑡 )-Lévy white noise on (0, ∞) 2 defined by
∫
𝐿(d𝑠, d𝑢) = 𝑊 (d𝑠, d𝑢) − 𝑏d𝑠d𝑢 + 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢).
{0<𝑧<∞}
We may rewrite (10.9) as

∫ 𝑡 ∫ 𝑦 (𝑠−)
𝑦(𝑡) = 𝑦(0) + 𝐿 (d𝑠, d𝑢) + 𝜂(𝑡), (10.14)
0 0
which not only simplifies the form of the stochastic equation but also reveals the key
structure of the CBI-process.
Example 10.1 The stochastic equation (10.14) is a parallel of the definition (3.57) of
a general GWI-process. In fact, from (3.57) it follows that
𝑦 (𝑛−1)
∑︁
𝑦(𝑛) = 𝑦(𝑛 − 1) + (𝜉 𝑛,𝑖 − 1) + 𝜂 𝑛 .
𝑖=1
Then we have
𝑛 𝑦 (𝑘−1)
∑︁ ∑︁ 𝑛
∑︁
𝑦(𝑛) = 𝑦(0) + (𝜉 𝑘,𝑖 − 1) + 𝜂𝑘 ,
𝑘=1 𝑖=1 𝑘=1
which could be thought of as the discrete time–space prototype of (10.14).
Example 10.2 Consider again the GWI-process defined by (3.57). Under the condi-
tion 𝜇 := E(𝜉1,1 ) < ∞, for any 1 < 𝛼 ≤ 2 we may formally write
𝑦 (𝑛−1)
√︁ ∑︁ 𝜉 𝑛,𝑖 − 𝜇
𝑦(𝑛) − 𝑦(𝑛 − 1) = 𝛼
𝑦(𝑛 − 1) √︁ − (1 − 𝜇)𝑦(𝑛 − 1) + 𝜂 𝑛 .
𝑖=1
𝛼
𝑦(𝑛 − 1)
Observe that the partial sum on the right-hand side corresponds to a central limit
theorem of spectrally positive 𝛼-stable type. A continuous time–space counterpart
of the above equation would be
√︁
d𝑦(𝑡) = 𝛼 𝛼𝜎𝑦(𝑡−)d𝑧(𝑡) − 𝑏𝑦(𝑡)d𝑡 + 𝛽d𝑡, 𝑡 ≥ 0,
where {𝑧(𝑡) : 𝑡 ≥ 0} is a standard Brownian motion if 𝛼 = 2 and a spectrally positive

𝛼-stable Lévy process if 1 < 𝛼 < 2. This is a typical special form of (10.10).
10.2 The Lamperti Transformations
Let {𝑥(𝑡) : 𝑡 ≥ 0} be a CB-process with branching mechanism 𝜙 given by (3.1) and

with deterministic initial state 𝑥(0) = 𝑥 > 0. Let {𝑌𝑡 : 𝑡 ≥ 0} be a spectrally positive
Lévy process such that 𝑌0 = 𝑥 and

P exp − 𝜆(𝑌𝑡 − 𝑌0 ) = exp 𝑡𝜙(𝜆) , 𝜆 ≥ 0, 𝑡 ≥ 0. (10.15)
Let 𝜏 = inf{𝑠 > 0 : 𝑌𝑠 = 0 or 𝑌𝑠− = 0} and let 𝑍𝑡 = 𝑌𝑡∧𝜏 for 𝑡 ≥ 0. Recall that
𝐷 ( [0, ∞), R+ ) is the space of càdlàg paths from [0, ∞) to R+ furnished with the
Skorokhod topology.
10.2 The Lamperti Transformations 291
Theorem 10.9 For any 𝑡 ≥ 0 let 𝑧(𝑡) = 𝑥(𝜅(𝑡)), where

n ∫ 𝑣 ∫ 𝑣 o
𝜅(𝑡) = inf 𝑣 ≥ 0 : 𝑥(𝑠−)d𝑠 = 𝑥(𝑠)d𝑠 > 𝑡 . (10.16)
0 0
Then {𝑧(𝑡) : 𝑡 ≥ 0} is distributed identically on 𝐷 ( [0, ∞), R+ ) with {𝑍𝑡 : 𝑡 ≥ 0}.
Proof By Theorems 10.1 and 10.2, we may construct a realization of {𝑥(𝑡)} by the
pathwise unique positive solution to the stochastic equation
∫ 𝑡 √︁ ∫ 𝑡
𝑥(𝑡) = 𝑥 + 2𝑐𝑥(𝑠−)d𝐵(𝑠) − 𝑏𝑥(𝑠−)d𝑠
∫ 𝑡0∫ ∞ ∫ 𝑥 (𝑠−) 0
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢), (10.17)

0 0 0
which is a special form of (10.2). It follows that

∫ √︁ 𝜅 (𝑡) ∫ 𝜅 (𝑡)
𝑧(𝑡) = 𝑥 + 2𝑐𝑥(𝑠−)d𝐵(𝑠) − 𝑏𝑥(𝑠−)d𝑠
∫ 𝜅0(𝑡) ∫ ∞ ∫ 𝑥 (𝑠−) 0
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢)

0 0 0 ∫
√ 𝑡
= 𝑥 + 2𝑐𝑊 (𝑡) − 𝑏 𝑧(𝑠−)d𝜅(𝑠)
∫ 𝑡 ∫ ∞ ∫ 𝑧 (𝑠−) 0
+ 𝑧 𝑀˜ (d𝜅(𝑠), d𝑧, d𝑢), (10.18)
0 0 0
where
∫ 𝜅 (𝑡) √︁ ∫ 𝑡 √︁
𝑊 (𝑡) = 𝑥(𝑠−)d𝐵(𝑠) = 𝑧(𝑠−)d𝐵(𝜅(𝑠))
0 0
is a continuous martingale. From (10.16) we have
d𝜅(𝑠) = 𝑥(𝜅(𝑠)−) −1 1 {𝑥 (𝜅 (𝑠)−) >0} d𝑠 = 1 {𝑧 (𝑠−) >0} 𝑧(𝑠−) −1 d𝑠.
Let 𝜏0 = inf{𝑡 ≥ 0 : 𝑧(𝑡) = 0} = inf{𝑡 ≥ 0 : 𝑧(𝑡−) = 0}. Since zero is a trap for
{𝑧(𝑡)}, it follows that
∫ 𝑡 ∫ 𝑡 ∫ 𝑡
𝑧(𝑠−)d𝜅(𝑠) = 1 {𝑧 (𝑠−) >0} d𝑠 = 1 {𝑠<𝜏0 } d𝑠 = 𝑡 ∧ 𝜏0 .
0 0 0
Then {𝑊 (𝑡)} has quadratic variation process ⟨𝑊⟩(𝑡) = 𝑡 ∧ 𝜏0 , so it is a standard

Brownian motion stopped at 𝜏0 . It is easy to extend {𝑊 (𝑡)} to a standard Brownian
motion with infinite time; see, e.g., Ikeda and Watanabe (1989, p. 90). Next define
the random measure {𝑁0 (d𝑠, d𝑧)} on (0, ∞) 2 by
∫ 𝑡 ∫ 𝑏 ∫ 𝑧 (𝑠−)
𝑁0 ((0, 𝑡] × (𝑎, 𝑏]) = 1 {𝑧 (𝑠−) >0} 𝑀 (d𝜅(𝑠), d𝑧, d𝑢),
0 𝑎 0
where 𝑡 ≥ 0 and 𝑏 ≥ 𝑎 > 0. It is easy to compute that {𝑁0 (d𝑠, d𝑧)} has predictable
compensator { 𝑁ˆ 0 (d𝑠, d𝑧)} defined by
∫ 𝑡
ˆ
𝑁0 ((0, 𝑡] × (𝑎, 𝑏]) = 𝑚(𝑎, 𝑏]𝑧(𝑠−)d𝜅(𝑠) = 𝑚(𝑎, 𝑏] (𝑡 ∧ 𝜏0 ).
0
Then we can extend {𝑁0 (d𝑠, d𝑧)} to a Poisson random measure on (0, ∞) 2 with
intensity d𝑠𝑚(d𝑧); see, e.g., Ikeda and Watanabe (1989, p. 93). From (10.18) we get
√ ∫ 𝑡∧𝜏0 ∫ ∞
𝑧(𝑡) = 𝑥 + 2𝑐𝑊 (𝑡 ∧ 𝜏0 ) − 𝑏(𝑡 ∧ 𝜏0 ) + 𝑧 𝑁˜ 0 (d𝑠, d𝑧).
0 0
Therefore {𝑧(𝑡)} is distributed on 𝐷 ( [0, ∞), R+ ) identically with {𝑍𝑡 : 𝑡 ≥ 0}. □

Theorem 10.10 For any 𝑡 ≥ 0 let 𝑋𝑡 = 𝑍 𝜃 (𝑡) , where
n ∫ 𝑣 ∫ 𝑣 o
−1
𝜃 (𝑡) = inf 𝑣 ≥ 0 : 𝑍 𝑠− d𝑠 = 𝑍 𝑠−1 d𝑠 > 𝑡 . (10.19)
0 0
Then {𝑋𝑡 : 𝑡 ≥ 0} is distributed identically on 𝐷 ( [0, ∞), R+ ) with {𝑥(𝑡) : 𝑡 ≥ 0}.

Proof By the Lévy–Itô decomposition, up to an extension of the original probability
space we may assume {𝑌𝑡 } is given by
√ ∫ 𝑡 ∫ ∞∫ 1
𝑌𝑡 = 𝑥 + 2𝑐𝑊 (𝑡) − 𝑏𝑡 + 𝑧 𝑀˜ 0 (d𝑠, d𝑧, d𝑢),
0 0 0
where {𝑊 (𝑡)} is a standard Brownian motion and { 𝑀˜ 0 (d𝑠, d𝑧, d𝑢)} is a compensated
Poisson random measure on (0, ∞) 3 with intensity d𝑠𝑚(d𝑧)d𝑢. It follows that
√ ∫ 𝑡 ∫ ∞∫ 1
𝑋𝑡 = 𝑥 + 2𝑐𝑊 (𝜃 (𝑡)) − 𝑏𝜃 (𝑡) + 𝑧 𝑀˜ 0 (d𝜃 (𝑠), d𝑧, d𝑢). (10.20)
0 0 0
From (10.19) we have

∫ 𝑡 ∫ 𝑡
𝜃 (𝑡) = 𝑍 𝜃 (𝑠) d𝑠 = 𝑋𝑠 d𝑠.
0 0
Then the continuous martingale {𝑊 (𝜃 (𝑡))} has the representation

∫ 𝑡 √︁
𝑊 (𝜃 (𝑡)) = 𝑋𝑠 d𝐵(𝑠), 𝑡 ≥ 0,
0
where {𝐵(𝑡)} is another standard Brownian motion. Next we take an independent

Poisson random measure {𝑀1 (d𝑠, d𝑧, d𝑢)} on (0, ∞) 3 with intensity d𝑠𝑚(d𝑧)d𝑢 and
define the random measure
−1
𝑀 (d𝑠, d𝑧, d𝑢) = 1 {𝑢 ≤𝑋𝑠− } 𝑀0 (d𝜃 (𝑠), d𝑧, 𝑋𝑠− d𝑢)
+ 1 {𝑢>𝑋𝑠− } 𝑀1 (d𝑠, d𝑧, d𝑢).
10.3 Distributional Properties of Jumps 293
It is easy to see that {𝑀 (d𝑠, d𝑧, d𝑢)} has deterministic compensator d𝑠𝑚(d𝑧)d𝑢, so it
is a Poisson random measure. From (10.20) we see that {𝑋𝑡 } is a solution of (10.17).
The random time changes presented in the two theorems above are called Lamperti
transformations.
10.3 Distributional Properties of Jumps
In this section, we prove some distributional properties of jumps of the CBI-process.

Suppose that 𝜙 and 𝜓 are branching and immigration mechanisms given by (3.1)
and (3.26), respectively. Let {𝑦(𝑡) : 𝑡 ≥ 0} be the CBI-process defined by the
pathwise unique solution to (10.2) with deterministic initial value 𝑦(0) = 𝑥 ≥ 0.
Then {𝑦(𝑡) : 𝑡 ≥ 0} reduces to a CB-process when 𝜓 ≡ 0.
Suppose that 𝐴 ∈ ℬ(0, ∞) satisfies 𝑚( 𝐴) + 𝑛( 𝐴) < ∞. For 𝑡 ≥ 0 let 𝑦 𝐴 (𝑡) denote
the number of jumps of the process by time 𝑡 with jump sizes belonging to the set
𝐴. In view of (10.2), we have
∫ 𝑡 ∫ ∫ 𝑦 (𝑠−) ∫ 𝑡 ∫
𝑦 𝐴 (𝑡) = 𝑀 (d𝑠, d𝑧, d𝑢) + 𝑁 (d𝑠, d𝑧). (10.21)
0 𝐴 0 0 𝐴
For 𝜆1 , 𝜆2 ≥ 0, set
∫ ∞
Φ 𝐴 (𝜆1 , 𝜆2 ) = 𝑏𝜆 1 + 𝑐𝜆21 + e−𝑧 (𝜆1 +𝜆2 1 𝐴 (𝑧)) − 1 + 𝑧𝜆1 𝑚(d𝑧)

0
and
∫ ∞
1 − e−𝑧 (𝜆1 +𝜆2 1 𝐴 (𝑧)) 𝑛(d𝑧).

Ψ 𝐴 (𝜆1 , 𝜆2 ) = 𝛽𝜆1 +
0
We can define the transition semigroup (𝑄 𝑡𝐴)𝑡 ≥0 of a two-dimensional CBI-process

by
∫
e−𝜆1 𝑦1 −𝜆2 𝑦2 𝑄 𝑡𝐴 (𝑥1 , 𝑥2 , d𝑦 1 , d𝑦 2 )
R+2
∫ 𝑡
= exp − 𝑥1 𝑣 1 (𝑡) − 𝑥2 𝜆2 − Ψ 𝐴 (𝑣 1 (𝑠), 𝜆2 )d𝑠 , (10.22)
0
where 𝑡 ↦→ 𝑣 1 (𝑡) = 𝑣 1 (𝑡, 𝜆1 , 𝜆2 ) is the unique positive solution to
d
𝑣 1 (𝑡) = −Φ 𝐴 (𝑣 1 (𝑡), 𝜆2 ), 𝑣 1 (0) = 𝜆1 . (10.23)
d𝑡
This is clearly a very special case of the transition semigroup given by (9.18).
Theorem 10.11 The process {(𝑦(𝑡), 𝑦 𝐴 (𝑡)) : 𝑡 ≥ 0} defined by (10.2) and (10.21)
is a two-dimensional CBI-process relative to the filtration (𝒢𝑡 )𝑡 ≥0 with transition
semigroup (𝑄 𝑡𝐴)𝑡 ≥0 defined by (10.22) and (10.23).
Proof Following the proof of Theorem 10.1, one can show by Itô’s formula and
integration by parts that
∫ 𝑡
𝑟 ↦→ exp − 𝑦(𝑟)𝑣 1 (𝑡 − 𝑟 ∧ 𝑡) − 𝑦 𝐴 (𝑠)𝜆2 − Ψ 𝐴 (𝑣 1 (𝑡 − 𝑠), 𝜆2 )d𝑠
𝑟∧𝑡
is a bounded (𝒢𝑡 )-martingale, which implies the desired result. □

Corollary 10.12 For any 𝑡 ≥ 0 the joint distribution of (𝑦(𝑡), 𝑦 𝐴 (𝑡)) is determined
by
∫ 𝑡
−𝜆1 𝑦 (𝑡)−𝜆2 𝑦 𝐴 (𝑡)
Pe = exp − 𝑥𝑣 1 (𝑡) − Ψ 𝐴 (𝑣 1 (𝑠), 𝜆2 )d𝑠 , (10.24)
0
where 𝑡 ↦→ 𝑣 1 (𝑡) = 𝑣 1 (𝑡, 𝜆1 , 𝜆2 ) is the unique positive solution to (10.23).

For the set 𝐴 ∈ ℬ(0, ∞) with 𝑚( 𝐴) + 𝑛( 𝐴) < ∞ given as above, we can define
the branching mechanism 𝜙 𝐴 and the immigration mechanism 𝜓 𝐴 by
∫
𝜙 𝐴 (𝜆) = 𝜙(𝜆) + (1 − e−𝑧𝜆 )𝑚(d𝑧) (10.25)
𝐴
and
∫
𝜓 𝐴 (𝜆) = 𝜓(𝜆) − (1 − e−𝑧𝜆 )𝑛(d𝑧). (10.26)
𝐴

∫
𝜙 𝐴 (𝜆) = 𝑏 𝐴𝜆 + 𝑐𝜆2 + (e−𝑧𝜆 − 1 + 𝑧𝜆)𝑚(d𝑧), (10.27)
𝐴𝑐
where 𝐴𝑐 = (0, ∞) \ 𝐴 and

∫
𝑏𝐴 = 𝑏 + 𝑧𝑚(d𝑧).
𝐴
Theorem 10.13 Let 𝜏𝐴 = min{𝑠 > 0 : Δ𝑦(𝑠) = 𝑦(𝑠) − 𝑦(𝑠−) ∈ 𝐴}. Then for any
𝑡 ≥ 0 we have
∫ 𝑡
P{𝜏𝐴 > 𝑡} = exp − 𝑥𝑣 𝐴 (𝑡) − 𝑡𝑛( 𝐴) − 𝜓 𝐴 (𝑣 𝐴 (𝑠))d𝑠 , (10.28)
0
where 𝑡 ↦→ 𝑣 𝐴 (𝑡) is the unique positive solution of

d
𝑣 𝐴 (𝑡) = 𝑚( 𝐴) − 𝜙 𝐴 (𝑣 𝐴 (𝑡)), 𝑣 𝐴 (0) = 0. (10.29)
d𝑡
10.3 Distributional Properties of Jumps 295
Proof From (10.22) we see that 𝑣 1 (𝑡, 𝜆1 , 𝜆2 ) is increasing in both 𝜆1 ≥ 0 and 𝜆2 ≥ 0.

The differential equation (10.23) is equivalent to
∫ 𝑡
𝑣 1 (𝑡, 𝜆1 , 𝜆2 ) = 𝜆1 − Φ 𝐴 (𝑣 1 (𝑠, 𝜆1 , 𝜆2 ), 𝜆2 )d𝑠.
0
Observe also that
Φ 𝐴 (𝜆1 , ∞) = 𝜙 𝐴 (𝜆1 ) − 𝑚( 𝐴), Ψ 𝐴 (𝜆1 , ∞) = 𝜓 𝐴 (𝜆1 ) + 𝑛( 𝐴).
Then 𝑡 ↦→ 𝑣 𝐴 (𝑡) = 𝑣 1 (𝑡, 0, ∞) is the unique locally bounded positive solution to

∫ 𝑡
𝑣 𝐴 (𝑡) = 𝑚( 𝐴)𝑡 − 𝜙 𝐴 (𝑣 𝐴 (𝑠))d𝑠,
0
which is just the integral form of (10.29). By letting 𝜆1 → 0 and 𝜆2 → ∞ in (10.24)

we obtain (10.28). □
Corollary 10.14 (1) If 𝑚( 𝐴)+𝑛( 𝐴) = 0, then P{𝜏𝐴 = ∞} = 1. (2) If 𝑚( 𝐴)+𝑛( 𝐴) > 0
and 𝜓(𝜆) > 0 for all 𝜆 > 0, then P{𝜏𝐴 < ∞} = 1.
Proof (1) Since 𝑚( 𝐴) = 0, by (10.29) and Corollary 5.19 we have 𝑣 𝐴 (𝑡) = 0 for
all 𝑡 ≥ 0. By Theorem 10.13 it follows that P{𝜏𝐴 > 𝑡} = 1 for all 𝑡 ≥ 0. Then
P{𝜏𝐴 = ∞} = lim𝑡→∞ P{𝜏𝐴 > 𝑡} = 1.
(2) By choosing a smaller set if it is necessary, we may assume 0 < 𝑚( 𝐴) +𝑛( 𝐴) <
∞. In the case of 𝑛( 𝐴) > 0, we have 𝑡𝑛( 𝐴) → ∞ as 𝑡 → ∞. In the case of 𝑛( 𝐴) = 0,
we must have 𝑚( 𝐴) > 0. By (10.29) and Corollary 5.19 we see that 𝑠 ↦→ 𝑣 𝐴 (𝑠) is
increasing and 𝑣 𝐴 (𝑠) > 0 for 𝑠 > 0. Since 𝜓 𝐴 (𝜆) = 𝜓(𝜆) > 0 for all 𝜆 > 0, we have
∫ 𝑡
lim 𝜓 𝐴 (𝑣 𝐴 (𝑠))d𝑠 = ∞.
𝑡→∞ 0
In view of (10.28), we get P{𝜏𝐴 = ∞} = lim𝑡→∞ P{𝜏𝐴 > 𝑡} = 0 in both cases. □

Corollary 10.15 Suppose that 𝜓 ≡ 0 and 𝑚( 𝐴) < ∞. Then for any 𝑡 ≥ 0 we have
P{𝜏𝐴 > 𝑡} = exp{−𝑥𝑣 𝐴 (𝑡)},
where 𝑡 ↦→ 𝑣 𝐴 (𝑡) is the unique positive solution of (10.29).

Corollary 10.16 Suppose that 𝐴 ⊂ 𝐵 ∈ ℬ(0, ∞) and 𝑚(𝐵) < ∞. Then 𝑣 𝐴 (𝑡) ≤
𝑣 𝐵 (𝑡) for 𝑡 ≥ 0.
Proof Since 𝜏𝐴 ≥ 𝜏𝐵 , we have exp{−𝑥𝑣 𝐴 (𝑡)} ≥ exp{−𝑥𝑣 𝐵 (𝑡)} by Corollary 10.15,
and so 𝑣 𝐴 (𝑡) ≤ 𝑣 𝐵 (𝑡) for 𝑡 ≥ 0. □
Corollary 10.17 Suppose that 𝜓 ≡ 0 and 0 < 𝑚( 𝐴) < ∞. Then we have
P{𝜏𝐴 = ∞} = exp{−𝑥𝜙−1
𝐴 (𝑚( 𝐴))}
with 0 · ∞ = 0 by convention.
Proof Since 0 < 𝑚( 𝐴) < ∞, we can apply Theorem 10.13 to see that
P{𝜏𝐴 = ∞} = lim P{𝜏𝐴 > 𝑡} = lim exp{−𝑥𝑣 𝐴 (𝑡)}.

𝑡→∞ 𝑡→∞
Then the result follows by Proposition 5.20 or Corollary 5.21. □
10.4 Local and Global Maximal Jumps
Suppose that 𝜙 and 𝜓 are branching and immigration mechanisms given by (3.1) and
(3.26), respectively. Let {𝑦(𝑡) : 𝑡 ≥ 0} be the CBI-process defined by the pathwise
unique solution to (10.2) with deterministic initial value 𝑦(0) = 𝑥 ≥ 0. We are
interested in the distributional properties of the local and global maximal jumps of
the process. For any measure 𝜇 on (0, ∞) let
sup(𝜇) = sup{𝑥 > 0 : 𝜇(𝑥, ∞) > 0}.
Theorem 10.18 Suppose that 𝑟 ≥ 0 satisfies 𝑚(𝑟, ∞)+𝑛(𝑟, ∞) < ∞. Let 𝜙𝑟 = 𝜙 (𝑟 ,∞)
and 𝜓𝑟 = 𝜓 (𝑟 ,∞) be given by (10.25) and (10.26), respectively, with 𝐴 = (𝑟, ∞). Then,
for any 𝑡 ≥ 0,
n o ∫ 𝑡
P max Δ𝑦(𝑡) ≤ 𝑟 = exp − 𝑥𝑣 𝑟 (𝑡) − 𝑡𝑛(𝑟, ∞) − 𝜓𝑟 (𝑣 𝑟 (𝑠))d𝑠 ,
𝑠 ∈ (0,𝑡 ] 0
where 𝑡 ↦→ 𝑣 𝑟 (𝑡) is the unique positive solution of

d
𝑣 𝑟 (𝑡) = 𝑚(𝑟, ∞) − 𝜙𝑟 (𝑣 𝑟 (𝑡)), 𝑣 𝑟 (0) = 0. (10.30)
d𝑡
Proof Since P{max𝑠 ∈ (0,𝑡 ] Δ𝑦(𝑡) ≤ 𝑟 } = P{𝜏(𝑟 ,∞) > 𝑡}, the result follows by Theo-
rem 10.13. □
Corollary 10.19 Suppose that 𝜓(𝜆) > 0 for all 𝜆 > 0. Then we have
n o
P sup Δ𝑦(𝑠) = sup(𝑚 + 𝑛) = 1.
𝑠>0
Proof Since 𝑚(sup(𝑚 + 𝑛), ∞) = 𝑛(sup(𝑚 + 𝑛), ∞) = 0, by Theorem 10.18 for any
𝑡 > 0 we have
n o
P sup Δ𝑦(𝑠) ≤ sup(𝑚 + 𝑛) = 1,
𝑠 ∈ (0,𝑡 ]
and hence
n o
P sup Δ𝑦(𝑠) ≤ sup(𝑚 + 𝑛) = 1.
𝑠>0
10.4 Local and Global Maximal Jumps 297
On the other hand, for any 𝑟 < sup(𝑚 + 𝑛) we have (𝑚 + 𝑛) (𝑟, sup(𝑚 + 𝑛)] > 0. By
Corollary 10.14 (2),
n o
P sup Δ𝑦(𝑠) ∈ (𝑟, sup(𝑚 + 𝑛)] = P 𝜏(𝑟 ,sup(𝑚+𝑛) ] < ∞ = 1,
𝑠>0
which implies the desired result. □
Corollary 10.20 Suppose that 𝜓 ≡ 0 and 𝑟 ≥ 0 satisfies 0 < 𝑚(𝑟, ∞) < ∞. Then
n o
P sup Δ𝑦(𝑠) ≤ 𝑟 = exp − 𝑥𝜙𝑟−1 (𝑚(𝑟, ∞)) .

𝑠>0
Corollary 10.21 Suppose that 𝜓 ≡ 0 and 𝑚(0, ∞) > 0. Then

n o
P sup Δ𝑦(𝑠) = sup(𝑚) = 1 − exp − 𝑥𝜙−1

{sup(𝑚) } (𝑚({sup(𝑚)}))
𝑠>0
with 𝜙 {∞} = 𝜙 and 𝑚({∞}) = 0 by convention.
Proof Since 𝑚(sup(𝑚), ∞) = 𝑛(sup(𝑚), ∞) = 0, as in the proof of Corollary 10.19

one can see that P{sup𝑠>0 Δ𝑦(𝑠) ≤ sup(𝑚)} = 1. For 0 < 𝑟 < sup(𝑚) we have
𝑚(𝑟, sup(𝑚)] > 0. From Corollary 10.20 it follows that
n o n o
P sup Δ𝑦(𝑠) ∈ (𝑟, sup(𝑚)] = P sup Δ𝑦(𝑠) > 𝑟
𝑠>0 𝑠>0
= 1 − exp − 𝑥𝜙𝑟−1 (𝑚(𝑟, ∞))

= 1 − exp − 𝑥𝜙−1

(𝑟 ,sup(𝑚) ] (𝑚(𝑟, sup(𝑚)]) .
Then we get the desired result by letting 𝑟 → sup(𝑚). □
Corollary 10.22 Suppose that 𝜓 ≡ 0, 𝑏 > 0 and sup(𝑚) = ∞. If 𝑦(0) = 𝑥 > 0, then
as 𝑟 → ∞ we have
n o 𝑥
P sup Δ𝑦(𝑠) > 𝑟 = 1 − exp{−𝑥𝜙𝑟−1 (𝑚(𝑟, ∞))} ∼ 𝑚(𝑟, ∞).
𝑠>0 𝑏
Proof By (10.27) we see by dominated convergence that (𝜕/𝜕𝑧)𝜙𝑟 (0) = 𝑏 (𝑟 ,∞) . It

follows that (𝜕/𝜕𝑧)𝜙𝑟−1 (0) = 1/𝑏 (𝑟 ,∞) . Then, as 𝑟 → ∞,
𝜙𝑟−1 (𝑚(𝑟, ∞)) ∼ 𝑚(𝑟, ∞)/𝑏 (𝑟 ,∞) ∼ 𝑚(𝑟, ∞)/𝑏,
and the desired result follows from Corollary 10.20. □
The next theorem establishes the equivalence of the distribution of the local
maximal jump of the CBI-process and the total Lévy measure 𝑚 + 𝑛. In view of
Theorem 10.18, it may be true that P{max𝑠 ∈ (0,𝑡 ] Δ𝑦(𝑠) = 0} > 0, so we only discuss
the absolute continuity on the set (0, ∞).
Theorem 10.23 Suppose that 𝛽 > 0 or 𝑦(0) = 𝑥 > 0. Then for any 𝑡 > 0 the
restriction of the distribution P{max𝑠 ∈ (0,𝑡 ] Δ𝑦(𝑠) ∈ ·} to (0, ∞) is equivalent to
𝑚 + 𝑛.
Proof We first take a set 𝐴 ∈ ℬ(0, ∞) satisfying 𝑚( 𝐴) + 𝑛( 𝐴) = 0. By Corol-

lary 10.14 (1) we have
n o
P max Δ𝑦(𝑠) ∈ 𝐴 ≤ P{𝜏𝐴 ≤ 𝑡} = 0.
𝑠 ∈ (0,𝑡 ]
Then P{max𝑠 ∈ (0,𝑡 ] Δ𝑦(𝑠) ∈ ·}| (0,∞) is absolutely continuous with respect to 𝑚+𝑛. To
prove the absolute continuity of 𝑚 + 𝑛 with respect to P{max𝑠 ∈ (0,𝑡 ] Δ𝑦(𝑠) ∈ ·}| (0,∞) ,
consider a set 𝐴 ∈ ℬ(0, ∞) such that 𝑚( 𝐴) + 𝑛( 𝐴) > 0. Take a sufficiently small
𝑟 > 0 such that 0 < 𝑚( 𝐴𝑟 )+𝑛( 𝐴𝑟 ) < ∞, where 𝐴𝑟 = 𝐴∩(𝑟, ∞). Let 𝐵𝑟 = (𝑟, ∞)\𝐴𝑟 .
Then 𝑣 𝑟 (𝑠) ≥ 𝑣 𝐵𝑟 (𝑠) for 𝑠 ≥ 0 by Corollary 10.16. By (10.28) we have
∫ 𝑡
P{𝜏(𝑟 ,∞) > 𝑡} = exp − 𝑥𝑣 𝑟 (𝑡) − 𝑡𝑛(𝑟, ∞) − 𝜓𝑟 (𝑣 𝑟 (𝑠))s.
∫ 𝑡0
𝑟
= exp − 𝑥𝑣 𝑟 (𝑡) − 𝑡𝑛(𝐵 ) − 𝜓 𝐵𝑟 (𝑣 𝑟 (𝑠))d𝑠
∫ 𝑡 ∫ 0
−𝑧𝑣𝑟 (𝑠)
− d𝑠 e 𝑛(d𝑧) . (10.31)
0 𝐴𝑟
In the case of 𝑛( 𝐴𝑟 ) > 0, it follows that

∫ 𝑡
P{𝜏(𝑟 ,∞) > 𝑡} < exp − 𝑥𝑣 𝑟 (𝑡) − 𝑡𝑛(𝐵𝑟 ) − 𝜓 𝐵𝑟 (𝑣 𝑟 (𝑠))d𝑠
0
∫
𝑡
𝑟
≤ exp − 𝑥𝑣 𝐵𝑟 (𝑡) − 𝑡𝑛(𝐵 ) − 𝜓 𝐵𝑟 (𝑣 𝐵𝑟 (𝑠))d𝑠 .
0
Using (10.28) again we see that
P{𝜏(𝑟 ,∞) > 𝑡} < P{𝜏𝐵𝑟 > 𝑡}. (10.32)
In the case of 𝑛( 𝐴𝑟 ) = 0, we must have 𝑚( 𝐴𝑟 ) > 0 and so 𝑚(𝐵𝑟 ) < 𝑚(𝑟, ∞). By
Corollary 5.19 and the right continuity the CB-process, we see that, for all 𝑠 > 0,
𝑣 𝑟 (𝑠) = 𝑣(𝑠, 𝑚(𝑟, ∞)) > 𝑣(𝑠, 𝑚(𝐵𝑟 )) = 𝑣 𝐵𝑟 (𝑠).
Since 𝛽 > 0 or 𝑥 > 0, from (10.31) we get

∫ 𝑡
P{𝜏(𝑟 ,∞) > 𝑡} = exp − 𝑥𝑣 𝑟 (𝑡) − 𝑡𝑛(𝐵𝑟 ) − 𝜓 𝐵𝑟 (𝑣 𝑟 (𝑠))d𝑠
0
∫
𝑡
𝑟
< exp − 𝑥𝑣 𝐵𝑟 (𝑡) − 𝑡𝑛(𝐵 ) − 𝜓 𝐵𝑟 (𝑣 𝐵𝑟 (𝑠))d𝑠 ,
0
10.4 Local and Global Maximal Jumps 299
which also gives (10.32). Then P{𝜏(𝑟 ,∞) ≤ 𝑡} > P{𝜏𝐵𝑟 ≤ 𝑡} in both cases. By
Theorem 10.11 we have P{𝑦 𝐴𝑟 (𝑡) < ∞} = 1. It follows that
n o n o
P max Δ𝑦(𝑠) ∈ 𝐴 ≥ P max Δ𝑦(𝑠) ∈ 𝐴𝑟
𝑠 ∈ (0,𝑡 ]
𝑠 ∈ (0,𝑡 ]
≥ P 𝜏𝐴𝑟 ≤ 𝑡, 𝑦 𝐴𝑟 (𝑡) < ∞, 𝜏𝐵𝑟 > 𝑡

= P 𝜏𝐴𝑟 ≤ 𝑡, 𝜏𝐵𝑟 > 𝑡

= P 𝜏(𝑟 ,∞) ≤ 𝑡, 𝜏𝐵𝑟 > 𝑡

= P 𝜏(𝑟 ,∞) ≤ 𝑡 − P 𝜏𝐵𝑟 ≤ 𝑡 > 0.
This shows the absolute continuity of the total Lévy measure 𝑚 + 𝑛 with respect to
P{max𝑠 ∈ (0,𝑡 ] Δ𝑦(𝑠) ∈ ·}| (0,∞) . □
For critical and subcritical branching CB-processes without immigration, we may

also discuss the absolute continuity of the distribution of its global maximal jump.
Such a result is presented in the following:
Theorem 10.24 Suppose that 𝜓 ≡ 0 and 𝑏 ≥ 0. If 𝑦(0) = 𝑥 > 0, then the restriction
of P{sup𝑠>0 Δ𝑦(𝑠) ∈ ·} to (0, ∞) is equivalent to 𝑚.
Proof Since 𝜓 ≡ 0, the process {𝑦(𝑡) : 𝑡 ≥ 0} is actually a CB-process. The

result is trivially true if 𝜙 ≡ 0. Then we may assume 𝜙(𝑧0 ) ≠ 0 for some 𝑧0 >
0 in the proof. By Corollary 5.24 we have P{lim𝑡→∞ 𝑦(𝑡) = 0} = 1 and hence
P{sup𝑠>0 Δ𝑦(𝑠) = max𝑠>0 Δ𝑦(𝑠)} = 1. For 𝐴 ∈ ℬ(0, ∞) with 𝑚( 𝐴) = 0, we can
use Corollary 10.14 (1) to see
n o
P max Δ𝑦(𝑠) ∈ 𝐴 ≤ P{𝜏𝐴 < ∞} = 0.
𝑠>0
Then the restriction of P{sup𝑠>0 Δ𝑦(𝑠) ∈ ·} = P{max𝑠>0 Δ𝑦(𝑠) ∈ ·} to (0, ∞) is

absolutely continuous with respect to 𝑚. Now suppose that 𝐴 ∈ ℬ(0, ∞) satisfies
𝑚( 𝐴) > 0. For any 𝑟 > 0, one can see as in the proof of Theorem 10.23 that
n o
P max Δ𝑦(𝑠) ∈ 𝐴 ≥ P{𝜏(𝑟 ,∞) < ∞} − P{𝜏(𝑟 ,∞)\𝐴 < ∞}.
𝑠>0
If P(max𝑠>0 Δ𝑦(𝑠) ∈ 𝐴) = 0, we have
P{𝜏(𝑟 ,∞) < ∞} = P{𝜏(𝑟 ,∞)\𝐴 < ∞},
and so Corollary 10.17 implies
𝜙𝑟−1 (𝑚(𝑟, ∞)) = 𝜙−1

(𝑟 ,∞)\𝐴 (𝑚((𝑟, ∞) \ 𝐴)) =: 𝑎(𝑟).
It follows that
𝜙𝑟 (𝑎(𝑟)) = 𝑚(𝑟, ∞) = 𝑚((𝑟, ∞) \ 𝐴) + 𝑚( 𝐴 ∩ (𝑟, ∞))

= 𝜙 (𝑟 ,∞)\𝐴 ◦ 𝜙−1
(𝑟 ,∞)\𝐴 (𝑚((𝑟, ∞) \ 𝐴)) + 𝑚( 𝐴 ∩ (𝑟, ∞))
= 𝜙 (𝑟 ,∞)\𝐴 (𝑎(𝑟)) + 𝑚( 𝐴 ∩ (𝑟, ∞)).
Then, as in the proof of Theorem 10.23, we must have 𝑚( 𝐴 ∩ (𝑟, ∞)) = 0. Since
𝑟 > 0 was arbitrary, this contradicts 𝑚( 𝐴) > 0. It then follows that P{sup𝑠>0 Δ𝑦(𝑠) ∈
𝐴} > 0. □
10.5 A Generalized CBI-process
Suppose that (Ω, 𝒢, 𝒢𝑡 , P) is a filtered probability space satisfying the usual hy-
potheses. Let ℒ 1 denote the set of (𝒢𝑡 )-progressive processes 𝜌 = {𝜌(𝑡) : 𝑡 ≥ 0}
that are locally integrable in the sense that
∫ 𝑡
P[|𝜌(𝑠)|]d𝑠 < ∞, 𝑡 ≥ 0.
0
Let 𝒫 = 𝒫(𝒢𝑡 ) denote the 𝜎-algebra on Ω × [0, ∞) generated by all real-valued

left continuous processes adapted to (𝒢𝑡 ). A process {𝜌(𝑡) : 𝑡 ≥ 0} is predictable
if the mapping (𝜔, 𝑡) ↦→ 𝜌(𝜔, 𝑡) is 𝒫-measurable. For each 𝜌 ∈ ℒ 1 there is an
(𝒢𝑡 )-predictable process 𝜌0 ∈ ℒ 1 such that
∫ 𝑡
P[|𝜌(𝑠) − 𝜌0 (𝑠)|]d𝑠 = 0, 𝑡 ≥ 0. (10.33)
0
For instance, we can let 𝜌0 (𝑡) = 1 { | 𝜌(𝑡) ˆ

ˆ |<∞} 𝜌(𝑡), where
∫ 𝑡
1
ˆ = lim inf
𝜌(𝑡) 𝜌(0 ∨ 𝑠)d𝑠.
𝑘→∞ 𝑘 𝑡−1/𝑘
We call 𝜌0 a predictable version of 𝜌. The relation (10.33) holds since 𝜌0 (𝑡) = 𝜌(𝑡)
for a.e. 𝑡 ≥ 0 by Lebesgue’s theorem; see e.g. Hewitt and Stromberg (1965, p. 275). In
the sequel, we shall simply write 𝜌 to mean a predictable version of the process. We
call 𝑞 ∈ ℒ 1 a step process if there is an increasing sequence 0 = 𝑟 0 < 𝑟 1 < 𝑟 2 < · · ·
such that
∞
∑︁
𝑞(𝑡) = 𝑔0 1 {0} (𝑡) + 𝑔𝑖 1 (𝑟𝑖 ,𝑟𝑖+1 ] (𝑡), 𝑡 ≥ 0, (10.34)
𝑖=0
where 𝑔𝑖 is an integrable random variable measurable with respect to 𝒢𝑟𝑖 . Let ℒ 0

be the set of locally integrable step processes of the form (10.34). Clearly, we have
𝒫 = 𝜎(ℒ 0 ).
10.5 A Generalized CBI-process 301
Lemma 10.25 For every 𝜌 ∈ ℒ 1 there is a sequence of step processes {𝑞 𝑘 } ⊂ ℒ 0

such that
∫ 𝑡
lim P[|𝑞 𝑘 (𝑠) − 𝜌(𝑠)|]d𝑠 → 0, 𝑡 ≥ 0. (10.35)
𝑘→∞ 0
Proof This is a simplification of the second half of the proof of Proposition 7.26.
Let ℒ = {𝜌 ∈ ℒ 1 : there exists {𝑞 𝑘 } ⊂ ℒ 0 such that (10.35) holds}. It is easy to see
that ℒ is a vector space. Suppose that {𝜌 𝑘 } is a bounded and increasing sequence of
positive elements of ℒ such that 𝜌 𝑘 → 𝜌 pointwise as 𝑘 → ∞. Then 𝜌 is a bounded
predictable process. By the dominated convergence theorem, we have
∫ 𝑡
lim P[|𝜌(𝑠) − 𝜌 𝑘 (𝑠)|]d𝑠 → 0, 𝑡 ≥ 0.
𝑘→∞ 0
For each 𝑘 ≥ 1 we choose 𝑞 𝑘 ∈ bℒ 0 such that

∫ 𝑘
P[|𝜌 𝑘 (𝑠) − 𝑞 𝑘 (𝑠)|]d𝑠 ≤ 1/𝑘, 𝑘 ≥ 1.
0
Then (10.35) holds and so 𝜌 ∈ ℒ. This shows ℒ is a monotone vector space. Since
ℒ ⊃ ℒ 0 and 𝒫 = 𝜎(ℒ 0 ), by Proposition A.1 we conclude that ℒ ⊃ b𝒫. Thus the
result holds for 𝜌 ∈ b𝒫. Finally, we get the desired result by an approximation of
𝜌 ∈ ℒ 1 by the sequence {𝜌1 { |𝜌 | ≤𝑘 } } ⊂ b𝒫. □
Suppose that 𝜙 is a branching mechanism given by (3.1) and 𝑧𝑛(d𝑧) is a finite

measure on (0, ∞). Let {𝑊 (d𝑠, d𝑢)} be a time–space (𝒢𝑡 )-Gaussian white noise
on (0, ∞) 2 with intensity 2𝑐d𝑠d𝑢. Let { 𝑀˜ (d𝑠, d𝑧, d𝑢)} be a compensated time–
space (𝒢𝑡 )-Poisson random measure on (0, ∞) 3 with intensity d𝑠𝑚(d𝑧)d𝑢 and let
{𝑁 (d𝑠, d𝑧, d𝑢)} be a time–space (𝒢𝑡 )-Poisson random measure on (0, ∞) 3 with
intensity d𝑠𝑛(d𝑧)d𝑢. Suppose that those noises are independent of each other. For
positive processes 𝑞, 𝜌 ∈ ℒ 1 , we are interested in positive solutions of the stochastic
equation
∫ 𝑡 ∫ 𝑦 (𝑠−) ∫ 𝑡
𝑦(𝑡) = 𝑦(0) + 𝑊 (d𝑠, d𝑢) − 𝑏 𝑦(𝑠−)d𝑠
∫ 𝑡 ∫ 0∞ ∫ 0 𝑦 (𝑠−) 0∫
𝑡
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢) + 𝑞(𝑠)d𝑠
∫0 𝑡 ∫0 ∞ ∫0 𝜌(𝑠) 0
+ 𝑧𝑁 (d𝑠, d𝑧, d𝑢). (10.36)

0 0 0
Proposition 10.26 If {𝑦(𝑡) : 𝑡 ≥ 0} is a positive solution of (10.36) with P[𝑦(0)] <

∞, then we have
∫ 𝑡

e𝑏𝑡 P[𝑦(𝑡)] = P[𝑦(0)] + P e𝑏𝑠 𝑞(𝑠) + |𝑛| 1 𝜌(𝑠) d𝑠 (10.37)
0
and
21
√
h i ∫ 𝑡
𝑏𝑠 2𝑏𝑠
P sup e 𝑦(𝑠) ≤ P[𝑦(0)] + 2 2𝑐 P e 𝑦(𝑠)d𝑠 (10.38)
0≤𝑠 ≤𝑡 0
∫ 𝑡 ∫ 1 21
2𝑏𝑠 2
+2 P e 𝑦(𝑠)d𝑠 𝑧 𝑚(d𝑧) (10.39)
0 0
∫ 𝑡 ∫ ∞
+ 2P e𝑏𝑠 𝑦(𝑠)d𝑠 𝑧𝑚(d𝑧) (10.40)
0 1
∫ 𝑡
𝑏𝑠

+P e 𝑞(𝑠) + |𝑛| 1 𝜌(𝑠) d𝑠 , (10.41)
0
∫∞
where |𝑛| 1 = 0
𝑧𝑛(d𝑧).
Proof Let 𝜏𝑘 = inf{𝑡 ≥ 0 : 𝑦(𝑡) ≥ 𝑘 } for 𝑘 ≥ 1. By (10.36) and integration by parts,
we have
∫ 𝑡 ∫ 𝑦 (𝑠−) ∫ 𝑡
𝑏𝑡 𝑏𝑠
e 𝑦(𝑡) = 𝑦(0) + e 𝑊 (d𝑠, d𝑢) + e𝑏𝑠 𝑞(𝑠)d𝑠
0 0
∫ 𝑡 ∫ ∞ ∫ 𝑦 (𝑠−) 0
+ e𝑏𝑠 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢)

0 0 0
∫ 𝑡 ∫ ∞ ∫ 𝜌(𝑠)
+ e𝑏𝑠 𝑧𝑁 (d𝑠, d𝑧, d𝑢). (10.42)
0 0 0
Clearly, the terms involving stochastic integrals with respect to the Gaussian and
compensated Poissonian noises in (10.42) are local martingales with localization
sequence {𝜏𝑘 }. Taking the expectations in both sides of (10.42) at time 𝑡 ∧ 𝜏𝑘 we get
∫ 𝑡∧𝜏𝑘
P[e𝑏 (𝑡∧𝜏𝑘 ) 𝑦(𝑡 ∧ 𝜏𝑘 )] = P[𝑦(0)] + P

e𝑏𝑠 𝑞(𝑠) + |𝑛| 1 𝜌(𝑠) d𝑠 . (10.43)
0
Since 𝜏𝑘 ≤ 𝑡 implies 𝑦(𝑡 ∧ 𝜏𝑘 ) = 𝑦(𝜏𝑘 ) ≥ 𝑘, it follows that

∫ 𝑡
− |𝑏 |𝑡

𝑘e P(𝜏𝑘 ≤ 𝑡) ≤ P[𝑦(0)] + e𝑏𝑠 P 𝑞(𝑠) + |𝑛| 1 𝜌(𝑠) d𝑠.
0
Then we have 𝜏𝑘 → ∞ as 𝑘 → ∞. By applying Fatou’s lemma to (10.43) we

see e𝑏𝑡 P[𝑦(𝑡)] is bounded above by the right-hand side of (10.37), so the local
martingales in (10.42) are actually martingales. Now we get the equality (10.37) by
taking the expectations in both sides of (10.42). By using Doob’s inequality for the
martingales we obtain (10.38). □
10.5 A Generalized CBI-process 303
Theorem 10.27 For any 𝒢0 -measurable random variable 𝑦(0) ≥ 0, there is a path-
wise unique positive solution {𝑦(𝑡) : 𝑡 ≥ 0} to (10.36).
Proof Step 1. Suppose that {𝑦 1 (𝑡) : 𝑡 ≥ 0} and {𝑦 2 (𝑡) : 𝑡 ≥ 0} are positive solutions
to (10.36) with (𝑞, 𝜌) replaced by (𝑞 1 , 𝜌1 ) and (𝑞 2 , 𝜌2 ), respectively. Then they
are also positive solutions to (10.42) with (𝑞, 𝜌) replaced by (𝑞 1 , 𝜌1 ) and (𝑞 2 , 𝜌2 ),
respectively. Let 𝜁 (𝑡) = 𝑦 1 (𝑡) − 𝑦 2 (𝑡). It is easy to see that
∫ 𝑡 ∫ 𝑦1 (𝑠) ∫ 𝑡
e𝑏𝑡 𝜁 (𝑡) = 𝜁 (0) + e𝑏𝑠 𝑊 (d𝑠, d𝑢) + e𝑏𝑠 (𝑞 1 − 𝑞 2 ) (𝑠)d𝑠
∫ 0 𝑡 ∫ 𝑦2∞(𝑠)∫ 𝑦1 (𝑠−)
0
+ e 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢)

𝑏𝑠
0 0 𝑦2 (𝑠−)
∫ 𝑡 ∫ ∞ ∫ 𝜌1 (𝑠)
+ e𝑏𝑠 𝑧𝑁 (d𝑠, d𝑧, d𝑢).
0 0 𝜌2 (𝑠)
By calculations similar to those in the proof of Proposition 10.26, we have

∫ 𝑡

e𝑏𝑡 P[|𝜁 (𝑡)|] ≤ P[|𝜁 (0)|] + e𝑏𝑠 P |𝑞 1 (𝑠) − 𝑞 2 (𝑠)| d𝑠
∫ 𝑡 0
𝑏𝑠

+ |𝑛| 1 e P |𝜌1 (𝑠) − 𝜌2 (𝑠)| d𝑠 (10.44)
0
and
21
√
h i ∫ 𝑡
2𝑏𝑠
𝑏𝑠

P sup e |𝜁 (𝑠)| ≤ P[|𝜁 (0)|] + 2 2𝑐 e P |𝜁 (𝑠)| d𝑠
0≤𝑠 ≤𝑡 0
∫ 𝑡 ∫ 1 21
e2𝑏𝑠 P |𝜁 (𝑠)| d𝑠 𝑧2 𝑚(d𝑧)

+2
∫ 0𝑡 ∫ ∞0
𝑏𝑠

+2 e P |𝜁 (𝑠)| d𝑠 𝑧𝑚(d𝑧)
∫ 𝑡0 1

+ e𝑏𝑠 P |𝑞 1 (𝑠) − 𝑞 2 (𝑠)| d𝑠
0 ∫
𝑡
+ |𝑛| 1 e𝑏𝑠 P |𝜌1 (𝑠) − 𝜌2 (𝑠)| d𝑠. (10.45)
0
Clearly, the pathwise uniqueness of the solution to (10.36) follows from (10.44).
Step 2. By passing to a conditional law if it is necessary, we only need to consider
a deterministic initial state 𝑦(0) = 𝑥 ≥ 0 in proving the existence of the solution.
For positive processes 𝑞, 𝜌 ∈ ℒ 0 of the form (10.34), we can apply Corollary 10.6
successively on the intervals (𝑟 𝑖 , 𝑟 𝑖+1 ], 𝑖 = 0, 1, 2, . . ., to see there is a pathwise
unique positive solution to (10.36). We next consider general positive processes
𝑞, 𝜌 ∈ ℒ 1 . By Lemma 10.25, we can find sequences {𝑞 𝑘 } ⊂ ℒ 0 and {𝜌 𝑘 } ⊂ ℒ 0
such that, for any 𝑡 ≥ 0,
∫ 𝑡
lim P[|𝑞 𝑘 (𝑠) − 𝑞(𝑠)| + |𝜌 𝑘 (𝑠) − 𝜌(𝑠)|]d𝑠 = 0. (10.46)
𝑘→∞ 0
Then for each 𝑘 ≥ 1 there is a pathwise unique positive solution {𝑦 𝑘 (𝑡) : 𝑡 ≥ 0} to

the stochastic equation
∫ 𝑡 ∫ 𝑦𝑘 (𝑠) ∫ 𝑡
𝑦 𝑘 (𝑡) = 𝑥 + 𝑊 (d𝑠, d𝑢) − 𝑏 𝑦 𝑘 (𝑠)d𝑠 (10.47)
0 0 0
∫ 𝑡 ∫ ∞ ∫ 𝑦𝑘 (𝑠−) ∫ 𝑡
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢) + 𝑞 𝑘 (𝑠)d𝑠 (10.48)
0 0 0 0
∫ 𝑡 ∫ ∞ ∫ 𝜌𝑘 (𝑠)
+ 𝑧𝑁 (d𝑠, d𝑧, d𝑢). (10.49)
0 0 0
From (10.46) it follows that

∫ 𝑡
lim P[|𝑞 𝑘 (𝑠) − 𝑞 𝑖 (𝑠)| + |𝜌 𝑘 (𝑠) − 𝜌𝑖 (𝑠)|]d𝑠 = 0.
𝑘,𝑖→∞ 0
Then one can see by (10.44) that
lim sup P[|𝑦 𝑘 (𝑠) − 𝑦 𝑖 (𝑠)|] = 0.

𝑘,𝑖→∞ 0≤𝑠 ≤𝑡
By (10.45) we have
h i
lim P sup |𝑦 𝑘 (𝑠) − 𝑦 𝑖 (𝑠)| = 0.
𝑘,𝑖→∞ 0≤𝑠 ≤𝑡
Consequently, one can find an increasing subsequence {𝑘 𝑖 } ⊂ {𝑘 } such that

h i
P sup |𝑦 𝑘 (𝑠) − 𝑦 𝑘𝑖 (𝑠)| ≤ 1/22𝑖 , 𝑘 ≥ 𝑘 𝑖 , 𝑖 ≥ 1. (10.50)
0≤𝑠 ≤𝑖
Then Chebyshev’s inequality implies

h i
P sup |𝑦 𝑘𝑖+1 (𝑠) − 𝑦 𝑘𝑖 (𝑠)| ≥ 1/2𝑖 ≤ 1/2𝑖 , 𝑖 ≥ 1.
0≤𝑠 ≤𝑖
By the Borel–Cantelli lemma, there is a positive càdlàg process {𝑦(𝑡) : 𝑡 ≥ 0} such

that, almost surely,
lim sup |𝑦(𝑠) − 𝑦 𝑘𝑖 (𝑠)| → 0, 𝑡 ≥ 0.

𝑖→∞ 0≤𝑠 ≤𝑡
Now letting 𝑘 → ∞ in (10.50) along {𝑘 𝑖 } and using Fatou’s lemma we obtain

h i
P sup |𝑦(𝑠) − 𝑦 𝑘𝑖 (𝑠)| ≤ 1/22𝑖 , 𝑖 ≥ 1.
0≤𝑠 ≤𝑖
It is routine to show that as 𝑘 → ∞ along {𝑘 𝑖 } each term in (10.47) converges to the

corresponding term in (10.36). Then {𝑦(𝑡) : 𝑡 ≥ 0} is a positive solution to (10.36).□
We call the solution {𝑦(𝑡) : 𝑡 ≥ 0} to (10.36) a generalized CBI-process with

stochastic immigration rates 𝑞 = {𝑞(𝑡) : 𝑡 ≥ 0} and 𝜌 = {𝜌(𝑡) : 𝑡 ≥ 0}. By a slight
modification of the proof of Theorem 10.1, we have the following:
Theorem 10.28 If 𝑞 and 𝜌 are deterministic, positive and locally bounded Borel
functions on [0, ∞), then the pathwise unique positive solution {𝑦(𝑡) : 𝑡 ≥ 0}
to (10.36) is an inhomogeneous CBI-process with transition semigroup
𝑞,𝜌
(𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) defined by, for 𝜆 ≥ 0,
∫ ∫ 𝑡
e−𝜆𝑦 𝑄 𝑟 ,𝑡 (𝑥, d𝑦) = exp − 𝑥𝑣 𝑡−𝑟 (𝜆) −
𝑞,𝜌
𝑞(𝑠)𝑣 𝑡−𝑠 (𝜆)d𝑠
[0,∞) ∫ 𝑡 ∫ ∞ 𝑟
−𝑧𝑣𝑡−𝑠 (𝜆)
− 𝜌(𝑠)d𝑠 (1 − e )𝑛(d𝑧) , (10.51)
𝑟 0
where 𝑡 ↦→ 𝑣 𝑡 (𝜆) is the unique positive solution of (3.3).
By applying Theorem 9.27 to the bounded time intervals [0, 𝑘) for 𝑘 ≥ 1, it is

𝑞,𝜌
not hard to see that (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) is an inhomogeneous Borel right semigroup.
Stochastic equations provide powerful tools in the study of structural properties of

the CB- and CBI-processes. They have led to interesting developments of the theory
in the past decade. The existence and pathwise uniqueness of the solution to (10.2)
were first obtained by Dawson and Li (2006), who actually studied more general
equations giving CBI-processes with stochastic branching rates. A result on the weak
solution flow to a special case of the equation was given by Bertoin and Le Gall
(2006). The equivalent form (10.9) with time–space Gaussian and Poissonian white
noises was introduced in Dawson and Li (2012) and Li and Ma (2008) to capture
the additivity of the processes. The existence and pathwise uniqueness for (10.10)
were first proved in Fu and Li (2010). In fact, motivated by applications to CBI-
processes and other similar models, general stochastic equations with non-Lipschitz
coefficients were investigated in Dawson and Li (2012) and Fu and Li (2010). The
method was developed further by Döring and Barczy (2012) to handle a class of
positive self-similar Markov processes; see also Berestycki et al. (2015), Li and
Mytnik (2011) and Li and Pu (2012).
The solution of (10.10) is called an 𝛼-stable CIR-model, which naturally general-
izes the classical CIR-model; see, e.g., Jiao et al. (2017) and Li and Ma (2015). For
more applications of stochastic equations to financial models, see, e.g., Bernis et al.
(2021), Callegaro et al. (2022) and the references therein.
A compact treatment of stochastic equations for CB- and CBI-processes was given
in Li (2020). By increasing limits, one can extend the stochastic equations to general
branching mechanisms without moment restrictions; see, e.g., Caballero et al. (2009)
and Fittipaldi and Fontbona (2012). Stochastic equations of multitype CBI-processes

were established in Barczy et al. (2015b) and Ma (2013). Some moment formulas
for the multitype processes were given in Barczy et al. (2016).
The connection between CB-processes and spectrally positive Lévy processes via
random time changes was first established by Lamperti (1967b); see also Silverstein
(1968). New proofs of the result were given by Caballero et al. (2009). A representa-
tion of the CBI-process by Lévy processes involving a random time change was given
by Caballero et al. (2013). We refer the reader to Kyprianou (2014) for systematical
applications of the Lamperti transformations in the study of CB-processes.
Theorem 10.11 and Corollary 10.12 were essentially obtained by Jiao et al. (2017).
Most other results in Sections 10.3 and 10.4 were adopted from He and Li (2016).
The process {𝑦 𝐴 (𝑡) : 𝑡 ≥ 0} defined by (10.21) only takes values of positive integers.
Then the two-dimensional process {(𝑦(𝑡), 𝑦 𝐴 (𝑡)) : 𝑡 ≥ 0} has actually a mixed-state
space. To give skeletal representations for CB-processes, Fekete et al. (2019) also
constructed some mixed-state branching process by means of stochastic equations;
see also Fekete et al. (2020). A special form of Corollary 10.20 was obtained earlier
by Bertoin (2011). A different construction of the generalized CBI-process with
stochastic immigration rates was given in Li (2019b) by adding up random paths
selected by Poisson random measures.
A more general type of population model was defined in Li et al. (2019) under
the name continuous-state nonlinear branching process. Let 𝛾1 , 𝛾2 ≥ 0 and 𝛾0 be
locally Lipschitz functions on R+ satisfying 𝛾1 (0) = 𝛾2 (0) = 0 and 𝛾0 (0) ≥ 0.
Let {𝑊 (d𝑠, d𝑢)} and {𝑀 (d𝑠, d𝑧, d𝑢)} be time–space noises given as those in (10.9).
They constructed the process {𝑋𝑡 : 𝑡 ≥ 0} by the pathwise unique positive solution
of the stochastic equation
∫ 𝑡 ∫ 𝑡 ∫ 𝛾1 (𝑋𝑠− )
𝑋𝑡 = 𝑋0 + 𝛾0 (𝑋𝑠− )d𝑠 + 𝑊 (d𝑠, d𝑢)
∫ 0𝑡 ∫ ∞ ∫ 𝛾2 (𝑋𝑠− ) 0 0
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢).
0 0 0
This equation defines {𝑋𝑡 : 𝑡 ≥ 0} up to its extinction or explosion time. In the

special case where 𝛾𝑖 (𝑥) ≡ 𝑐 𝑖 𝑥 𝜃 for constants 𝜃 > 0 and 𝑐 𝑖 ≥ 0, 𝑖 = 0, 1, 2, the
process was studied earlier by Li (2019a). The study of the nonlinear branching
model is much more difficult than the classical linear one because of the lack of
explicit characterization of the transition probabilities by Laplace transforms. The
reader may also refer to Foucart et al. (2020, 2021), Li and Wang (2020), Li and Zhou
(2021) and the references therein for the properties of the model such as extinction,
explosion, ergodicity, exponential ergodicity and entrance from zero or infinity.
Discrete-state branching processes in random environments were introduced by
Smith (1968) and Smith and Wilkinson (1969) as an extension of the classical
population model. Those extensions possess many interesting new properties; see,
e.g., Afanasyev et al. (2005, 2012), Guivarc’h and Liu (2001) and Vatutin (2003).
It was observed in Bansaye et al. (2013) that a kind of random environment in the
continuous-state setting can be modeled by Lévy processes. Let 𝐿 = {𝐿 (𝑡) : 𝑡 ≥ 0}
be a Lévy process with no jump smaller than −1. By a result of He et al. (2018), for
any 𝑡 ≥ 0 and 𝜆 ≥ 0, there is a pathwise unique positive solution 𝑟 ↦→ 𝑣 𝑟𝐿,𝑡 (𝜆) on
[0, 𝑡] to the stochastic integral equation
∫ 𝑡 ∫
𝑣 𝑟 ,𝑡 (𝜆) = 𝜆 − 𝜙(𝑣 𝑠,𝑡 (𝜆))d𝑠 + 𝑣 𝑡−𝑠,𝑡 (𝜆)d𝐿 𝑡 (𝑠),
𝑟 [0,𝑡−𝑟)
where 𝐿 𝑡 (𝑠) = 𝐿(𝑡−) − 𝐿 ((𝑡 − 𝑠)−). He et al. (2018) showed that a stochastic
transition semigroup (𝑄 𝑟𝐿,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) can be defined by (6.37) from the stochastic
cumulant semigroup (𝑣 𝑟𝐿,𝑡 : 𝑡 ≥ 𝑟 ≥ 0). A Markov process is called a CB-process
in Lévy environment if it has conditional transition semigroup (𝑄 𝑟𝐿,𝑡 : 𝑡 ≥ 𝑟 ≥ 0)
given the Lévy process 𝐿. Suppose that {𝐵(𝑡)} and {𝑀 (d𝑠, d𝑢)} are as in (10.2)
and they are independent of the Lévy process 𝐿. It was proved in He et al. (2018)
that a realization of the CB-process in Lévy environment with stochastic cumulant
semigroup (𝑣 𝑟𝐿,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) can be given as the pathwise unique positive solution
to the stochastic equation
∫ 𝑡 √︁ ∫ 𝑡
𝑋 (𝑡) = 𝑋 (0) + 2𝑐𝑋 (𝑠−)d𝐵(𝑠) − 𝑏 𝑋 (𝑠−)d𝑠
∫ 𝑡 ∫ ∞0∫ 𝑋 (𝑠−) 0∫
𝑡
+ 𝑧 𝑀˜ (d𝑠, d𝑧, d𝑢) + 𝑋 (𝑠−)d𝐿 (𝑠).
0 0 0 0
This process is a natural generalization of the branching model with catastrophe

introduced by Bansaye et al. (2013). See also the work of Palau and Pardo (2018), who
constructed CB-processes with competition in Lévy environments. The asymptotic
behavior of the survival probabilities of the CB-process in Lévy environment was
studied in Bansaye et al. (2013), Li and Xu (2018) and Palau and Pardo (2017). It
is still an open problem to identify the class of all possible continuous-state scaling
limits of the discrete-state branching processes in random environments introduced
by Smith (1968) and Smith and Wilkinson (1969).
Chapter 11
Path-Valued Processes and Stochastic Flows
In this chapter, we study a class of stochastic flows by means of stochastic equations

and measure-valued processes. They are reformulations of the tree-valued processes
of Abraham and Delmas (2012) and Aldous and Pitman (1998) and generalize
naturally the flows studied by Bertoin and Le Gall (2000, 2006). We define such
a flow by a path-valued growing process, which is actually a family of correlated
CBI-processes parameterized by an interval. In a special case, the total population of
the process evolves along the parameter according to an increasing inhomogeneous
CBI-process. The path-valued growing process is reconstructed by strong solutions
of a system of stochastic equations. A representation of the stochastic flow is given
in terms of a homogeneous non-local branching immigration superprocess. Under
natural conditions, we give rigorous computations of some interesting conditional
laws.
11.1 Path-Valued Growing Processes
Let 𝐸 ⊂ R be a nonempty interval and let 𝐹 (𝐸) denote the set of positive increasing
càdlàg functions on 𝐸. Given 𝜇 ∈ 𝐹 (𝐸), we can define a Radon measure 𝜇 on 𝐸 such
that 𝜇( 𝑝, 𝑞] = 𝜇(𝑞) − 𝜇( 𝑝) for 𝑞 ≥ 𝑝 ∈ 𝐸. Let {𝜙𝑞 : 𝑞 ∈ 𝐸 } be a family of branching
mechanisms, where 𝜙𝑞 is given by (3.1) with (𝑏, 𝑚) = (𝑏 𝑞 , 𝑚 𝑞 ) depending on 𝑞 ∈ 𝐸
and with 𝑐 ≥ 0 remaining constant. We assume that {𝜙𝑞 : 𝑞 ∈ 𝐸 } is an admissible
family in the sense that for each 𝜆 ≥ 0, the function 𝑞 ↦→ 𝜙𝑞 (𝜆) is decreasing and
continuously differentiable with the derivative 𝜁𝑞 (𝜆) := −(d/d𝑞)𝜙𝑞 (𝜆) of the form
∫ ∞
𝜁𝑞 (𝜆) = 𝛽𝑞 𝜆 + (1 − e−𝑧𝜆 )𝑛𝑞 (d𝑧), 𝑞 ∈ 𝐸, 𝜆 ≥ 0, (11.1)
0
where 𝛽𝑞 ≥ 0 and 𝑛𝑞 (d𝑧) is a 𝜎-finite kernel from 𝐸 to (0, ∞) satisfying

310 11 Path-Valued Processes and Stochastic Flows
h ∫ ∞ i
sup 𝛽𝑦 + 𝑧𝑛 𝑦 (d𝑧) < ∞, 𝑝 ≤ 𝑞 ∈ 𝐸. (11.2)
𝑝 ≤𝑦 ≤𝑞 0
For such an admissible family {𝜙𝑞 : 𝑞 ∈ 𝐸 }, we clearly have

∫ 𝑞
𝜙 𝑝,𝑞 (𝜆) := 𝜙 𝑝 (𝜆) − 𝜙𝑞 (𝜆) = 𝜁 𝑦 (𝜆)d𝑦. (11.3)
𝑝
It follows that
∫ 𝑞 ∫ 𝑞 ∫ ∞
𝑏𝑞 = 𝑏 𝑝 − 𝛽 𝑦 d𝑦 − d𝑦 𝑧𝑛 𝑦 (d𝑧) (11.4)
𝑝 𝑝 0
and
∫ 𝑞
𝑚 𝑞 (d𝑧) = 𝑚 𝑝 (d𝑧) + 𝑛 𝑦 (d𝑧)d𝑦. (11.5)
𝑝
We say 𝑦 ∈ 𝐸 is a critical point of the admissible family {𝜙𝑞 : 𝑞 ∈ 𝐸 } if 𝑏 𝑦 = 0,

which means 𝜙 𝑦 is a critical branching mechanism. By (11.4) one can see 𝑞 ↦→ 𝑏 𝑞 is
a continuous decreasing function, so the set consisting of all critical points can only
be a subinterval of 𝐸.
Our purpose is to construct a natural family of correlated CBI-processes with

branching mechanisms {𝜙𝑞 : 𝑞 ∈ 𝐸 }. From (11.3) we see that for any 𝑞 ≥ 𝑝 ∈ 𝐸 the
branching mechanism 𝜙𝑞 is more productive than 𝜙 𝑝 . We shall give a modeling of the
evolution process of the population along the parameter 𝑞 ∈ 𝐸 by an increasing path-
valued Markov process. The model involves some natural branching and immigration
structures.
Let 𝐷 [0, ∞) + = 𝐷 ( [0, ∞), R+ ) be the space of positive càdlàg paths on [0, ∞)
endowed with the Skorokhod topology. Let 𝜂 ∈ 𝐹 (𝐸) and 𝜌 ∈ 𝐷 [0, ∞) + be fixed. By
Theorem 9.27, for any 𝑞 ≥ 𝑝 ∈ 𝐸 there is an inhomogeneous Borel right transition
𝑝,𝑞, 𝜂,𝜌
semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) on [0, ∞) defined by
∫
e−𝜆𝑦 𝑄 𝑟 ,𝑡
(𝑥, d𝑦)
[0,∞) ∫ 𝑡
= exp − 𝑥𝑣 𝑞 (𝑡 − 𝑟, 𝜆) − 𝜂( 𝑝, 𝑞] 𝑣 𝑞 (𝑡 − 𝑠, 𝜆))d𝑠
∫ 𝑡 𝑟
− 𝜙 𝑝,𝑞 (𝑣 𝑞 (𝑡 − 𝑠, 𝜆)) 𝜌(𝑠)d𝑠 , (11.6)
𝑟
where 𝑡 ↦→ 𝑣 𝑞 (𝑡, 𝜆) is the unique positive solution of (3.4) with 𝜙 = 𝜙𝑞 . The

semigroup generates an inhomogeneous càdlàg CBI-process {𝑦(𝑡) : 𝑡 ≥ 0}. Let
(d𝑤) denote the distribution on 𝐷 [0, ∞) + of such a process with initial
Q𝑥
state 𝑦(0) = 𝑥 ≥ 0. By Theorem 9.28, for any 𝑓 ∈ 𝐵[0, ∞) + with compact support
we have
11.1 Path-Valued Growing Processes 311
∫ n ∞ ∫ o
exp − 𝑓 (𝑠)𝑤(𝑠)d𝑠 Q 𝑥 (d𝑤)
𝐷 [0,∞) +
0 ∫ ∞
= exp − 𝑥𝑢 𝑞 (0, 𝑓 ) − 𝜂( 𝑝, 𝑞] 𝑢 𝑞 (𝑠, 𝑓 )d𝑠
∫ ∞ 0
− 𝜙 𝑝,𝑞 (𝑢 𝑞 (𝑠, 𝑓 )) 𝜌(𝑠)d𝑠 , (11.7)
0
where 𝑠 ↦→ 𝑢 𝑞 (𝑠, 𝑓 ) is the unique positive solution to

∫ ∞ ∫ ∞
𝑢 𝑞 (𝑠, 𝑓 ) + 𝜙𝑞 (𝑢 𝑞 (𝑡, 𝑓 ))d𝑡 = 𝑓 (𝑡)d𝑡. (11.8)
𝑠 𝑠
It is easy to see that 𝑢 𝑞 (𝑠, 𝑓 ) = 𝑢 𝑝,𝑞 (𝑠, 𝑓 ) = 0 for 𝑠 > sup{𝑡 ≥ 0 : 𝑓 (𝑡) > 0}.
Now suppose that we are given another function 𝜇 ∈ 𝐹 (𝐸). We define the
probability measure P 𝑝,𝑞 (𝜌, ·) on 𝐷 + [0, ∞) by
𝜇, 𝜂
∫
1 𝐵 (𝜌 + 𝑤)Q 𝜇 ( 𝑝,𝑞] (d𝑤), 𝐵 ∈ ℬ(𝐷 + [0, ∞)). (11.9)
𝜇, 𝜂 𝑝,𝑞, 𝜂,𝜌
P 𝑝,𝑞 (𝜌, 𝐵) =
𝐷 + [0,∞)
For 𝑓 ∈ 𝐵[0, ∞) + with compact support write

∫ ∞
⟨𝑤, 𝑓 ⟩ = 𝑓 (𝑠)𝑤(𝑠)d𝑠, 𝑤 ∈ 𝐷 [0, ∞) + .
0

∫
e− ⟨𝑤, 𝑓 ⟩ P 𝑝,𝑞 (𝜌, d𝑤) = exp − ⟨𝜌, 𝑢 𝑝,𝑞 (·, 𝑓 )⟩ − 𝜇( 𝑝, 𝑞]𝑢 𝑞 (0, 𝑓 )
𝜇, 𝜂
𝐷 [0,∞) +
− 𝜂( 𝑝, 𝑞] ⟨1, 𝑢 𝑞 (·, 𝑓 )⟩ , (11.10)
where
𝑢 𝑝,𝑞 (𝑠, 𝑓 ) = 𝑓 (𝑠) + 𝜙 𝑝,𝑞 (𝑢 𝑞 (𝑠, 𝑓 )), 𝑠 ≥ 0. (11.11)
Clearly, the right-hand side of (11.10) is continuous in 𝜌 ∈ 𝐷 [0, ∞) + . Therefore

P 𝑝,𝑞 (𝜌, d𝑤) is a Borel kernel on 𝐷 [0, ∞) + .
𝜇, 𝜂
Proposition 11.1 For any 𝑓 ∈ 𝐵[0, ∞) + with compact support, we have
𝑢 𝑝 (𝑠, 𝑢 𝑝,𝑞 (·, 𝑓 )) = 𝑢 𝑞 (𝑠, 𝑓 ), 𝑠 ≥ 0, 𝑝 ≤ 𝑞 ∈ 𝐸 (11.12)
and
𝑢 𝑝,𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 )) = 𝑢 𝑝,𝑞 (𝑠, 𝑓 ), 𝑠 ≥ 0, 𝑝 ≤ 𝑦 ≤ 𝑞 ∈ 𝐸 . (11.13)
Proof From (11.3) and (11.8) we can see that 𝑠 ↦→ 𝑢 𝑞 (𝑠, 𝑓 ) is the unique positive
solution of
∫ ∞ ∫ ∞
𝑢 𝑞 (𝑠, 𝑓 ) = [ 𝑓 (𝑡) + 𝜙 𝑝,𝑞 (𝑢 𝑞 (𝑡, 𝑓 ))]d𝑡 − 𝜙 𝑝 (𝑢 𝑞 (𝑡, 𝑓 ))d𝑡. (11.14)
𝑠 𝑠
On the other hand, by (11.8) and (11.11) we have

∫ ∞ ∫ ∞
𝑢 𝑝 (𝑠, 𝑢 𝑝,𝑞 (·, 𝑓 )) = 𝑢 𝑝,𝑞 (𝑡, 𝑓 )d𝑡 − 𝜙 𝑝 (𝑢 𝑝 (𝑡, 𝑢 𝑝,𝑞 (·, 𝑓 )))d𝑡
∫𝑠 ∞ 𝑠
= [ 𝑓 (𝑡) + 𝜙 𝑝,𝑞 (𝑢 𝑞 (𝑡, 𝑓 ))]d𝑡

𝑠 ∫ ∞
− 𝜙 𝑝 (𝑢 𝑝 (𝑡, 𝑢 𝑝,𝑞 (·, 𝑓 )))d𝑡.
𝑠
Then 𝑠 ↦→ 𝑢 𝑝 (𝑠, 𝑢 𝑝,𝑞 (·, 𝑓 )) is also a positive solution to (11.14). By the uniqueness
of the solution we get (11.12). It follows that
𝑢 𝑝,𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 )) = 𝑢 𝑦,𝑞 (𝑠, 𝑓 ) + 𝜙 𝑝,𝑦 (𝑢 𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 )))
= 𝑓 (𝑠) + 𝜙 𝑦,𝑞 (𝑢 𝑞 (𝑠, 𝑓 )) + 𝜙 𝑝,𝑦 (𝑢 𝑞 (𝑠, 𝑓 ))
= 𝑓 (𝑠) + 𝜙 𝑝,𝑞 (𝑢 𝑞 (𝑠, 𝑓 )).
Then we have (11.13) by (11.11). □
Corollary 11.2 Let 𝑞 ∈ 𝐸 and let 𝑓 ∈ 𝐵[0, ∞) + with compact support. Then
( 𝑝, 𝑠) ↦→ 𝑢 𝑝,𝑞 (𝑠, 𝑓 ) is the unique locally bounded positive solution on 𝐸 ≤𝑞 × [0, ∞)
of
∫ 𝑞
𝑢 𝑝,𝑞 (𝑠, 𝑓 ) = 𝑓 (𝑠) + 𝜁 𝑦 ◦ 𝑢 𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 ))d𝑦. (11.15)
𝑝
Proof By (11.3) and (11.11) one can see 𝑝 ↦→ 𝑢 𝑝,𝑞 (𝑠, 𝑓 ) is a decreasing function.
By the relations established in Proposition 11.1, for 𝑞 > 𝑦 > 𝑝 ∈ 𝐸 we have
𝑢 𝑝,𝑞 (𝑠, 𝑓 ) = 𝑢 𝑝,𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 )) = 𝑢 𝑦,𝑞 (𝑠, 𝑓 ) + 𝜙 𝑝,𝑦 (𝑢 𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 ))).
Then we can differentiate both sides to see

d d
𝑢 𝑝,𝑞 (𝑠, 𝑓 ) = 𝜙 𝑝,𝑦 (𝑢 𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 )))
d𝑝 𝑝=𝑦 d𝑝 𝑝=𝑦
= −𝜁 𝑦 (𝑢 𝑦 (𝑠, 𝑢 𝑦,𝑞 (·, 𝑓 ))).
This shows ( 𝑝, 𝑠) ↦→ 𝑢 𝑝,𝑞 (𝑠, 𝑓 ) is a locally bounded positive solution of (11.15).

The uniqueness of the solution is a standard application of Gronwall’s inequality. □
𝜇, 𝜂
Theorem 11.3 The family of kernels (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) defined by (11.9) or
(11.10) constitute an inhomogeneous transition semigroup on 𝐷 [0, ∞) + .
𝜇, 𝜂
Proof It suffices to check the Chapman–Kolmogorov equation for (P 𝑝,𝑞 :
𝑞 ≥ 𝑝 ∈ 𝐸), which is immediate by (11.10) and the relations given in Proposi-
tion 11.1. □
11.1 Path-Valued Growing Processes 313
𝜇
Corollary 11.4 There is an inhomogeneous transition semigroup (P 𝑝,𝑞 :
𝑞 ≥ 𝑝 ∈ 𝐸) on 𝐷 [0, ∞) + defined by, for 𝑓 ∈ 𝐵[0, ∞) + with compact support,
∫
e− ⟨𝑤, 𝑓 ⟩ P 𝑝,𝑞 (𝜌, d𝑤)
𝜇
𝐷 [0,∞) +
= exp − ⟨𝜌, 𝑢 𝑝,𝑞 (·, 𝑓 )⟩ − 𝜇( 𝑝, 𝑞]𝑢 𝑞 (0, 𝑓 ) . (11.16)
Corollary 11.5 Let 𝜙 be a branching mechanism given by (3.1). Then there is an

inhomogeneous transition semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) on 𝐷 [0, ∞) + defined by,
𝜇
+
for 𝑓 ∈ 𝐵[0, ∞) with compact support,
∫
e− ⟨𝑤, 𝑓 ⟩ P 𝑝,𝑞 (𝜌, d𝑤) = exp − ⟨𝜌, 𝑓 ⟩ − 𝜇( 𝑝, 𝑞]𝑢(0, 𝑓 ) , (11.17)
𝜇
𝐷 [0,∞) +
where 𝑠 ↦→ 𝑢(𝑠, 𝑓 ) is the unique positive solution to

∫ ∞ ∫ ∞
𝑢(𝑠, 𝑓 ) + 𝜙(𝑢(𝑡, 𝑓 ))d𝑡 = 𝑓 (𝑡)d𝑡. (11.18)
𝑠 𝑠
For 𝑞 ∈ 𝐸 let K𝑞 denote the distribution on 𝐷 [0, ∞) + of a CBI-process

{𝑋𝑡 (𝑞) : 𝑡 ≥ 0} with initial value 𝑋0 (𝑞) = 𝜇(𝑞) and with transition semigroup
𝑞, 𝜂
(𝑄 𝑡 )𝑡 ≥0 given by
∫ ∫ 𝑡
e−𝜆𝑦 𝑄 𝑡 (𝑥, d𝑦) = exp − 𝑥𝑣 𝑞 (𝑡, 𝜆) − 𝜂(𝑞)
𝑞, 𝜂
𝑣 𝑞 (𝑠, 𝜆))d𝑠 , (11.19)
[0,∞) 0
where 𝑡 ↦→ 𝑣 𝑞 (𝑡, 𝜆) is the unique positive solution of (3.4) with 𝜙 = 𝜙𝑞 . Then K𝑞

is the distribution of a CBI-process with initial value 𝜇(𝑞), branching mechanism
𝜙𝑞 and immigration rate 𝜂(𝑞). By Theorem 9.28, we have, for 𝑓 ∈ 𝐵[0, ∞) + with
compact support,
∫
e− ⟨𝑤, 𝑓 ⟩ K𝑞 (d𝑤) = exp − 𝜇(𝑞)𝑢 𝑞 (0, 𝑓 ) − 𝜂(𝑞)⟨1, 𝑢 𝑞 (·, 𝑓 )⟩ , (11.20)

𝐷 [0,∞) +
where 𝑠 ↦→ 𝑢 𝑞 (𝑠, 𝑓 ) is the unique positive solution to (11.8).
Theorem 11.6 The family (K𝑞 : 𝑞 ∈ 𝐸) is a probability entrance law for the
𝜇, 𝜂
inhomogeneous semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) defined by (11.9) or (11.10).
Proof For any 𝑝 ≤ 𝑞 ∈ 𝐸 and any 𝑓 ∈ 𝐵[0, ∞) + with compact support, by (11.10)
and Theorem 9.28 we have
∫ ∫
e− ⟨𝑤, 𝑓 ⟩ P 𝑝,𝑞 (𝜌, d𝑤)
𝜇, 𝜂
K 𝑝 (d𝜌)
𝐷 [0,∞) + 𝐷 [0,∞) +
∫

= exp − ⟨𝜌, 𝑢 𝑝,𝑞 (·, 𝑓 )⟩ K 𝑝 (d𝜌)
𝐷 [0,∞) +

· exp − 𝜇( 𝑝, 𝑞]𝑢 𝑞 (0, 𝑓 ) − 𝜂( 𝑝, 𝑞] ⟨1, 𝑢 𝑞 (·, 𝑓 )⟩

= exp − 𝜇( 𝑝)𝑢 𝑝 ◦ 𝑢 𝑝,𝑞 (0, 𝑓 ) − 𝜂( 𝑝)⟨1, 𝑢 𝑞 (·, 𝑓 )⟩

· exp − 𝜇( 𝑝, 𝑞]𝑢 𝑞 (0, 𝑓 ) − 𝜂( 𝑝, 𝑞] ⟨1, 𝑢 𝑞 (·, 𝑓 )⟩

= exp − 𝜇(𝑞)𝑢 𝑞 (0, 𝑓 ) − 𝜂(𝑞)⟨1, 𝑢 𝑞 (·, 𝑓 )⟩
∫
= e− ⟨𝑤, 𝑓 ⟩ K𝑞 (d𝑤).
𝐷 [0,∞) +
𝜇, 𝜂
Then (K𝑞 : 𝑞 ∈ 𝐸) is a probability entrance law for (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸). □
If a Markov process {𝑋 (𝑞) : 𝑞 ∈ 𝐸 } in 𝐷 [0, ∞) + has transition semigroup

𝜇, 𝜂
(P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) defined by (11.9) or (11.10), we call it a path-valued growing
process. From (11.9) we see that {𝑋 (𝑞) : 𝑞 ∈ 𝐸 } has positive increments. Let
𝑢˜ 𝑞 ( 𝑓 ) = ⟨1, 𝑢 𝑞 (·, 𝑓 )⟩. In view of (11.12), we can rewrite (11.10) as
∫
e− ⟨𝑤, 𝑓 ⟩ P 𝑝,𝑞 (𝜌, d𝑤)
𝜇, 𝜂
𝐷 [0,∞) + ∫ 𝑞
= exp − ⟨𝜌, 𝑢 𝑝,𝑞 (·, 𝑓 )⟩ − 𝑢 𝑦 (0, 𝑢 𝑦,𝑞 (·, 𝑓 ))𝜇(d𝑦)
∫ 𝑞 𝑝
− 𝑢˜ 𝑦 (𝑢 𝑦,𝑞 (·, 𝑓 ))𝜂(d𝑦) . (11.21)
𝑝
The above formula reveals some branching and immigration structures similar to
those of the inhomogeneous transition semigroup defined by (9.33).
Example 11.1 There is an inhomogeneous transition semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸)

on 𝐷 [0, ∞) + defined by, for 𝑓 ∈ 𝐵[0, ∞) + with compact support,
∫
e− ⟨𝑤, 𝑓 ⟩ P 𝑝,𝑞 (𝜌, d𝑤) = exp − ⟨𝜌, 𝑢 𝑝,𝑞 (·, 𝑓 )⟩ .

𝐷 [0,∞) +
This is obtained by letting 𝜇 ≡ 0 in (11.16) or letting 𝜇 = 𝜂 ≡ 0 in (11.10). Clearly,

the semigroup defined above satisfies the branching property:
P 𝑝,𝑞 (𝜌1 + 𝜌2 , ·) = P 𝑝,𝑞 (𝜌1 , ·) ∗ P 𝑝,𝑞 (𝜌2 , ·), 𝜌1 , 𝜌2 ∈ 𝐷 [0, ∞) + .
Example 11.2 Let 𝜙 be a branching mechanism given by (3.1) and let 𝜙𝑞 (𝜆) =
𝜙(𝜆) − 𝑞𝜆 for 𝜆 ≥ 0. Then {𝜙𝑞 : 𝑞 ∈ R} is an admissible family of branching
mechanisms.
Example 11.3 Let 𝜙 be a branching mechanism given by (3.1) and let 𝐸 = 𝐸 (𝜙) be
the set of 𝑞 ∈ R such that
∫ ∞
𝑧e𝑞𝑧 𝑚(d𝑧) < ∞.
1
11.2 The Total Population Process 315
Using analytical extensions, we can define an admissible family of branching mech-

anisms {𝜙𝑞 : 𝑞 ∈ 𝐸 } by
𝜙𝑞 (𝜆) = 𝜙(𝜆 − 𝑞) − 𝜙(−𝑞), 𝜆 ≥ 0. (11.22)
In this case, we have 𝐸 = (−∞, sup 𝐸] or (−∞, sup 𝐸).
11.2 The Total Population Process
Let {𝜙𝑞 : 𝑞 ∈ [0, 𝑎]} be an admissible family of branching mechanisms. Throughout

this section, we assume 𝜙𝑞 (∞) := lim𝜆→∞ 𝜙𝑞 (𝜆) = ∞ for every 𝑞 ∈ 𝐸. For 𝜃 ≥ 0
let 𝜙−1
𝑞 (𝜃) be defined by (5.33) with 𝜙 = 𝜙 𝑞 .
Suppose that {(𝑋 (𝑞), ℱ𝑞 ) : 𝑞 ∈ 𝐸 } is a path-valued growing process with
𝜇
transition semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) given by (11.16), where the filtration
{ℱ𝑞 : 𝑞 ∈ 𝐸 } has been augmented. For the random path 𝑋 (𝑞) = {𝑋𝑡 (𝑞) : 𝑡 ≥ 0} we
define
∫ 𝑡
𝑥 𝑡 (𝑞) = 𝑋𝑠 (𝑞)d𝑠, 0 ≤ 𝑡 ≤ ∞.
0
Then 𝑥∞ (𝑞) is the total population of 𝑋 (𝑞). In view of (11.9), for any 𝑝 ≤ 𝑞 ∈ 𝐸
we have P{𝑥 𝑡 ( 𝑝) ≤ 𝑥 𝑡 (𝑞) : 0 ≤ 𝑡 ≤ ∞} = 1.
Theorem 11.7 Let 𝑝 ≤ 𝑞 ∈ 𝐸 and 𝐹 ∈ bℱ𝑝 . Then for any 𝜃 > 0 we have
P[𝐹e−𝜃 𝑥∞ (𝑞) ] = P 𝐹 exp − 𝑥∞ ( 𝑝)𝜙 𝑝 (𝜙−1 −1

𝑞 (𝜃)) − 𝜇( 𝑝, 𝑞]𝜙 𝑞 (𝜃) . (11.23)
Proof Let 𝑡 ↦→ 𝑣 𝑞 (𝑡, 𝜃) be the unique positive solution to (5.37) with 𝜙 = 𝜙𝑞 . Then
𝑢 𝑞 (𝑠, 𝜃1 [0,𝑡 ] ) = 𝑣 𝑞 (𝑡 − 𝑠, 𝜃) for 0 ≤ 𝑠 ≤ 𝑡. By Proposition 5.20 we have
lim 𝑢 𝑞 (𝑠, 𝜃1 [0,𝑡 ] ) = lim 𝑣 𝑞 (𝑡 − 𝑠, 𝜃) = 𝜙−1

𝑞 (𝜃). (11.24)
𝑡→∞ 𝑡→∞
Then (11.11) implies
lim 𝑢 𝑝,𝑞 (𝑠, 𝜃1 [0,𝑡 ] ) = 𝜃 + 𝜙 𝑝,𝑞 (𝜙−1

𝑞 (𝜃)).
𝑡→∞
Since 𝜙 𝑝,𝑞 (𝑧) = 𝜙 𝑝 (𝑧) − 𝜙𝑞 (𝑧), we obtain
lim 𝑢 𝑝,𝑞 (𝑠, 𝜃1 [0,𝑡 ] ) = 𝜙 𝑝 (𝜙−1

𝑞 (𝜃)). (11.25)
𝑡→∞
From (11.16) and the Markov property of {(𝑋 (𝑞), ℱ𝑞 ) : 𝑞 ∈ 𝐸 } it follows that
P[𝐹e−𝜃 𝑥𝑡 (𝑞) ] = P 𝐹 exp{−⟨𝑋 ( 𝑝), 𝑢 𝑝,𝑞 (·, 𝜃1 [0,𝑡 ] )⟩ − 𝜇( 𝑝, 𝑞]𝑢 𝑞 (0, 𝜃1 [0,𝑡 ] )} .

Then letting 𝑡 → ∞ gives (11.23). □

Corollary 11.8 The pair {(𝑥 ∞ (𝑞), ℱ𝑞 ) : 𝑞 ∈ 𝐸 } is a Markov process in [0, ∞] with
𝜇
∞ as a cemetery and with transition semigroup (𝑃 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) such that, for
𝜃 ≥ 0,
∫
e−𝜃 𝑦 𝑃 𝑝,𝑞 (𝑥, d𝑦) = exp − 𝑥𝜙 𝑝 ◦ 𝜙−1 −1
𝜇
𝑞 (𝜃) − 𝜇( 𝑝, 𝑞]𝜙 𝑞 (𝜃) . (11.26)
[0,∞)
𝜇
From (11.26) we see that 𝑃 𝑝,𝑞 (𝑥, ·) → 𝛿 𝑥 in the weak convergence as 𝑞 ↓ 𝑝.
Then the process {𝑥∞ (𝑞) : 𝑞 ∈ 𝐸 } has an increasing càdlàg modification. Moreover,
for 𝑥 ∈ [0, ∞) we have
𝑃 𝑝,𝑞 (𝑥, [0, ∞)) = exp − 𝑥𝜙 𝑝 ◦ 𝜙−1 −1

𝜇
𝑞 (0) − 𝜇( 𝑝, 𝑞]𝜙 𝑞 (0) . (11.27)
Now let us consider the path-valued growing process {(𝑋 (𝑞), ℱ𝑞 ) : 𝑞 ∈ 𝐸 } with
one-dimensional distributions (K𝑞 : 𝑞 ∈ 𝐸) defined by, for 𝑓 ∈ 𝐵[0, ∞) + with
compact support,
∫
e− ⟨𝑤, 𝑓 ⟩ K𝑞 (d𝑤) = exp − 𝜇(𝑞)𝑢 𝑞 (0, 𝑓 ) ,

(11.28)
𝐷 [0,∞) +
where 𝑠 ↦→ 𝑢 𝑞 (𝑠, 𝑓 ) is the unique positive solution to (11.8). This is obtained by

letting 𝜂 ≡ 0 in (11.20). Let {𝑥(𝑞) : 𝑞 ∈ 𝐸 } be the increasing càdlàg modification
its total population process. Let 𝐴 = inf{𝑞 ∈ 𝐸 : 𝑥(𝑞) = ∞} be the explosion time.
By Corollary 5.21, for any 𝜃 ≥ 0 we have
−1
P e−𝜃 𝑥 (𝑞) 1 { 𝐴>𝑞 } = P e−𝜃 𝑥 (𝑞) 1 {𝑥 (𝑞) <∞} = e−𝜇 (𝑞) 𝜙𝑞 ( 𝜃) .

(11.29)
Since 𝑞 ↦→ 𝜙−1𝑞 (𝜃) is continuous, by the monotone convergence theorem we have,

for 𝑞 ∈ 𝐸 \ {inf 𝐸 },
−1
P e−𝜃 𝑥 (𝑞−) 1 { 𝐴≥𝑞 } = e−𝜇 (𝑞−) 𝜙𝑞 ( 𝜃) .

(11.30)

−1 (0) −1 (0)
P( 𝐴 = 𝑞) = e−𝜇 (𝑞−) 𝜙𝑞 − e−𝜇 (𝑞) 𝜙𝑞 . (11.31)
Suppose that 𝑏 𝑞 = 𝜙𝑞′ (0) < 0. Then 𝜙−1 ′ −1

𝑞 (0) > 0 and 𝜙 𝑞 (𝜙 𝑞 (0)) > 0. In the case of
𝜇(𝑞) > 𝜇(𝑞−), we have P( 𝐴 = 𝑞) > 0 and
−1 ( 𝜃) −1 ( 𝜃)
−𝜃 𝑥 (𝑞−)
e−𝜇 (𝑞−) 𝜙𝑞 − e−𝜇 (𝑞) 𝜙𝑞
P e |𝐴 = 𝑞 = −1 (0) −1 (0)
, (11.32)
e−𝜇 (𝑞−) 𝜙𝑞 − e−𝜇 (𝑞) 𝜙𝑞
which characterizes the conditional distribution of the total population size just
before its explosion time. In the case of 𝜇(𝑞) = 𝜇(𝑞−) > 0, by differentiating both
sides of (11.30) in 𝜃 ≥ 0 we obtain
−1
𝜇(𝑞)e−𝜇 (𝑞) 𝜙𝑞 ( 𝜃)
P 𝑥(𝑞−)e−𝜃 𝑥 (𝑞−) 1 { 𝐴≥𝑞 } =

, (11.33)
𝜙𝑞′ (𝜙−1
𝑞 (𝜃))
and hence
−1
𝜇(𝑞)e−𝜇 (𝑞) 𝜙𝑞 (0)
0 < P 𝑥(𝑞−)1 { 𝐴≥𝑞 } = < ∞. (11.34)
𝜙𝑞′ (𝜙−1
𝑞 (0))
Under natural conditions, the next theorem gives a rigorous characterization of the
restriction to ℱ𝑞− of the conditional law P(·| 𝐴 = 𝑞) when P( 𝐴 = 𝑞) = 0.
Theorem 11.9 Suppose that 𝜇 ∈ 𝐹 (𝐸) is differentiable at some point 𝑞 ∈ 𝐸 \{inf 𝐸 }

and
d −1
𝜇(𝑞) > 0, 𝑏 𝑞 = 𝜙𝑞′ (0) < 0, 𝜙 (0) 𝑟=𝑞 + 𝜇 ′ (𝑞) > 0. (11.35)
d𝑟 𝑟
Then for any 𝐺 ∈ bℱ𝑞− we have
h n oi
d
P 𝐺1{ 𝐴≥𝑞} 𝑥 (𝑞−) 𝜙𝑞′ ( 𝜙𝑞−1 (0)) d𝑟
𝜙𝑟−1 (0) 𝑟=𝑞 + 𝜇′ (𝑞) 𝜙𝑞−1 (0)
P 𝐺|𝐴 = 𝑞 = h n oi .
d
P 1{ 𝐴≥𝑞} 𝑥 (𝑞−) 𝜙𝑞′ ( 𝜙𝑞−1 (0)) d𝑟 𝜙𝑟−1 (0) 𝑟=𝑞 + 𝜇′ (𝑞) 𝜙𝑞−1 (0)
Proof By (11.31), we have P( 𝐴 = 𝑞) = 0 for 𝑞 ∈ 𝐸 \ {inf 𝐸 }. We first consider

𝐺 ∈ bℱ𝑝 for some 𝑞 > 𝑝 ∈ 𝐸. By (11.27) and the Markov property,
P 𝐺1 { 𝐴>𝑟 } = P 𝐺1 { 𝐴>𝑞 } exp{−𝑥(𝑞)𝜙𝑞 ◦ 𝜙𝑟−1 (0) − 𝜇(𝑞, 𝑟]𝜙−1

𝑞 (0)} .
Since 𝜇(𝑞) = 𝜇(𝑞−), the above relation implies
P 𝐺1 { 𝐴≥𝑟 } = P 𝐺1 { 𝐴≥𝑞 } exp{−𝑥(𝑞−)𝜙𝑞 ◦ 𝜙𝑟−1 (0) − 𝜇[𝑞, 𝑟]𝜙−1

𝑞 (0)} .
By taking the derivatives we obtain

d h n d o i
= P 𝐺1{ 𝐴≥𝑞} 𝑥 (𝑞−) 𝜙𝑞 ◦ 𝜙𝑟−1 (0) + 𝜇′ (𝑟) 𝜙𝑞−1 (0)

− P 𝐺1{ 𝐴≥𝑟 }
d𝑟 𝑟=𝑞 d𝑟 𝑟=𝑞
and
d h n d o i
− P( 𝐴 ≥ 𝑟) | 𝑟=𝑞 = P 1{ 𝐴≥𝑞} 𝑥 (𝑞−) 𝜙𝑞 ◦ 𝜙𝑟−1 (0) + 𝜇′ (𝑟) 𝜙𝑞−1 (0) ,
d𝑟 d𝑟 𝑟=𝑞
where
d d −1
𝜙𝑞 ◦ 𝜙𝑟−1 (0) = 𝜙𝑞′ (𝜙−1
𝑞 (0)) 𝜙 (0) . (11.36)
d𝑟 𝑟=𝑞 d𝑟 𝑟 𝑟=𝑞
Under condition (11.35), we have 𝜙−1 ′ −1

𝑞 (0) > 0 and 𝜙 𝑞 (𝜙 𝑞 (0)) > 0. From (11.34)
and (11.36) we see that − d𝑟d P( 𝐴 ≥ 𝑟)| 𝑟=𝑞 > 0. Then the result holds for 𝐺 ∈ bℱ𝑝 .
By a monotone class argument we get the desired result for 𝐺 ∈ bℱ𝑞− . □
Corollary 11.10 In the setup of Theorem 11.9, if 𝜇 ′ (𝑞) = 0, then for any 𝜃 ≥ 0 we
have
−𝜇 (𝑞) 𝜙𝑞 −1 ( 𝜃)
−𝜃 𝑥 (𝑞−)
𝜙𝑞′ (𝜙−1
𝑞 (0))e
P e |𝐴 = 𝑞 = −1 (0)
. (11.37)
𝜙𝑞′ (𝜙−1 −𝜇 (𝑞) 𝜙𝑞
𝑞 (𝜃))e
Proof Since 𝜇 ′ (𝑞) = 0, by the result of Theorem 11.9 we have
P[e−𝜃 𝑥 (𝑞−) 𝑥(𝑞−)1 { 𝐴≥𝑞 } ]

P(e−𝜃 𝑥 (𝑞−) | 𝐴 = 𝑞) = .
P[𝑥(𝑞−)1 { 𝐴≥𝑞 } ]
Then (11.37) follows from (11.33) and (11.34). □
Example 11.4 Let {𝜙𝑞 : 𝑞 ∈ 𝐸 } be the admissible family defined by (11.22). For
𝑞 ≥ 𝑝 ∈ 𝐸 it is elementary to see that 𝜙−1 −1
𝑞 (𝜃) = 𝑞 + 𝜙 (𝜃 + 𝜙(−𝑞)) and
𝜙 𝑝 (𝜙−1 −1
𝑞 (𝜃)) = 𝜙(𝑞 − 𝑝 + 𝜙 (𝜃 + 𝜙(−𝑞))) − 𝜙(−𝑝), 𝜃 ≥ 0.
Suppose that 𝜙 ′ (−𝑞) < 0 and 𝜇 ′ (𝑞) = 0 for some 𝑞 ∈ 𝐸. By Corollary 11.10 we
have
𝜙 ′ (𝜙−1 (𝜙(−𝑞))) exp{−𝜇(𝑞) [𝑞 + 𝜙−1 (𝜃 + 𝜙(−𝑞))]}
P[e−𝜃 𝑥 (𝑞−) | 𝐴 = 𝑞] = .
𝜙 ′ (𝜙−1 (𝜃 + 𝜙(−𝑞))) exp{−𝜇(𝑞) [𝑞 + 𝜙−1 (𝜙(−𝑞))]}
𝜇
In a typical situation, the transition semigroup (𝑃 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) given by
(11.26) can be characterized in terms of an inhomogeneous CBI-process. To see
this, we set 𝑢 𝑝,𝑞 (𝜃) = 𝜙 𝑝 ◦ 𝜙−1
𝑞 (𝜃) and write
∫ 𝑞 ∫ 𝑞
𝜇( 𝑝, 𝑞]𝜙−1
𝑞 (𝜃) = 𝜙−1
𝑞 (𝜃)𝜇(d𝑠) = 𝜙−1
𝑠 (𝑢 𝑠,𝑞 (𝜃))𝜇(d𝑠).
𝑝 𝑝
By (11.26) we have
∫ ∫ 𝑞
−𝜃 𝑦 𝜇
e 𝑃 𝑝,𝑞 (𝑥, d𝑦) = exp −𝑥𝑢 𝑝,𝑞 (𝜃) − 𝐼 (𝑠, 𝑢 𝑠,𝑞 (𝜃))𝜇(d𝑠)
[0,∞) ∫ 𝑞 𝑝
· exp − 𝜙−1
𝑠 (0)𝜇(d𝑠) , (11.38)
𝑝
where 𝐼 (𝑠, ·) = 𝜙−1 −1

𝑠 (·) − 𝜙 𝑠 (0) ∈ ℐ by Corollary 5.23.
Proposition 11.11 For any 𝑞 ∈ 𝐸 and 𝜃 ≥ 0, the function 𝑝 ↦→ 𝑢 𝑝,𝑞 (𝜃) = 𝜙 𝑝 ◦

𝜙−1
𝑞 (𝜃) is the unique locally bounded positive solution on 𝐸 ≤𝑞 of
∫ 𝑞 ∫ 𝑞
𝑢 𝑝,𝑞 (𝜃) = 𝜃 + 𝜁 𝑠 (𝜙−1
𝑠 (0))d𝑠 + 𝜓(𝑠, 𝑢 𝑠,𝑞 (𝜃))d𝑠, (11.39)
𝑝 𝑝
where 𝜓(𝑠, ·) = 𝜁 𝑠 ◦ 𝜙−1 −1

𝑠 − 𝜁 𝑠 ◦ 𝜙 𝑠 (0) ∈ ℐ.
Proof Since 𝜁 𝑠 ∈ ℐ, we have 𝐽𝑠 := 𝜁 𝑠 (· + 𝜙−1 −1

𝑠 (0)) − 𝜁 𝑠 (𝜙 𝑠 (0)) ∈ ℐ, and so
𝜓(𝑠, ·) = 𝐽𝑠 ◦𝐼 (𝑠, ·) ∈ ℐ by Theorem 1.38. Using the relation (d/d𝑠)𝜙 𝑠 (𝜃) = −𝜁 𝑠 (𝜃),
we get
d d
𝑢 𝑠,𝑞 (𝜃) = 𝜙 𝑠 (𝜙−1 −1 −1
𝑞 (𝜃)) = −𝜁 𝑠 ◦ 𝜙 𝑞 (𝜃) = −𝜁 𝑠 ◦ 𝜙 𝑠 (𝑢 𝑠,𝑞 (𝜃)).
d𝑠 d𝑠
This proves (11.39). □
Let 𝑈 ⊂ 𝐸 be an interval that does not contain critical points. By elementary

calculations, for 𝑠 ∈ 𝑈 we have
d d −1 1
𝐼 (𝑠, 𝜃) = 𝜙 (𝜃) = <∞
d𝜃 𝜃=0 d𝜃 𝑠 𝜃=0 𝜙 𝑠′ (𝜙−1
𝑠 (0))
and
d d 𝜁 𝑠′ (𝜙−1
𝑠 (0))
𝜓(𝑠, 𝜃) = 𝜁 𝑠 (𝜙−1
𝑠 (𝜃)) = < ∞.
d𝜃 𝜃=0 d𝜃 𝜃=0 𝜙 𝑠 (𝜙−1
′
𝑠 (0))
Then (𝑠, 𝜃) ↦→ 𝐼 (𝑠, 𝜃) satisfies the requirements for the immigration mechanism
defined by (9.37) and (𝑠, 𝜃) ↦→ −𝜓(𝑠, 𝜃) satisfies those for the branching mechanism
defined by (6.36). For 𝜃 ≥ 0 and 𝑞 ∈ 𝑈 let 𝑝 ↦→ 𝑣 𝑝,𝑞 (𝜃) be the unique locally
bounded positive solution of
∫ 𝑞
𝑣 𝑝,𝑞 (𝜃) = 𝜃 + 𝜓(𝑠, 𝑣 𝑠,𝑞 (𝜃))d𝑠, 𝑝 ∈ 𝑈 ≤𝑞 . (11.40)
𝑝
𝜇
We can define an inhomogeneous Markov transition semigroup (𝑄 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝑈)
on [0, ∞) by
∫
e−𝜃 𝑦 𝑄 𝑝,𝑞 (𝑥, d𝑦)
𝜇
[0,∞) ∫ 𝑞
= exp − 𝑥𝑣 𝑝,𝑞 (𝜃) − 𝐼 (𝑠, 𝑣 𝑠,𝑞 (𝜃))𝜇(d𝑠) . (11.41)
𝑝
If 𝜇 is absolutely continuous on 𝑈 with a locally bounded density, then (11.41) is a

special form of (9.38). In this case, the result of Theorem 9.28 applies. In view of
(11.38), we get the following:
Theorem 11.12 Let 𝑈 ⊂ 𝐸 be an interval not containing critical points. Sup-

pose that 𝜇 is absolutely continuous on 𝑈 with locally bounded density. Let
𝜇
𝑌 = (Ω, ℱ, ℱ𝑝,𝑞 , 𝑦(𝑞), Q 𝑝, 𝑥 : 𝑝 ∈ 𝑈) be a right continuous inhomogeneous CBI-
𝜇
process with transition semigroup (𝑄 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝑈) defined by (11.40) and
(11.41). Then for 𝑥 ≥ 0 and 𝜃 ≥ 0 we have
∫ ∫ 𝑞
−𝜃 𝑦
𝜁 𝑠 (𝜙−1
𝜇 𝜇
e 𝑃 𝑝,𝑞 (𝑥, d𝑦) = Q 𝑝, 𝑥exp − 𝜃𝑦(𝑞) − 𝑠 (0))𝑦(𝑠)d𝑠
[0,∞) ∫ 𝑞 𝑝
−1
· exp − 𝜙 𝑠 (0)𝜇(d𝑠) . (11.42)
𝑝
By Theorem 11.12, the total population process {𝑥(𝑞) : 𝑞 ∈ 𝑈} with transition

𝜇
semigroup (𝑃 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝑈) is actually a subprocess of the inhomogeneous
CBI-process 𝑌 induced by the multiplicative functional
∫ 𝑞 ∫ 𝑞
−1 −1
𝑀 ( 𝑝, 𝑞) = exp − 𝜁 𝑠 (𝜙 𝑠 (0))𝑦(𝑠)d𝑠 − 𝜙 𝑠 (0)𝜇(d𝑠) , 𝑞 ≥ 𝑝 ∈ 𝑈.
𝑝 𝑝
Example 11.5 Let us consider the admissible family of branching mechanisms

{𝜙𝑞 : 𝑞 ∈ R} defined by 𝜙𝑞 (𝜆) = 𝜆2 − 2𝑞𝜆 for 𝜆 ≥ 0. In this special case,
zero is the only critical point of the family {𝜙𝑞 : 𝑞 ∈ R}. Let (𝑃 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ R) be
the transition semigroup
√︁ on [0, ∞) defined by (11.26) with 𝜇 ≡ const. It is easy to
see that 𝜙−1
𝑞 (𝜃) = 𝑞 2 + 𝜃 + 𝑞 and
√︃
𝜙 𝑝 ◦ 𝜙−1

𝑞 (𝜃) = 𝜃 + 2(𝑞 − 𝑝) 𝑞2 + 𝜃 + 𝑞 , 𝜃 ≥ 0.
By (11.29), for any 𝑥 ≥ 0 there is a Markov process {𝑥(𝑞) : 𝑞 ∈ R} with transition

semigroup (𝑃 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ R) and
√︃
−1 ( 𝜃)
P[e−𝜃 𝑥 (𝑞) ] = e−𝑥 𝜙𝑞

= exp − 𝑥 𝑞 2 + 𝜃 + 𝑞 , 𝜃 > 0.
This process can be obtained from two homogeneous CB-processes by simple trans-
formations. To see this, let
√
𝑣 −𝑡 (𝜃) = e−2𝑡 𝜃 + 2e−𝑡 (1 − e−𝑡 ) ( 1 + 𝜃 − 1), 𝑡 ≥ 0, 𝜃 ≥ 0.
It is easy to check that
𝑣 −𝑡−𝑟 (𝜃) = e2𝑟 𝜙−e−𝑟 ◦ 𝜙−1

−e−𝑡 (e
−2𝑡
𝜃), 𝜃 ≥ 0, 𝑡 ≥ 𝑟 ∈ R.
From (11.26) one can see that {e−2𝑡 𝑥(−e−𝑡 ) : 𝑡 ∈ R} has homogeneous transition
semigroup (𝑃𝑡− )𝑡 ≥0 defined by
∫
−
e−𝜃 𝑦 𝑃𝑡− (𝑥, d𝑦) = e−𝑥𝑣𝑡 ( 𝜃) , 𝜃 ≥ 0.
[0,∞)
Moreover, we have
d −
𝑣 (𝜃) = −𝜙− (𝑣 −𝑡 (𝜃)), 𝜃 ≥ 0, 𝑡 ≥ 0,
d𝑡 𝑡
11.3 Construction by Stochastic Equations 321
where
√
𝜙− (𝜆) = 2𝜆 − 2( 1 + 𝜆 − 1), 𝜆 ≥ 0.
Then {e−2𝑡 𝑥(−e−𝑡 ) : 𝑡 ∈ R} is actually a homogeneous CB-process in [0, ∞) with

branching mechanism 𝜙− . Similarly, one can see {e2𝑡 𝑥(𝑒 𝑡 ) : 𝑡 ∈ R} is a homogeneous
sub-Markov process with transition semigroup (𝑃𝑡+ )𝑡 ≥0 defined by
∫
+
e−𝜃 𝑦 𝑃𝑡+ (𝑥, d𝑦) = e−𝑥𝑣𝑡 ( 𝜃) , 𝜃 ≥ 0,
[0,∞)
where
√
𝑣 +𝑡 (𝜃) = e2𝑡 𝜃 + 2e𝑡 (e𝑡 − 1) ( 1 + 𝜃 + 1).
One can also see that

d +
𝑣 (𝜃) = −𝜙+ (𝑣 +𝑡 (𝜃)) + 4,
d𝑡 𝑡
where
√
𝜙+ (𝜃) = −2𝜃 − 2( 1 + 𝜃 + 1) + 4.
Then {e2𝑡 𝑥(𝑒 𝑡 ) : 𝑡 ∈ R} is the subprocess of a homogeneous CB-process {𝑦(𝑡) : 𝑡 ∈

R} with branching mechanism 𝜙+ generated by the multiplicative functional
∫ 𝑡
𝑀 (𝑟, 𝑡) ↦→ exp − 4 𝑦(𝑠)d𝑠 , 𝑡 ≥ 𝑟 ∈ R.
𝑟
11.3 Construction by Stochastic Equations
Let 𝐸 = [0, 𝑎] for some 𝑎 > 0. Suppose that 𝜇, 𝜂 ∈ 𝐹 [0, 𝑎] and {𝜙𝑞 : 𝑞 ∈
[0, 𝑎]} is an admissible family of branching mechanisms, where 𝜙𝑞 is given by
(3.1) with the parameters (𝑏, 𝑚) = (𝑏 𝑞 , 𝑚 𝑞 ) depending on 𝑞 ∈ [0, 𝑎]. We shall
give a reconstruction of the path-valued growing process with transition semigroup
𝜇, 𝜂
(P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ [0, 𝑎]) and one-dimensional distributions {K𝑞 : 𝑞 ∈ [0, 𝑎]} by
strong solutions to a system of stochastic equations.
Suppose that (Ω, 𝒢, 𝒢𝑡 , P) is a filtered probability space satisfying the usual
hypotheses. Let {𝑊 (d𝑠, d𝑢)} be a time–space (𝒢𝑡 )-Gaussian white noise on (0, ∞) 2
with intensity 2𝑐d𝑠d𝑢. Let { 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)} be a compensated time–space (𝒢𝑡 )-
Poisson random measure on (0, ∞) × [0, 𝑎] × (0, ∞) 2 with intensity d𝑠𝑚(d𝑦, d𝑧)d𝑢,
where 𝑚(d𝑦, d𝑧) is the unique 𝜎-finite measure on [0, 𝑎] × (0, ∞) such that
𝑚( [0, 𝑞] × 𝐵) = 𝑚 𝑞 (𝐵), 𝑞 ∈ [0, 𝑎], 𝐵 ∈ ℬ(0, ∞).

Proposition 11.13 For any 𝑝 ≤ 𝑞 ∈ [0, 𝑎] and 𝜌 ∈ 𝐷 [0, ∞) + , there is a pathwise

unique positive solution {𝜉 𝑝,𝑞 (𝑡) : 𝑡 ≥ 0} to
∫ 𝑡 ∫ 𝜉 (𝑠−)
𝜉 (𝑡) = 𝜇( 𝑝, 𝑞] + 𝑊 (d𝑠, 𝜌(𝑠−) + d𝑢) + 𝜂( 𝑝, 𝑞]𝑡
∫ 𝑡 0 0 ∫ 𝑞 ∫ 𝑡
− 𝑏𝑞 𝜉 (𝑠−)d𝑠 + 𝛽 𝑦 d𝑦 𝜌(𝑠−)d𝑠
0 𝑝 0
∫ 𝑡∫ ∫ ∞ ∫ 𝜉 (𝑠−)
+ 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, 𝜌(𝑠−) + d𝑢)
0 [0,𝑞] 0 0
∫ 𝑡 ∫ 𝑞 ∫ ∞ ∫ 𝜌(𝑠−)
+ 𝑧𝑀 (d𝑠, d𝑦, d𝑧, d𝑢). (11.43)
0 𝑝 0 0
Moreover, the solution {𝜉 𝑝,𝑞 (𝑡) : 𝑡 ≥ 0} is an inhomogeneous CBI-process with

transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) defined by (11.6).
Proof It is known that 𝑊1 (d𝑠, d𝑢) = 𝑊 (d𝑠, 𝜌(𝑠−) + d𝑢) defines a time–space
(𝒢𝑡 )-Gaussian white noise on (0, ∞) 2 with intensity 2𝑐d𝑠d𝑢. Observe also that
∫
𝑀1 (d𝑠, d𝑧, d𝑢) = 𝑀 (d𝑠, d𝑦, d𝑧, 𝜌(𝑠−) + d𝑢)
{0≤𝑦 ≤𝑞 }
defines a time–space (𝒢𝑡 )-Poisson random measure on (0, ∞) 3 with intensity

d𝑠𝑚 𝑞 (d𝑧)d𝑢, and
∫ ∫
𝑁1 (d𝑠, d𝑧) = 𝑀 (d𝑠, d𝑦, d𝑧, d𝑢)
{ 𝑝<𝑦 ≤𝑞 } {0<𝑢≤𝜌(𝑠−) }
defines a time–space (𝒢𝑡 )-Poisson random measure on (0, ∞) 2 with intensity

𝜌(𝑠−)d𝑠(𝑚 𝑞 − 𝑚 𝑝 ) (d𝑧). The three noises are clearly independent of each other.
Then the results follow by Theorems 10.27 and 10.28. □
Corollary 11.14 Let {𝜉 𝑝,𝑞 (𝑡) : 𝑡 ≥ 0} be the pathwise unique positive solution to
𝜇, 𝜂
(11.43). Then the random path {𝜉 𝑝,𝑞 (𝑡) + 𝜌(𝑡) : 𝑡 ≥ 0} has distribution P 𝑝,𝑞 (𝜌, ·)
on the space 𝐷 [0, ∞) + .
By Proposition 11.13, for any 𝑞 ∈ [0, 𝑎] and 𝑋 (0) ∈ 𝐷 [0, ∞) + there is a pathwise
unique positive solution 𝜉 (𝑞) = {𝜉𝑡 (𝑞) : 𝑡 ≥ 0} to
∫ 𝑡 ∫ 𝜉𝑠− (𝑞)
𝜉𝑡 (𝑞) = 𝜇(0, 𝑞] + 𝑊 (d𝑠, 𝑋𝑠− (0) + d𝑢) + 𝜂(0, 𝑞]𝑡
∫ 𝑡 0 0 ∫ 𝑞 ∫ 𝑡
− 𝑏𝑞 𝜉 𝑠− (𝑞)d𝑠 + 𝛽 𝑦 d𝑦 𝑋𝑠− (0)d𝑠
∫ 𝑡 ∫0 ∫ ∞ ∫ 𝜉𝑠−0 (𝑞) 0
+ 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, 𝑋𝑠− (0) + d𝑢)

0 [0,𝑞] 0 0
∫ 𝑡 ∫ 𝑞 ∫ ∞ ∫ 𝑋𝑠− (0)
+ 𝑧𝑀 (d𝑠, d𝑦, d𝑧, d𝑢). (11.44)
0 0 0 0
11.3 Construction by Stochastic Equations 323
Theorem 11.15 Let 𝑋 (𝑞) = 𝜉 (𝑞) + 𝑋 (0) and let ℱ𝑞 be the augmented 𝜎-algebra
generated by the process 𝑋 (𝑞) and restricted noises
{1 {𝑢≤𝑋𝑠− (𝑞) } 𝑊 (d𝑠, d𝑢)}, {1 {𝑦 ≤𝑞,𝑢≤𝑋𝑠− (𝑞) } 𝑀 (d𝑠, d𝑦, d𝑧, d𝑢)}.
Then the pair {(𝑋 (𝑞), ℱ𝑞 ) : 𝑞 ∈ [0, 𝑎]} is a path-valued growing process with
𝜇, 𝜂
transition semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ [0, 𝑎]) defined by (11.10).
Proof For 𝑝 ≤ 𝑞 ∈ [0, 𝑎] one can see as in the proof of Theorem 10.5 that
P{𝜉𝑡 ( 𝑝) ≤ 𝜉𝑡 (𝑞) for all 𝑡 ≥ 0} = 1. Let 𝜉𝑡 ( 𝑝, 𝑞) = 𝜉𝑡 (𝑞) − 𝜉𝑡 ( 𝑝). By (11.44), we
have
∫ 𝑡 ∫ 𝑋𝑠− (𝑞) ∫ 𝑡
𝜉𝑡 ( 𝑝, 𝑞) = 𝜇( 𝑝, 𝑞] + 𝑊 (d𝑠, d𝑢) − 𝑏 𝑞 𝑋𝑠− (𝑞)d𝑠
∫ 𝑡 0 𝑋𝑠− ( 𝑝)∫ 𝑡 ∫ ∫ ∞ ∫ 𝑋0𝑠− (𝑞)
+ 𝑏𝑝 𝑋𝑠− ( 𝑝)d𝑠 + 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧d𝑢)
0 0 [0,𝑞] 0 𝑋𝑠− ( 𝑝)
∫ 𝑡 ∫ 𝑞 ∫ ∞ ∫ 𝑋𝑠− ( 𝑝)
+ 𝜂( 𝑝, 𝑞]𝑡 + 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)
0 𝑝 0 0
∫ 𝑡 ∫ 𝑋𝑠− (𝑞) ∫ 𝑡
= 𝜇( 𝑝, 𝑞] + 𝑊 (d𝑠, d𝑢) + (𝑏 𝑝 − 𝑏 𝑞 ) 𝑋𝑠− ( 𝑝)d𝑠
0 𝑋𝑠− ( 𝑝) 0
∫ 𝑡 ∫ 𝑡∫ ∫ ∞ ∫ 𝑋𝑠− (𝑞)
− 𝑏𝑞 𝜉 𝑠− ( 𝑝, 𝑞)d𝑠 + 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)
0 0 [0,𝑞] 0 𝑋𝑠− ( 𝑝)
∫ 𝑡 ∫ 𝑞 ∫ ∞ ∫ 𝑋𝑠− ( 𝑝)
+ 𝜂( 𝑝, 𝑞]𝑡 + 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢). (11.45)
0 𝑝 0 0
Then 𝜉 ( 𝑝, 𝑞) := {𝜉𝑡 ( 𝑝, 𝑞) : 𝑡 ≥ 0} solves (11.43) with 𝜌 = 𝑋 ( 𝑝). By Corol-

lary 11.14, given ℱ𝑝 the random path 𝑋 (𝑞) = 𝑋 ( 𝑝) + 𝜉 ( 𝑝, 𝑞) is conditionally
distributed on 𝐷 [0, ∞) + according to P 𝑝,𝑞 (𝑋 ( 𝑝), ·). This proves the theorem.
𝜇, 𝜂
□
Now, for 𝑞 ∈ [0, 𝑎] let 𝑋 (𝑞) be constructed as in Theorem 11.15 with 𝑋 (0) ∈
𝐷 [0, ∞) + being the pathwise unique positive solution to the stochastic equation
∫ 𝑡 ∫ 𝑋𝑠− (0) ∫ 𝑡
𝑋𝑡 (0) = 𝜇(0) + 𝑊 (d𝑠, d𝑢) − 𝑏 0 𝑋𝑠− (0)d𝑠 + 𝜂(0)𝑡
0 ∫ 0∞ ∫ 0
∫ 𝑡∫ 𝑋𝑠− (0)
+ 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢). (11.46)
0 {0} 0 0
It is easy to see that 𝑋 (𝑞) = {𝑋𝑡 (𝑞) : 𝑡 ≥ 0} is the pathwise unique positive solution
to
∫ 𝑡 ∫ 𝑋𝑠− (𝑞) ∫ 𝑡
𝑋𝑡 (𝑞) = 𝜇(𝑞) + 𝑊 (d𝑠, d𝑢) − 𝑏 𝑞 𝑋𝑠− (𝑞)d𝑠 + 𝜂(𝑞)𝑡
∫ 𝑡 ∫ 0 ∫0 ∞ ∫ 𝑋𝑠− (𝑞) 0
+ 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢). (11.47)

0 [0,𝑞] 0 0
Proposition 11.16 Let 𝜉𝑡 ( 𝑝, 𝑞) = 𝑋𝑡 (𝑞) − 𝑋𝑡 ( 𝑝) for 𝑝 ≤ 𝑞 ∈ [0, 𝑎] and 𝑡 ≥ 0. Then

∫ 𝑡
𝑏𝑞 𝑡
𝑏𝑞 𝑠

e P 𝜉 𝑝,𝑞 (𝑡) = 𝜇( 𝑝, 𝑞] + P e 𝜂( 𝑝, 𝑞] + (𝑏 𝑝 − 𝑏 𝑞 ) 𝜌(𝑠−) d𝑠
0
and
21
√
h i ∫ 𝑡
𝑏𝑞 𝑠 𝑏𝑞 𝑠
P sup e 𝜉 𝑝,𝑞 (𝑠) ≤ 𝜇( 𝑝, 𝑞] + 2 2𝑐 P e 𝜉 𝑝,𝑞 (𝑠)d𝑠
0≤𝑠 ≤𝑡 0
∫ 𝑡 ∫ 1 21
2𝑏𝑞 𝑠 2
+2 P e 𝜉 𝑝,𝑞 (𝑠)d𝑠 𝑧 𝑚 𝑞 (d𝑧)
∫ 0𝑡 ∫ ∞0
+ 2P e𝑏𝑞 𝑠 𝜉 𝑝,𝑞 (𝑠)d𝑠 𝑧𝑚 𝑞 (d𝑧)
∫ 0𝑡 1
𝑏𝑞 𝑠

+P e 𝜂( 𝑝, 𝑞] + (𝑏 𝑝 − 𝑏 𝑞 ) 𝜌(𝑠−) d𝑠 .
0
Proof It is easy to see that {𝜉𝑡 ( 𝑝, 𝑞) : 𝑡 ≥ 0} solves (11.43) with 𝜌 =

{𝑋𝑡 ( 𝑝) : 𝑡 ≥ 0}. Observe that 𝜙 ′𝑝,𝑞 (0) = 𝑏 𝑝 − 𝑏 𝑞 by (11.3) and (11.4). Then
the results follow by Proposition 10.26. □
Theorem 11.17 The random field {𝑋𝑡 (𝑞) : 𝑡 ≥ 0, 𝑞 ∈ [0, 𝑎]} defined by (11.47) has
the following properties:
(1) for every 𝑞 ∈ [0, 𝑎], the random path {𝑋𝑡 (𝑞) : 𝑡 ≥ 0} is a càdlàg CBI-process
with distribution K𝑞 on 𝐷 [0, ∞) + given by (11.20);
(2) {𝑋 (𝑞) : 𝑞 ∈ [0, 𝑎]} is a path-valued growing process with transition semigroup
𝜇, 𝜂
(P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ [0, 𝑎]) defined by (11.10).
Proof From (11.47) we see that {𝑋𝑡 (𝑞) : 𝑡 ≥ 0} is a CBI-process with initial
𝑞, 𝜂
value 𝜇(𝑞) and transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (11.19). Then {𝑋𝑡 (𝑞) :
𝑡 ≥ 0} has distribution K𝑞 on 𝐷 [0, ∞) + . By (11.47), one can see that the difference
𝜉 ( 𝑝, 𝑞) := 𝑋 (𝑞) − 𝑋 ( 𝑝) solves (11.45). As in the proof of Theorem 11.15, one
can see that {𝑋 (𝑞) : 𝑞 ∈ [0, 𝑎]} is a path-valued growing process with transition
𝜇, 𝜂
semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ [0, 𝑎]). □
We call the random field {𝑋𝑡 (𝑞) : 𝑡 ≥ 0, 𝑞 ∈ [0, 𝑎]} constructed by (11.47) a flow
of CBI-processes. By Proposition 11.16, for 𝑡 ≥ 0 the random path 𝑋𝑡 := {𝑋𝑡 (𝑞) :
𝑞 ∈ [0, 𝑎]} has a version in 𝐹 [0, 𝑎], the set of positive increasing càdlàg functions
on [0, 𝑎]. Then, by a time–space interchange, we can also think of the stochastic
flow as a path-valued process {𝑋𝑡 : 𝑡 ≥ 0} with state space 𝐹 [0, 𝑎].
11.4 A Stochastic Flow of Measures
Let 𝐸 = [0, 𝑎] for some 𝑎 > 0. Let {𝑋𝑡 (𝑞) : 𝑡 ≥ 0, 𝑞 ∈ [0, 𝑎]} be the flow of
CBI-processes constructed by (11.47). Let 𝑄 𝐸 denote the set of rationals in 𝐸. For
any 𝑡 ≥ 0 we define the random function 𝑌𝑡 ∈ 𝐹 [0, 𝑎] by 𝑌𝑡 (𝑎) = 𝑋𝑡 (𝑎) and
11.4 A Stochastic Flow of Measures 325
𝑌𝑡 (𝑞) = inf{𝑋𝑡 (𝑣) : 𝑣 ∈ 𝑄 𝐸 ∩ (𝑞, 𝑎]}, 0 ≤ 𝑞 < 𝑎.
Similarly, for any 𝑡 > 0, define 𝑍𝑡 ∈ 𝐹 [0, 𝑎] by 𝑍𝑡 (𝑎) = 𝑋𝑡− (𝑎) and
𝑍𝑡 (𝑞) = inf{𝑋𝑡− (𝑣) : 𝑣 ∈ 𝑄 𝐸 ∩ (𝑞, 𝑎]}, 0 ≤ 𝑞 < 𝑎.
By Proposition 11.16, for each 𝑞 ∈ 𝐸 we have
P{𝑌𝑡 (𝑞) = 𝑋𝑡 (𝑞) and 𝑍𝑡 (𝑞) = 𝑋𝑡− (𝑞) for all 𝑡 ≥ 0} = 1. (11.48)
Consequently, for every 𝑞 ∈ [0, 𝑎] the process {𝑌𝑡 (𝑞) : 𝑡 ≥ 0} is a.s. càdlàg and
solves (11.47), so it is a CBI-process with distribution K𝑞 on 𝐷 [0, ∞) + given by
(11.20). In view of (11.4) and (11.5), for each 𝑞 ∈ [0, 𝑎] we have
∫ 𝑡 ∫ 𝑍𝑠 (𝑞) ∫ 𝑞 ∫ 𝑡
𝑌𝑡 (𝑞) = 𝜇(𝑞) + 𝑊 (d𝑠, d𝑢) + 𝛽 𝑦 d𝑦 𝑍 𝑠 (𝑞)d𝑠
∫ 𝑡0 0 ∫ 𝑡∫ ∫ ∞∫ 0
𝑍𝑠 (𝑞)
0
− 𝑏0 𝑍 𝑠 (𝑞)d𝑠 + 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)

0 0 {0} 0 0
∫ 𝑡 ∫ 𝑞 ∫ ∞ ∫ 𝑍𝑠 (𝑞)
+ 𝜂(𝑞)𝑡 + 𝑧𝑀 (d𝑠, d𝑦, d𝑧, d𝑢). (11.49)
0 0 0 0
Let 𝑌𝑡 (d𝑥) and 𝑍𝑡 (d𝑥) denote the random measures on [0, 𝑎] induced by 𝑌𝑡 and
𝑍𝑡 ∈ 𝐹 [0, 𝑎], respectively. For any 𝑓 ∈ 𝐶 1 [0, 𝑎] one can use Fubini’s theorem to
see
∫ 𝑎
⟨𝑌𝑡 , 𝑓 ⟩ = 𝑓 (𝑎)𝑌𝑡 (𝑎) − 𝑓 ′ (𝑞)𝑌𝑡 (𝑞)d𝑞. (11.50)
0
There is a similar relation for 𝑍𝑡 . Fix an integer 𝑛 ≥ 1 and let 𝑞 𝑖 = 𝑖𝑎/2𝑛 for
𝑖 = 0, 1, · · · , 2𝑛 . From (11.49) it follows that
2𝑛
∑︁ 2𝑛
∑︁ 2𝑛
∑︁ ∫ 𝑡 ∫ 𝑍𝑠 (𝑞𝑖 )
′ ′ ′
𝑓 (𝑞 𝑖 )𝑌𝑡 (𝑞 𝑖 ) = 𝑓 (𝑞 𝑖 )𝜇(𝑞 𝑖 ) + 𝑓 (𝑞 𝑖 ) 𝑊 (d𝑠, d𝑢)
𝑖=1 𝑖=1 𝑖=1 0 0
2𝑛
∑︁ ∫ 𝑞𝑖 ∫ 𝑡 ∫
+ 𝑓 ′ (𝑞 𝑖 ) 𝛽 𝑦 d𝑦 d𝑠 1 {𝑥 ≤𝑞𝑖 } 𝑍 𝑠 (d𝑥)
𝑖=1 0 0 𝐸
2𝑛
∑︁ ∫ 𝑡 ∫ ∫ ∞ ∫ 𝑍𝑠 (𝑞𝑖 )
+ 𝑓 ′ (𝑞 𝑖 ) 𝑧 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)
𝑖=1 0 {0} 0 0
2𝑛
∑︁ ∫ 𝑡 ∫ 𝑞𝑖 ∫ ∞ ∫ 𝑍𝑠 (𝑞𝑖 )
′
+ 𝑓 (𝑞 𝑖 ) 𝑧𝑀 (d𝑠, d𝑦, d𝑧, d𝑢)
𝑖=1 0 0 0 0
2𝑛
∑︁ ∫ 𝑡
′
+ 𝑓 (𝑞 𝑖 ) [𝜂(𝑞 𝑖 ) − 𝑏 0 𝑍 𝑠 (𝑞 𝑖 )]d𝑠
𝑖=1 0
2𝑛
∑︁ ∫ 𝑡 ∫ 𝑍𝑠 (𝑎)
′
= 𝑓 (𝑞 𝑖 )𝜇(𝑞 𝑖 ) + 𝐹𝑛 (𝑠, 0, 𝑢)𝑊 (d𝑠, d𝑢)
𝑖=1 0 0
∫ 𝑡 ∫ ∫ 𝑎
+ d𝑠 𝑍 𝑠 (d𝑥) 𝐹𝑛 (𝑠, 𝑥 ∨ 𝑦, 0) 𝛽 𝑦 d𝑦
0 𝐸 0
∫ 𝑡∫ ∫ ∞∫ 𝑍𝑠 (𝑎)
+ 𝑧𝐹𝑛 (𝑠, 0, 𝑢) 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)
0 {0} 0 0
∫ 𝑡 ∫ 𝑎 ∫ ∞ ∫ 𝑍𝑠 (𝑎)
+ 𝑧𝐹𝑛 (𝑠, 𝑦, 𝑢) 𝑀 (d𝑠, d𝑦, d𝑧, d𝑢)
0 0 0 0
∫ 2𝑛
𝑡 ∑︁
𝑓 ′ (𝑞 𝑖 ) 𝜂(𝑞 𝑖 ) − 𝑏 0 𝑍 𝑠 (𝑞 𝑖 ) d𝑠,

+ (11.51)
0 𝑖=1
where
2𝑛
∑︁
𝐹𝑛 (𝑠, 𝑦, 𝑢) = 𝑓 ′ (𝑞 𝑖 )1 {𝑦 ≤𝑞𝑖 } 1 {𝑢≤𝑍𝑠 (𝑞𝑖 ) } .
𝑖=1
By the right continuity of 𝑞 ↦→ 𝑍 𝑠 (𝑞) it is not hard to see that, as 𝑛 → ∞,

∫ 𝑎
2−𝑛 𝐹𝑛 (𝑠, 𝑦, 𝑢) → 𝐹 (𝑠, 𝑦, 𝑢) := 1 {𝑢 ≤𝑍𝑠 (𝑞) } 𝑓 ′ (𝑞)d𝑞.
𝑦
Then we can multiply (11.51) by 2−𝑛 and let 𝑛 → ∞ to get

∫ 𝑎 ∫ 𝑎 ∫ 𝑡 ∫ 𝑍𝑠 (𝑎)
′ ′
𝑓 (𝑞)𝑌𝑡 (𝑞)d𝑞 = 𝑓 (𝑞)𝜇(𝑞)d𝑞 + 𝐹 (𝑠, 0, 𝑢)𝑊 (d𝑠, d𝑢)
0 0∫ ∫ 0
∫ ∞ ∫ 𝑍𝑠 (𝑎) 0
𝑡
+ 𝑧𝐹 (𝑠, 0, 𝑢) 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)
∫0 𝑡 ∫{0}𝑎 ∫0 ∞ ∫0 𝑍𝑠 (𝑎)
+ 𝑧𝐹 (𝑠, 𝑦, 𝑢)𝑀 (d𝑠, d𝑦, d𝑧, d𝑢)
∫0 𝑡 0∫ 0 0 ∫ 𝑎
+ d𝑠 𝑍 𝑠 (d𝑥) 𝐹 (𝑠, 𝑥 ∨ 𝑦, 0) 𝛽 𝑦 d𝑦
∫0 𝑡 ∫𝐸 𝑎 0
+ d𝑠 𝑓 ′ (𝑞) [𝜂(𝑞) − 𝑏 0 𝑍 𝑠 (𝑞)]d𝑞. (11.52)

0 0
From (11.49), (11.50) and (11.52) it follows that

∫ 𝑡 ∫ 𝑍𝑠 (𝑎)
⟨𝑌𝑡 , 𝑓 ⟩ = ⟨𝜇, 𝑓 ⟩ + [ 𝑓 (𝑎) − 𝐹 (𝑠, 0, 𝑢)]𝑊 (d𝑠, d𝑢)
∫ 𝑡 ∫ 0∫ ∞0 ∫ 𝑍𝑠 (𝑎)
+ 𝑧[ 𝑓 (𝑎) − 𝐹 (𝑠, 0, 𝑢)] 𝑀˜ (d𝑠, d𝑦, d𝑧, d𝑢)
0 {0} 0 0
∫ 𝑡 ∫ 𝑎 ∫ ∞ ∫ 𝑍𝑠 (𝑎)
+ 𝑧[ 𝑓 (𝑎) − 𝐹 (𝑠, 𝑦, 𝑢)] 𝑀 (d𝑠, d𝑦, d𝑧, d𝑢)
0 0 0 0
∫ 𝑡 ∫ ∫ 𝑎
+ d𝑠 𝑍 𝑠 (d𝑥) 𝑓 (𝑥 ∨ 𝑦) 𝛽 𝑦 d𝑦
∫0 𝑡 𝐸 0
+ [⟨𝜂, 𝑓 ⟩ − 𝑏 0 ⟨𝑍 𝑠 , 𝑓 ⟩]d𝑠. (11.53)

0
Proposition 11.18 The measure-valued process {𝑌𝑡 : 𝑡 ≥ 0} has a càdlàg modifica-

tion.
Proof By (11.53) one can see {⟨𝑌𝑡 , 𝑓 ⟩ : 𝑡 ≥ 0} has a càdlàg modification for every
𝑓 ∈ 𝐶 1 (𝐸). Let 𝒰 be the countable set of polynomials having rational coefficients.
Then 𝒰 is uniformly dense in both 𝐶 1 (𝐸) and 𝐶 (𝐸). For 𝑓 ∈ 𝒰 let {𝑌𝑡∗ ( 𝑓 ) : 𝑡 ≥ 0}
be a càdlàg modification of {⟨𝑌𝑡 , 𝑓 ⟩ : 𝑡 ≥ 0}. By removing a null set from Ω if
necessary, we obtain a càdlàg process {𝑌𝑡∗ : 𝑡 ≥ 0} of rational linear functionals on
𝒰, which can immediately be extended to a càdlàg process of real linear functionals
on 𝐶 (𝐸). By Riesz’s representation, the latter determines a càdlàg measure-valued
process, which is clearly a modification of {𝑌𝑡 : 𝑡 ≥ 0}. □
Proposition 11.19 The càdlàg modification of {𝑌𝑡 : 𝑡 ≥ 0} solves the following

martingale problem: For every 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐶 (𝐸),
∫ 𝑡 ∫ ∫
𝐺 (⟨𝑌𝑡 , 𝑓 ⟩) = 𝐺 (⟨𝜇, 𝑓 ⟩) + 𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩)d𝑠 𝑌𝑠 (d𝑥) 𝑓 (𝑥 ∨ 𝑦) 𝛽 𝑦 d𝑦
∫ 𝑡 0 𝐸∫ 𝐸
𝑡
− 𝑏0 𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩)⟨𝑌𝑠 , 𝑓 ⟩d𝑠 + 𝑐 𝐺 ′′ (⟨𝑌𝑠 , 𝑓 ⟩)⟨𝑌𝑠 , 𝑓 2 ⟩d𝑠
∫ 𝑡 0 ∫ ∫ ∞ 0

+ d𝑠 𝑌𝑠 (d𝑥) 𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧 𝑓 (𝑥) − 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩)
0 𝐸
0
− 𝑧 𝑓 (𝑥)𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑚 0 (d𝑧) + local mart.
∫ 𝑡 ∫ ∫ ∫ ∞

+ d𝑠 𝑌𝑠 (d𝑥) d𝑦 𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧 𝑓 (𝑥 ∨ 𝑦)
0 𝐸 𝐸 ∫ 0
𝑡
𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩)⟨𝜂, 𝑓 ⟩d𝑠.

− 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩) 𝑛 𝑦 (d𝑧) + (11.54)
0
Proof We first assume 𝑓 ∈ 𝐶 1 (𝐸). Since the càdlàg process {𝑌𝑡 : 𝑡 ≥ 0} has at most
countably many discontinuity points, by (11.53) and Itô’s formula, we get
∫ 𝑡
𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) ⟨𝜂, 𝑓 ⟩ − 𝑏 0 ⟨𝑍 𝑠 , 𝑓 ⟩ d𝑠

𝐺 (⟨𝑌𝑡 , 𝑓 ⟩) = 𝐺 (⟨𝜇, 𝑓 ⟩) +
∫ 𝑡 ∫ 𝑍0𝑠 (𝑎)
2
𝐺 ′′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑓 (𝑎) − 𝐹 (𝑠, 0, 𝑢) d𝑢

+𝑐 d𝑠
∫ 𝑡0 0 ∫ ∫
′
+ 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩)d𝑠 𝑍 𝑠 (d𝑥) 𝑓 (𝑥 ∨ 𝑦) 𝛽 𝑦 d𝑦
∫0 𝑡 ∫ 𝑍𝑠 (𝑎) ∫ 𝐸∞ 𝐸

+ d𝑠 d𝑢 𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧[ 𝑓 (𝑎) − 𝐹 (𝑠, 0, 𝑢)]
0 0 0
− 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩) − 𝑧[ 𝑓 (𝑎) − 𝐹 (𝑠, 0, 𝑢)]𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑚 0 (d𝑧)

∫ 𝑡 ∫ 𝑍𝑠 (𝑎) ∫ ∫ ∞
+ d𝑠 d𝑢 d𝑦 𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧[ 𝑓 (𝑎) − 𝐹 (𝑠, 𝑦, 𝑢)]
0 0 𝐸 0

− 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩) 𝑛 𝑦 (d𝑧) + local mart.
For 𝑠, 𝑢 > 0 let 𝑍 𝑠−1 (𝑢) = inf{𝑞 ≥ 0 : 𝑍 𝑠 (𝑞) > 𝑢}. It is easy to see that {𝑞 ≥ 0 : 𝑢 ≤
𝑍 𝑠 (𝑞)} = [𝑍 𝑠−1 (𝑢), ∞), except for at most countably many 𝑢 > 0. Then the above
equality remains true when
∫ 𝑎
𝑓 (𝑎) − 𝐹 (𝑠, 𝑦, 𝑢) = 𝑓 (𝑎) − 1 {𝑢 ≤𝑍𝑠 (𝑞) } 𝑓 ′ (𝑞)d𝑞
𝑦
is replaced by
∫ 𝑎
𝑓 (𝑎) − 1 {𝑍𝑠−1 (𝑢) ≤𝑞 } 𝑓 ′ (𝑞)d𝑞 = 𝑓 (𝑍 𝑠−1 (𝑢) ∨ 𝑦).
𝑦
It follows that
∫ 𝑡
𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) ⟨𝜂, 𝑓 ⟩ − 𝑏 0 ⟨𝑍 𝑠 , 𝑓 ⟩ d𝑠

𝐺 (⟨𝑌𝑡 , 𝑓 ⟩) = 𝐺 (⟨𝜇, 𝑓 ⟩) +
∫ 𝑡 ∫ 𝑍0𝑠 (𝑎)
+𝑐 d𝑠 𝐺 ′′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑓 (𝑍 𝑠−1 (𝑢)) 2 d𝑢
∫ 𝑡0 0 ∫ ∫
′
+ 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩)d𝑠 𝑍 𝑠 (d𝑥) 𝑓 (𝑥 ∨ 𝑦) 𝛽 𝑦 d𝑦
∫0 𝑡 ∫ 𝑍𝑠 (𝑎) ∫ 𝐸∞ 𝐸
𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧 𝑓 (𝑍 𝑠−1 (𝑢))

+ d𝑠 d𝑢
0 0 0
− 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩) − 𝑧 𝑓 (𝑍 𝑠 (𝑢))𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑚 0 (d𝑧)
−1

∫ 𝑡 ∫ 𝑍𝑠 (𝑎) ∫ ∫ ∞
𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧 𝑓 (𝑍 𝑠−1 (𝑢) ∨ 𝑦)

+ d𝑠 d𝑢 d𝑦
0 0 𝐸 0

∫ 𝑡
𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) ⟨𝜂, 𝑓 ⟩ − 𝑏 0 ⟨𝑍 𝑠 , 𝑓 ⟩ d𝑠

= 𝐺 (⟨𝜇, 𝑓 ⟩) +
∫ 𝑡 ∫ 0
+𝑐 d𝑠 𝐺 ′′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑓 (𝑥) 2 𝑍 𝑠 (d𝑥)
∫ 𝑡0 𝐸 ∫ ∫
+ 𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩)d𝑠 𝑍 𝑠 (d𝑥) 𝑓 (𝑥 ∨ 𝑦) 𝛽 𝑦 d𝑦
∫0 𝑡 ∫ ∫ 𝐸∞ 𝐸

+ d𝑠 𝑍 𝑠 (d𝑥) 𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧 𝑓 (𝑥)
0 𝐸 0
− 𝐺 (⟨𝑌𝑠 , 𝑓 ⟩) − 𝑧 𝑓 (𝑥)𝐺 ′ (⟨𝑌𝑠 , 𝑓 ⟩) 𝑚 0 (d𝑧)

∫ 𝑡 ∫ ∫ ∫ ∞

+ d𝑠 𝑍 𝑠 (d𝑥) d𝑦 𝐺 ⟨𝑌𝑠 , 𝑓 ⟩ + 𝑧 𝑓 (𝑥 ∨ 𝑦)
0 𝐸 𝐸 0

For each 𝑞 ∈ [0, 𝑎] the càdlàg process {𝑋𝑡 (𝑞) : 𝑡 ≥ 0} has at most countably many
discontinuity points 𝐴𝑞 := {𝑡 > 0 : 𝑋𝑡− (𝑞) ≠ 𝑋𝑡 (𝑞)}. Then 𝑍𝑡 (𝑞) = 𝑌𝑡 (𝑞) for all
𝑞 ∈ [0, 𝑎] and all 𝑡 ∈ [0, ∞) \ 𝐴, where 𝐴 := 𝐴 𝑎 ∪ (∪𝑣 ∈𝑄𝐸 𝐴𝑣 ) is a countable subset
of [0, ∞). It follows that (11.54) holds for 𝑓 ∈ 𝐶 1 (𝐸). For an arbitrary 𝑓 ∈ 𝐶 (𝐸),
we get (11.54) by an approximation argument. □
The martingale problem (11.54) is clearly a special case of one of those discussed
in Theorem 7.16. Let us define the branching mechanism Φ on 𝐸 by
Φ(𝑥, 𝑓 ) = 𝜙0 ( 𝑓 (𝑥)) − Ψ(𝑥, 𝑓 ), 𝑥 ∈ 𝐸, 𝑓 ∈ 𝐵(𝐸) + , (11.55)
where
∫ ∫ ∫ ∞
1 − e−𝑧 𝑓 ( 𝑥∨𝑦) 𝑛 𝑦 (d𝑧).

Ψ(𝑥, 𝑓 ) = 𝑓 (𝑥 ∨ 𝑦) 𝛽 𝑦 d𝑦 + d𝑦
𝐸 𝐸 0
By Theorem 7.16 we have the following:
Theorem 11.20 The measure-valued process {𝑌𝑡 : 𝑡 ≥ 0} is a non-local branching

𝜂
immigration superprocess in 𝑀 (𝐸) with transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by,
+
for 𝑓 ∈ 𝐵(𝐸) ,
∫ ∫ 𝑡
− ⟨𝜈, 𝑓 ⟩ 𝜂
e 𝑄 𝑡 (𝜇, d𝜈) = exp − ⟨𝜇, 𝑉𝑡 𝑓 ⟩ − ⟨𝜂, 𝑉𝑠 𝑓 ⟩d𝑠 , (11.56)
𝑀 (𝐸) 0
where (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) is the unique locally bounded positive solution of

∫ 𝑡
𝑉𝑡 𝑓 (𝑥) = 𝑓 (𝑥) − Φ(𝑥, 𝑉𝑠 𝑓 )d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (11.57)
0
The above theorem gives a representation of the stochastic flow in terms of a non-
local branching immigration superprocess. The branching mechanism Φ defined by
(11.55) has local part (𝑥, 𝑓 ) ↦→ 𝜙0 ( 𝑓 (𝑥)) and non-local part (𝑥, 𝑓 ) ↦→ Ψ(𝑥, 𝑓 ); see
Example 2.8. The spatial motion of {𝑌𝑡 : 𝑡 ≥ 0} is trivial. Heuristically, when an
infinitesimal particle dies at site 𝑥 ∈ 𝐸, some offspring are born at this site according
to the local branching mechanism and some are born in the interval [𝑥, 𝑎] according
to the non-local branching mechanism. The measure 𝜂 governs the immigration.
Therefore the branching of an infinitesimal particle located at 𝑥 ∈ 𝐸 does not make
any influence on the population in the interval [0, 𝑥). This explains the Markov
property of the path-valued growing process

{𝑋 (𝑞) : 𝑞 ∈ 𝐸 } = (𝑋𝑡 (𝑞))𝑡 ≥0 : 𝑞 ∈ 𝐸 = (𝑌𝑡 [0, 𝑞] : 𝑡 ≥ 0) : 𝑞 ∈ 𝐸 .
For any 𝑞 ∈ [0, 𝑎] and 𝜇 ∈ 𝑀 [0, 𝑎] we define the restriction 𝜇| 𝑞 ∈ 𝑀 [0, 𝑞] by
𝜇| 𝑞 (d𝑥) = 1 [0,𝑞] (𝑥)𝜇(d𝑥), 𝑥 ∈ [0, 𝑎]. (11.58)

𝜂
Theorem 11.21 Let 𝑋 = (Ω, 𝒢, 𝒢𝑡 , 𝑌𝑡 , Q 𝜇 ) be a right continuous realization of the
𝜂
immigration superprocess with transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by (11.56) and
(11.57). Let 𝑞 ≥ 𝑝 ∈ [0, 𝑎]. Then for any 𝑓 ∈ 𝐵[0, ∞) + and 𝑔 ∈ 𝐵( [0, ∞) × 𝐸) +
with compact supports, we have
∫ ∞
𝜂
Q 𝜇 exp − ⟨𝑌𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩ + 𝑓 (𝑠)𝑌𝑠 [0, 𝑞] d𝑠
0 ∫ ∞
𝜂
= Q 𝜇 exp − ⟨𝑌𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩ + 𝑢 𝑝,𝑞 (𝑠, 𝑓 )𝑌𝑠 [0, 𝑝] d𝑠
0 ∫ ∞
· exp − 𝜇( 𝑝, 𝑞]𝑢 𝑞 (0, 𝑓 ) − 𝜂( 𝑝, 𝑞] 𝑢 𝑞 (𝑠, 𝑓 )d𝑠 ,
0
where 𝑠 ↦→ 𝑢 𝑞 (𝑠, 𝑓 ) and 𝑠 ↦→ 𝑢 𝑝,𝑞 (𝑠, 𝑓 ) are defined by (11.8) and (11.11), respec-
tively.
Proof This follows from (11.10) and Theorem 11.17 together with the construction
of the immigration superprocess. □
The above theorem gives a convenient formulation of the Markov property of

the path-valued growing process. In view of (11.55), we have Φ(·, 1 [0, 𝑝] 𝑓 ) =
1 [0, 𝑝] Φ(·, 𝑓 ) for 𝑝 ∈ [0, 𝑎] and 𝑓 ∈ 𝐵(𝐸) + . By this observation and Corollary 9.23
it is not hard to see that
∫ ∞ ∫ ∞
𝜂
Q 𝜇 exp − ⟨𝑌𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩d𝑠 = exp − ⟨𝜇| 𝑝 , 𝑢 0 ⟩ − ⟨𝜂| 𝑝 , 𝑢 𝑠 ⟩d𝑠 ,
0 0
where (𝑟, 𝑥) ↦→ 𝑢𝑟 (𝑥) is the unique bounded positive solution to

∫ ∞ ∫ ∞
𝑢𝑟 (𝑥) + Φ(𝑥, 𝑢 𝑠 )d𝑠 = 𝑔𝑠 (𝑥)d𝑠, 𝑟 ≥ 0, 𝑥 ∈ 𝐸 .
𝑟 𝑟
Given an admissible family of branching mechanisms {𝜙𝑞 : 𝑞 ∈ 𝐸 } indexed

by 𝐸 = [0, 𝑎) for 0 < 𝑎 ≤ ∞, we can take an increasing sequence {𝑎 𝑘 } ⊂ [0, 𝑎)
such that 𝑎 𝑘 → 𝑎 as 𝑘 → ∞. By Theorem 11.20, for each 𝑘 ≥ 1 we construct an
immigration superprocess {𝑌𝑡(𝑘) : 𝑡 ≥ 0} in 𝑀 [0, 𝑎 𝑘 ]. Those processes determine
a Markov process {𝑌𝑡 : 𝑡 ≥ 0} in ℳ(𝐸), the space of Radon measures on 𝐸
furnished with the topology of vague convergence. The results established above can
be extended to {𝑌𝑡 : 𝑡 ≥ 0} with suitable modifications.
11.5 The Excursion Law
Let 𝐸 = [0, 𝑎] for some 𝑎 > 0. Let {𝜙𝑞 : 𝑞 ∈ 𝐸 } be an admissible family of branching
mechanisms such that 𝜙0′ (∞) = ∞. By Theorem 11.20, we can define the transition
semigroup (𝑄 𝑡 )𝑡 ≥0 of a non-local branching superprocess by, for 𝑓 ∈ 𝐵(𝐸) + ,
11.5 The Excursion Law 331
∫
e− ⟨𝜈, 𝑓 ⟩ 𝑄 𝑡 (𝜇, d𝜈) = exp − ⟨𝜇, 𝑉𝑡 𝑓 ⟩ ,

𝑀 (𝐸)
where (𝑡, 𝑥) ↦→ 𝑉𝑡 𝑓 (𝑥) is the unique locally bounded positive solution of (11.57).
Let (𝑄 ◦𝑡 )𝑡 ≥0 denote the restriction of the semigroup to 𝑀 (𝐸) ◦ .
Theorem 11.22 The cumulant semigroup (𝑉𝑡 )𝑡 ≥0 defined by (11.57) admits the rep-
resentation, for 𝑓 ∈ 𝐵(𝐸) + ,
∫
𝑉𝑡 𝑓 (𝑥) = (1 − e− ⟨𝜈, 𝑓 ⟩ )𝐿 𝑡 (𝑥, d𝜈), 𝑡 > 0, 𝑥 ∈ 𝐸, (11.59)
𝑀 (𝐸) ◦
where (𝐿 𝑡 (𝑥, ·))𝑡 >0 is a 𝜎-finite entrance law for (𝑄 ◦𝑡 )𝑡 ≥0 .
Proof It is easy to see that the branching mechanism Φ defined by (11.55) has local
projection
∫ ∫ ∞
Φ1 (𝑥, 𝜆) = 𝜙0 (𝜆) − 𝜆 𝛽𝑦 + 𝑧𝑛 𝑦 (d𝑧) d𝑦
𝐸 0
∫ 𝑥 ∫ ∞
−𝜆𝑧
+ d𝑦 e − 1 + 𝜆𝑧 𝑛 𝑦 (d𝑧),
0 0
which is bounded below by the constant local branching mechanism

∫ ∫ ∞
𝜙∗ (𝜆) := 𝜙0 (𝜆) − 𝜆 𝛽𝑦 + 𝑧𝑛 𝑦 (d𝑧) d𝑦.
𝐸 0
Since 𝜙0′ (∞) = ∞ implies 𝜙∗′ (∞) = ∞, the result follows by Corollary 5.33. □
In the situation of Theorem 11.22, the entrance law (𝐿 𝑡 (0, ·))𝑡 >0 determines an
excursion law N0 on 𝐷 ( [0, ∞), 𝑀 (𝐸)). Recall that for 𝑞 ∈ [0, 𝑎] and 𝜇 ∈ 𝑀 [0, 𝑎]
the restriction 𝜇| 𝑞 ∈ 𝑀 [0, 𝑞] is defined by (11.58). Let ℱ𝑞 be the 𝜎-algebra on
𝐷 ( [0, ∞), 𝑀 (𝐸)) generated by the restricted coordinate process {𝑤 𝑡 | 𝑞 : 𝑡 ≥ 0}. For
𝑤 ∈ 𝐷 ( [0, ∞), 𝑀 (𝐸)) let
∫ ∞
𝜎𝑞 (𝑤) = 𝑤 𝑠 [0, 𝑞]d𝑠. (11.60)
0
Given 𝑝 ∈ 𝐸 and 𝑔 ∈ 𝐵( [0, ∞) × 𝐸) + with compact support, we write

∫ ∞
𝐻 𝑝 (𝑤) = ⟨𝑤 𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩d𝑠. (11.61)
0
Let 𝑋 = (Ω, 𝒢, 𝒢𝑡 , 𝑋𝑡 , Q 𝜇 ) be a right continuous realization of the superprocess

with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . By Theorems 5.15 and 8.27, we have
∫ ∞
N0 1 − e−𝐻 𝑝 (𝑤) = − log Q 𝛿0 exp −

⟨𝑋𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩d𝑠 . (11.62)
0
Theorem 11.23 Let 𝑞 ≥ 𝑝 ∈ 𝐸 and 𝐺 ∈ pℱ𝑝 . Then for any 𝑓 ∈ 𝐵[0, ∞) + with
compact support, we have
∫ ∞
N0 𝐺 1 − exp − 𝑤 𝑠 [0, 𝑞] 𝑓 (𝑠)d𝑠
0 ∫ ∞
= N0 𝐺 1 − exp − 𝑤 𝑠 [0, 𝑝]𝑢 𝑝,𝑞 (𝑠, 𝑓 )d𝑠 . (11.63)
0
Proof Let 𝐻 𝑝 (𝑤) be given by (11.61) for 𝑔 ∈ 𝐵( [0, ∞)×𝐸) + with compact supports.
By Theorem 11.21 and the relation (11.62), for any 𝑓 ∈ 𝐵[0, ∞) + we have
∫ ∞
N0 1 − exp − 𝐻 𝑝 (𝑤) − 𝑤 𝑠 [0, 𝑞] 𝑓 (𝑠)d𝑠
∫ 0∞

= − log Q 𝛿0 exp − ⟨𝑋𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩ + 𝑋𝑠 [0, 𝑞] 𝑓 (𝑠) d𝑠
∫0 ∞

= − log Q 𝛿0 exp − ⟨𝑋𝑠 | 𝑝 , 𝑔(𝑠, ·)⟩ + 𝑢 𝑝,𝑞 (𝑠, 𝑓 ) 𝑋𝑠 [0, 𝑝] d𝑠
0 ∫ ∞
= N0 1 − exp − 𝐻 𝑝 (𝑤) − 𝑢 𝑝,𝑞 (𝑠, 𝑓 )𝑤 𝑠 [0, 𝑝]d𝑠 .
0
It follows that
∫ ∞

N0 exp − 𝐻 𝑝 (𝑤) 1 − exp − 𝑤 𝑠 [0, 𝑞] 𝑓 (𝑠)d𝑠
∫ 0∞
= N0 1 − exp − 𝐻 𝑝 (𝑤) − 𝑤 𝑠 [0, 𝑞] 𝑓 (𝑠)d𝑠
h i0
− N0 1 − exp − 𝐻 𝑝 (𝑤)
∫ ∞
= N0 1 − exp − 𝐻 𝑝 (𝑤) − 𝑤 𝑠 [0, 𝑝]𝑢 𝑝,𝑞 (𝑠, 𝑓 )d𝑠
h i0
− N0 1 − exp − 𝐻 𝑝 (𝑤)
∫ ∞

= N0 exp − 𝐻 𝑝 (𝑤) 1 − exp − 𝑤 𝑠 [0, 𝑝]𝑢 𝑝,𝑞 (𝑠, 𝑓 )d𝑠 .
0
Then we get (11.63) by a monotone class argument. □
Corollary 11.24 In the setup of Theorem 11.23, for any 𝜃 > 0 we have
h i
N0 𝐺 (1 − e−𝜃 𝜎𝑞 (𝑤) ) = N0 𝐺 1 − exp − 𝜙 𝑝 ◦ 𝜙−1

𝑞 (𝜃)𝜎 𝑝 (𝑤) .
Proof We first apply Theorem 11.23 for 𝑓 = 1 [0,𝑡 ] . Then, by letting 𝑡 → ∞ and
using (11.25), we get the result. □
According to Theorem 11.17, for any 𝑥 ≥ 0 and 𝑞 ∈ [0, 𝑎] the process {𝑋𝑡 [0, 𝑞] :
𝑡 ≥ 0} under Q 𝑥 𝛿0 is a CB-process with branching mechanism 𝜙𝑞 and initial value
𝑋0 [0, 𝑞] = 𝑥. For 𝑤 ∈ 𝐷 ( [0, ∞), 𝑀 (𝐸)) let 𝐴(𝑤) = inf{𝑞 ∈ 𝐸 : 𝜎𝑞 (𝑤) = ∞},
11.5 The Excursion Law 333
where 𝜎𝑞 (𝑤) is defined by (11.60). By Corollary 5.21 and the relation (11.62), we
have
N0 1 − e−𝜃 𝜎𝑞 (𝑤) = 𝜙−1

𝑞 (𝜃), 𝜃 > 0, (11.64)
which implies
N0 {𝐴(𝑤) ≤ 𝑞} = N0 𝜎𝑞 (𝑤) = ∞ = 𝜙−1

𝑞 (0). (11.65)
From (11.64) it follows that, for 𝑞 ∈ [0, 𝑎] and 𝜃 > 0,

1
N0 𝜎𝑞 (𝑤)e−𝜃 𝜎𝑞 (𝑤) 1 { 𝐴(𝑤) >𝑞 } =

.
𝜙𝑞′ (𝜙−1
𝑞 (𝜃))
By the continuity of 𝜆 ↦→ 𝜙𝑞′ (𝜆) and 𝜃 ↦→ 𝜙−1

𝑞 (𝜃), for 𝑞 ∈ (0, 𝑎] and 𝜃 > 0,
1
N0 𝜎𝑞− (𝑤)e−𝜃 𝜎𝑞− (𝑤) 1 { 𝐴(𝑤) ≥𝑞 } =

.
𝜙𝑞′ (𝜙−1
𝑞 (𝜃))
In particular, if 𝑏 𝑞 = 𝜙𝑞′ (0) < 0, we have 𝜙𝑞′ (𝜙−1

𝑞 (0)) > 0 and
1
0 < N0 𝜎𝑞− (𝑤)1 { 𝐴(𝑤) ≥𝑞 } = < ∞. (11.66)
𝜙𝑞′ (𝜙−1
𝑞 (0))
By a modification of the proof of Theorem 11.9 we have the following:
Theorem 11.25 Suppose that for some 𝑞 ∈ (0, 𝑎] we have

d −1
𝑏 𝑞 = 𝜙𝑞′ (0) < 0, 𝜙 (0) 𝑟=𝑞 > 0.
d𝑟 𝑟
Then, for any 𝐺 ∈ bℱ𝑞− ,
N0 [𝐺 | 𝐴(𝑤) = 𝑞] = 𝜙𝑞′ (𝜙−1

𝑞 (0))N0 𝐺𝜎𝑞− (𝑤)1 { 𝐴(𝑤) ≥𝑞 } .
Corollary 11.26 In the setup of Theorem 11.25, we have
𝜙𝑞′ (𝜙−1
𝑞 (0))
N0 [e−𝜃 𝜎𝑞− (𝑤) | 𝐴(𝑤) = 𝑞] = , 𝜃 ≥ 0.
𝜙𝑞′ (𝜙−1
𝑞 (𝜃))
Example 11.6 Let {𝜙𝑞 : 𝑞 ∈ [0, 𝑎]} be the admissible family of branching mecha-
nisms defined by (11.22). For 𝑞 ∈ [0, 𝑎] and 𝜃 > 0 we have
N0 1 − e−𝜃 𝜎𝑞 (𝑤) = 𝑞 + 𝜙−1 (𝜃 + 𝜙(−𝑞))

and
1
N0 𝜎𝑞− (𝑤)e−𝜃 𝜎𝑞− (𝑤) 1 { 𝐴(𝑤) ≥𝑞 } =

.
𝜙 ′ (𝜙−1 (𝜃 + 𝜙(−𝑞)))
In particular, if 𝑏 𝑞 = 𝜙 ′ (−𝑞) < 0, we have 𝜙 ′ (𝜙−1 (𝜙(−𝑞))) > 0 and
𝜙 ′ (𝜙−1 (𝜙(−𝑞)))
N0 e−𝜃 𝜎𝑞− (𝑤) | 𝐴(𝑤) = 𝑞 =

, 𝜃 ≥ 0.
𝜙 ′ (𝜙−1 (𝜃 + 𝜙(−𝑞)))
The main results of this chapter unify those of Dawson and Li (2012) and Li (2014).
Under the conditions of Corollary 11.5, the stochastic flow was constructed by
Bertoin and Le Gall (2000) using Bochner’s subordination. They considered a more
general branching mechanism to include Neveu’s CB-process and established con-
nections between the model and the coalescent process of Bolthausen and Sznitman
(1998). These and related structures were investigated intensively in the series of
papers by Bertoin and Le Gall (2003, 2005, 2006).
Suppose that 𝑐, 𝑏 ≥ 0 are constants, 𝑞 ↦→ 𝛾(𝑞) is a continuous increasing map
from [0, 1] into itself and 𝑧2 𝜈(d𝑧) is a finite measure on (0, 1]. Let {𝑊 (d𝑠, d𝑢)}
be a time–space Gaussian white noise on (0, ∞) × (0, 1] with intensity 2𝑐d𝑠d𝑢 and
let {𝑀 (d𝑠, d𝑧, d𝑢)} be a Poisson random measure on (0, ∞) × (0, 1] 2 with intensity
d𝑠𝜈(d𝑧)d𝑢. It was proved in Dawson and Li (2012) that for any 𝑞 ∈ [0, 1] there is a
pathwise unique positive solution 𝑋 (𝑞) = {𝑋𝑡 (𝑞) : 𝑡 ≥ 0} to the stochastic equation
∫ 𝑡 ∫ 1
𝑋𝑡 (𝑞) = 𝑞 + 1 {𝑢≤𝑋𝑠− (𝑞) } − 𝑋𝑠− (𝑞) 𝑊 (d𝑠, d𝑢)
∫0 𝑡 0

+𝑏 𝛾(𝑞) − 𝑋𝑠− (𝑞) d𝑠
0
∫ 𝑡∫ 1∫ 1
+ 𝑧 1 {𝑢≤𝑋𝑠− (𝑞) } − 𝑋𝑠− (𝑞) 𝑀 (d𝑠, d𝑧, d𝑢).
0 0 0
This gives an explicit construction of the generalized Fleming–Viot flows introduced

by Bertoin and Le Gall (2003, 2005). By the results of Bertoin and Le Gall (2006)
and Dawson and Li (2012), the flow of CBI-processes arises naturally in a hydrody-
namic limit theorem of the generalized Fleming–Viot flows. The study of the flows
originated from the investigation of the generalised random energy models intro-
duced by Derrida (1985) and Ruelle (1987) in the theory of spin glasses; see also
Bovier (2017) for the related backgrounds.
In the situation of Example 11.1, the path-valued growing process is a counterpart
of the time reversal of the tree-valued decreasing process studied by Abraham and
Delmas (2012), who considered the admissible family (11.22) obtained from a
critical branching mechanism. The explosion time was defined in Abraham and
Delmas (2012) as the smallest negative time when the tree or the total population of
the corresponding CB-process becomes finite. They gave some characterizations of
the evolution of the tree after this time under an excursion law. In particular, they also
derived the formulas in Example 11.6. Their results extended those of Aldous and
Pitman (1998), who studied similar models in the setting of Galton–Watson trees.
Let ℳ[0, ∞) be the space of Radon measures on [0, ∞) endowed with the
topology of vague convergence. We can embed 𝐷 [0, ∞) + continuously into ℳ[0, ∞)
by identifying the path 𝑤 ∈ 𝐷 [0, ∞) + and the measure 𝜈 ∈ ℳ[0, ∞) such that
𝜈(d𝑠) = 𝑤(𝑠)d𝑠 for 𝑠 ≥ 0. By an approximation argument, we can extend the
𝜇, 𝜂
transition semigroup (P 𝑝,𝑞 : 𝑞 ≥ 𝑝 ∈ 𝐸) defined by (11.10) or (11.21) to an
inhomogeneous transition semigroup on ℳ[0, ∞). A Markov process {𝑍 𝑞 : 𝑞 ∈
𝐸 } in ℳ[0, ∞) with this transition semigroup can be regarded as an extended
immigration superprocess; see Li (2014) for the details.
The long-term behavior of flow of CB-processes was discussed in Foucart and Ma
(2019). In Foucart et al. (2019), an inverse of the flow was identified by its Laplace
transform and shown to be a Markov process. A nice derivation of the stochastic
equation for continuous CBI-processes was given in Aïdékon et al. (2020+) as a
reformulation of Tanaka’s formula with an explicit construction of the time–space
Gaussian white noise.
There has also been some related progresses in constructing Dawson–Watanabe
superprocesses by strong solutions of stochastic equations. Let {𝑋𝑡 : 𝑡 ≥ 0} be a
super Brownian motion in 𝑀 (R) with density field {𝑢 𝑡 (𝑥) : 𝑡 > 0, 𝑥 ∈ R} solving
weakly the stochastic partial differential equation:
𝜕 ¤ 𝑥) + 1 Δ𝑢 𝑡 (𝑥),
√︁
𝑢 𝑡 (𝑥) = 𝑢 𝑡 (𝑥) 𝐵(𝑡, (11.67)
𝜕𝑡 2
which is a special form of (7.70). Let
∫ 𝑥
𝑋𝑡 (𝑥) = 𝑋𝑡 (−∞, 𝑥] = 𝑢 𝑡 (𝑦)d𝑦, 𝑡 ≥ 0, 𝑥 ∈ R.
−∞
It is not hard to show that on an extension of the probability space the following
stochastic equation is satisfied:
∫ 𝑡 ∫ 𝑋𝑠 ( 𝑥) ∫ 𝑡
1
𝑋𝑡 (𝑥) = 𝑋0 (𝑥) + 𝑊 (d𝑠, d𝑢) + Δ𝑋𝑠 (𝑥)d𝑠, (11.68)
0 0 2 0
where {𝑊 (d𝑠, d𝑢) : 𝑡 > 0, 𝑢 > 0} is another time–space Gaussian white noise
based on the Lebesgue measure. The pathwise uniqueness for (11.68) was proved
in Xiong (2013) by a clever idea using a backward doubly stochastic equation.
This gives a construction of the super Brownian motion by a strong solution. In
fact, Xiong (2013) studied more general stochastic equations including that of a
Fleming–Viot superprocess with Brownian mutation. The results of Xiong (2013)
were generalized in He et al. (2014) to the Lévy spatial motion and general branching
mechanism. Wang et al. (2017) proved a comparison theorem for the equation
and used the theorem to obtain well-posedness of martingale problems for some
interacting measure-valued processes. Unfortunately, it still not known whether the
pathwise uniqueness holds for (11.67).
Branching processes with logistic growth in both discrete and continuous state
spaces were introduced by Lambert (2005). The processes add quadratic death
rates to classical branching processes and model the evolution of populations with
competition. The continuous-state process can be constructed as a time-changed
Ornstein–Uhlenbeck type process in the Lamperti fashion. A systematic treatment of
general discrete- and continuous-state branching models with competition was given
in the monograph by Pardoux (2016). The continuous-state model was constructed
in Pardoux (2016) by a generalization of (10.9) with an additional nonlinear drift
term. A very interesting property of the model with competition is that the extinction
time may remain finite when the ancestral population tends to infinity as long as
the competition is strong enough. The exploration of continuous-state models in
Pardoux (2016) is mainly focused on processes with continuous sample paths. A
part of the monograph is devoted to representations of the genealogical forest of the
model, which result in several versions of the Ray–Knight theorem.
For discontinuous competition models with continuous-state, a representation
theorem of Ray–Knight type was established by Berestycki et al. (2018) in terms of
local times of suitably pruned forests. Their proof of the result is based on iteration
and fixed point arguments. A different construction of the genealogical forest was
given in Li et al. (2022) by solving a stochastic integral equation. Those extend
the results of Duquesne and Le Gall (2002) and Le Gall and Le Jan (1998a) for
CB-processes without competition.
Structured populations were studied in the monograph by Bansaye and Méléard
(2015). The first part of the monograph concerns one-dimensional models like
birth-and-death processes and variations of CB-processes. In the second part of the
monograph, the authors used measure-valued processes to model populations with
individuals carrying types such as heritable traits subject to selection and mutation.
Chapter 12
State-Dependent Immigration Structures
In this chapter we give the construction of a class of Dawson–Watanabe super-

processes with state-dependent immigration. The basic idea is to construct such a
process by adding up measure-valued paths in a suitable manner according to Pois-
son random measures defined by entrance rules. This is realized by introducing a
stochastic equation driven by the Poisson random measures and proving the exis-
tence and uniqueness of the solution. The approach provides a way of changing the
branching mechanism of a superprocess. We shall deal with processes with càdlàg
paths.
12.1 Inhomogeneous Immigration Rates
Let 𝐸 be a locally compact separable metric space. We shall use ∥·∥ to denote both the
supremum norm of functions and the total variation norm of signed measures on 𝐸.
Let 𝜉 be a Hunt process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 . We assume (𝑃𝑡 )𝑡 ≥0
preserves 𝐶0 (𝐸) and 𝑡 ↦→ 𝑃𝑡 𝑓 is continuous in the supremum norm for every 𝑓 ∈
𝐶0 (𝐸). Let 𝐴 denote the strong generator of (𝑃𝑡 )𝑡 ≥0 with domain 𝐷 0 ( 𝐴) ⊂ 𝐶0 (𝐸).
Let 𝜙 be a branching mechanism given by (2.29) or (2.30) satisfying Conditions 7.1
and 7.2. Let (𝑄 𝑡 )𝑡 ≥0 and (𝑉𝑡 )𝑡 ≥0 denote the transition semigroup and the cumulant
semigroup of the (𝜉, 𝜙)-superprocess, respectively. By Theorem 5.13 one can see
that the superprocess has a realization as a Hunt process.
Suppose that 𝜂0 is a 𝜎-finite measure on 𝐸 and 𝐻0 is a 𝜎-finite measure on 𝑀 (𝐸) ◦ .
Let ∥ · ∥ 𝜂0 denote the norm of the Banach space 𝐿 1 (𝜂0 ) of 𝜂0 -integrable functions
on 𝐸. Let ∥ · ∥ 𝐻1 denote the norm of the Banach space 𝐿 1 (𝐻1 ) of 𝐻1 -integrable
functions on 𝑀 (𝐸) ◦ , where 𝐻1 (d𝜈) = 𝜈(1)𝐻0 (d𝜈). Suppose that (𝑠, 𝑦) ↦→ 𝑞 𝑠 (𝑦)
is a positive Borel function on [0, ∞) × 𝐸 and (𝑠, 𝜈) ↦→ 𝑔𝑠 (𝜈) is a positive Borel
function on [0, ∞) × 𝑀 (𝐸) ◦ such that 𝑠 ↦→ ∥𝑞 𝑠 ∥ 𝜂0 + ∥𝑔𝑠 ∥ 𝐻1 is locally bounded on
[0, ∞). For 𝑠 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) + write

338 12 State-Dependent Immigration Structures
∫
(1 − e−𝜈 ( 𝑓 ) )𝑔𝑠 (𝜈)𝐻0 (d𝜈).
𝑞,𝑔
𝐼𝑠 ( 𝑓 ) = 𝜂0 (𝑞 𝑠 𝑓 ) + (12.1)
𝑀 (𝐸) ◦
𝑞,𝑔
Using (𝑉𝑡 )𝑡 ≥0 and the set of functionals {𝐼𝑠 : 𝑠 ≥ 0} given in (12.1), we can define
𝑞,𝑔
the transition semigroup (𝑄 𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) of an inhomogeneous immigration
superprocess by
∫ ∫ 𝑡
−𝜈 ( 𝑓 ) 𝑞,𝑔 𝑞,𝑔
e 𝑄 𝑟 ,𝑡 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡−𝑟 𝑓 ) − 𝐼𝑠 (𝑉𝑡−𝑠 𝑓 )d𝑠 , (12.2)
𝑀 (𝐸) 𝑟
where 𝜇 ∈ 𝑀 (𝐸) and 𝑓 ∈ 𝐵(𝐸) + . This is essentially a special case of the transition
semigroup defined by (9.33).
Let 𝑊ˆ be the space of paths 𝑤 : [0, ∞) → 𝑀 (𝐸) such that 𝑤 𝑡 takes values in
𝑀 (𝐸) ◦ and is càdlàg in some interval (𝛼(𝑤), 𝜁 (𝑤)) or [𝛼(𝑤), 𝜁 (𝑤)) ⊂ [0, ∞) and
takes the value 0 ∈ 𝑀 (𝐸) elsewhere. The constant path [0] taking value 0 ∈ 𝑀 (𝐸)
is included in 𝑊ˆ with 𝛼( [0]) = ∞ and 𝜁 ( [0]) = 0. Let 𝑤 𝑠 = {𝑤 𝑡∧𝑠 : 𝑡 ≥ 0} for
𝑠 ≥ 0 and 𝑤 ∈ 𝑊. ˆ We equip 𝑊ˆ with its natural 𝜎-algebras 𝒜 0 = 𝜎({𝑤 𝑠 : 𝑠 ≥ 0})
0
and 𝒜𝑡 = 𝜎({𝑤 𝑠 : 0 ≤ 𝑠 ≤ 𝑡}) for 𝑡 ≥ 0.
For 𝑥 ∈ 𝐸 let {𝜆 𝑡 (𝑥, ·) : 𝑡 ≥ 0} and {𝐿 𝑡 (𝑥, ·) : 𝑡 ≥ 0} be determined by the canoni-
cal representation (2.5) of the cumulant semigroup. Let L(𝑥, ·) be the Kuznetsov mea-
sure corresponding to the canonical entrance rule {𝐿 𝑡 (𝑥, ·) : 𝑡 > 0}. In the current
situation, this measure is carried by 𝑊. ˆ Suppose that {𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)} is a Pois-
son random measure on (0, ∞) × 𝐸 × (0, ∞) × 𝑊ˆ with intensity d𝑠𝜂0 (d𝑦)d𝑢L(𝑦, d𝑤).
For 𝑡 ≥ 0 let
∫ 𝑡 ∫ ∫ 𝑡 ∫ ∫ 𝑞𝑠 ( 𝑦) ∫
𝑌𝑡𝑞 = d𝑠 𝑞𝑠 ( 𝑦)𝜆𝑡−𝑠 ( 𝑦, ·) 𝜂0 (d𝑦) + 𝑤𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤).
0 𝐸 0 𝐸 0 ˆ
𝑊
We understand the second term on the right-hand side as an integral over the set
{(𝑠, 𝑦, 𝑢, 𝑤) : 0 < 𝑠 ≤ 𝑡, 𝑦 ∈ 𝐸, 0 < 𝑢 ≤ 𝑞 𝑠 (𝑦), 𝑤 ∈ 𝑊ˆ }
and give similar interpretations for other integrals with respect to Poisson random
𝜂
measures in this chapter. Let 𝒢𝑡 0 be the 𝜎-algebra generated by random variables
of the form
∫ ∞∫ ∫ ∞∫
ℎ𝑡 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤),
0 𝐸 0 ˆ
𝑊
where
ℎ𝑡 (𝑠, 𝑦, 𝑢, 𝑤) = ℎ(𝑠, 𝑦, 𝑢, 𝑤 𝑡−𝑠 )1 {𝑠 ≤𝑡 , 𝛼(𝑤) ≤𝑡−𝑠 } (12.3)
for some ℎ ∈ p(ℬ((0, ∞) × 𝐸 × (0, ∞)) × 𝒜 0 ).

𝜂
Proposition 12.1 The pair {(𝑌𝑡𝑞 , 𝒢𝑡 0 ) : 𝑡 ≥ 0} defined above is an inhomogeneous
immigration superprocess with transition semigroup (𝑄 𝑡𝑞,0 )𝑡 ≥0 given by (12.1) and
(12.2) with 𝑔𝑠 ≡ 0.
12.1 Inhomogeneous Immigration Rates 339
Proof The arguments are based on similar ideas as the proof of Theorem 9.41,
but more careful calculations are needed here. Let 𝑡 ≥ 𝑟 ≥ 0 and let 𝐹 be a
𝜂
𝒢𝑟 0 -measurable random variable of the form
∫ ∞∫ ∫ ∞∫
𝐹 = exp − ℎ𝑟 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤) ,
0 𝐸 0 ˆ
𝑊
where
ℎ𝑟 (𝑠, 𝑦, 𝑢, 𝑤) = ℎ(𝑠, 𝑦, 𝑢, 𝑤 𝑟−𝑠 )1 {𝑠 ≤𝑟 , 𝛼(𝑤) ≤𝑟−𝑠 }
for some ℎ ∈ p(ℬ((0, ∞) × 𝐸 × (0, ∞)) × 𝒜 0 ). For 𝑓 ∈ 𝐵(𝐸) + we shall prove

∫ 𝑡
𝑞
P 𝐹e−𝑌𝑡 ( 𝑓 ) = P 𝐹 exp − 𝑌𝑟𝑞 (𝑉𝑡−𝑟 𝑓 ) −

𝜂0 (𝑞 𝑠 𝑉𝑡−𝑠 𝑓 )d𝑠 , (12.4)
𝑟
𝜂
which implies the desired Markov property of {(𝑌𝑡𝑞 , 𝒢𝑡 0 )}. Let 𝑓𝑡 (𝑠, 𝑦, 𝑢, 𝑤) =
𝑤 𝑡−𝑠 ( 𝑓 )1 {0<𝑢≤𝑞𝑠 ( 𝑦) } and 𝐹𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤) = ℎ𝑟 (𝑠, 𝑦, 𝑢, 𝑤) + 𝑓𝑡 (𝑠, 𝑦, 𝑢, 𝑤). Then

P 𝐹 exp{−𝑌𝑡𝑞 ( 𝑓 )}
∫ 𝑡∫ ∫ ∞∫
= P exp − 𝐹𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0 𝐸 0 𝑊ˆ
∫ 𝑡 ∫
− d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, 𝑓 )𝜂0 (d𝑦)
0 𝐸
∫ 𝑡 ∫ ∫ ∞
L 𝑦, 1 − e−𝐹𝑟 ,𝑡 (𝑠,𝑦,𝑢,𝑤) d𝑢

= exp − d𝑠 𝜂0 (d𝑦)
0 𝐸 0
∫ 𝑡 ∫
0 𝐸
∫ 𝑟 ∫ ∫ ∞
L 𝑦, 1 − e−𝐹𝑟 ,𝑡 (𝑠,𝑦,𝑢,𝑤) d𝑢

= exp − d𝑠 𝜂0 (d𝑦)
0 𝐸 0
∫ 𝑡 ∫ ∫ ∞
L 𝑦, 1 − e− 𝑓𝑡 (𝑠,𝑦,𝑢,𝑤) d𝑢

− d𝑠 𝜂0 (d𝑦)
𝑟 𝐸 0
∫ 𝑡 ∫
0 𝐸
∫ 𝑟 ∫ ∫ ∞
L 𝑦, 1 − e−ℎ𝑟 (𝑠,𝑦,𝑢,𝑤) d𝑢

= exp − d𝑠
0 𝐸 0
∫ ∞
−ℎ𝑟 (𝑠,𝑦,𝑢,𝑤)
(1 − e− 𝑓𝑡 (𝑠,𝑦,𝑢,𝑤) ) d𝑢 𝜂0 (d𝑦)

+ L(𝑦, e
0
∫ 𝑡 ∫ ∫ ∞
L 𝑦, 1 − e− 𝑓𝑡 (𝑠,𝑦,𝑢,𝑤) d𝑢

− d𝑠 𝜂0 (d𝑦)
𝑟 𝐸 0
∫ 𝑡 ∫
0 𝐸
∫ 𝑟 ∫ ∫ ∞

= exp − d𝑠
0 𝐸 0
∫ 𝑞𝑠 ( 𝑦)
L(𝑦, e−ℎ𝑟 (𝑠,𝑦,𝑢,𝑤) (1 − e−𝑤𝑡−𝑠 ( 𝑓 ) ) d𝑢 𝜂0 (d𝑦)

+
0
∫ 𝑡 ∫
𝑞 𝑠 (𝑦)L 𝑦, (1 − e−𝑤𝑡−𝑠 ( 𝑓 ) ) 𝜂0 (d𝑦)

− d𝑠
𝑟 𝐸
∫ 𝑡 ∫
− d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, 𝑓 )𝜂0 (d𝑦) .
0 𝐸
Let 𝑔𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤) = 𝑤 𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 )1 {0<𝑢≤𝑞𝑠 ( 𝑦) } . Since ℎ𝑟 (𝑠, 𝑦, 𝑢, [0]) = 0, by Corol-

lary 8.25 we have

P 𝐹 exp{−𝑌𝑡𝑞 ( 𝑓 )}
∫ 𝑟 ∫ ∫ ∞

= exp − d𝑠
∫ 𝑞𝑠0( 𝑦) 𝐸 0
−ℎ𝑟 (𝑠,𝑦,𝑢,𝑤)
(1 − e−𝑤𝑟−𝑠 (𝑉𝑡−𝑟 𝑓 ) ) d𝑢 𝜂0 (d𝑦)

+ L 𝑦, e
∫0 𝑟 ∫
− d𝑠 𝑞 𝑠 (𝑦) [𝜆𝑟−𝑠 (𝑦, 𝑉𝑡−𝑟 𝑓 ) − 𝜆 𝑡−𝑠 (𝑦, 𝑓 )]𝜂0 (d𝑦)
∫0 𝑡 ∫ 𝐸 ∫
− d𝑠 𝑞 𝑠 (𝑦)𝜂0 (d𝑦) (1 − e−𝜈 ( 𝑓 ) )𝐿 𝑡−𝑠 (𝑦, d𝑤)
𝑟 𝐸 𝑀 (𝐸) ◦
∫ 𝑡 ∫
0 ∫ 𝑟 𝐸∫ ∫ ∞

= exp − d𝑠
∫ ∞0 𝐸 0
−ℎ𝑟 (𝑠,𝑦,𝑢,𝑤) −𝑔𝑟 ,𝑡 (𝑠,𝑦,𝑢,𝑤)
+ L 𝑦, e (1 − e ) d𝑢 𝜂0 (d𝑦)
∫0 𝑟 ∫ ∫ 𝑡
− d𝑠 𝑞 𝑠 (𝑦)𝜆𝑟−𝑠 (𝑦, 𝑉𝑡−𝑟 𝑓 )𝜂0 (d𝑦) − 𝜂0 (𝑞 𝑠 𝑉𝑡−𝑠 𝑓 )d𝑠
0 ∫ 𝑟 𝐸∫ ∫ ∞ 𝑟
−𝐺𝑟 ,𝑡 (𝑠,𝑦,𝑢,𝑤)
= exp − d𝑠 𝜂0 (d𝑦) L(𝑦, 1 − e )d𝑢
∫ 𝑟0 ∫ 𝐸 0 ∫ 𝑡
0 ∫ 𝐸𝑟 ∫ ∫ ∞ ∫ 𝑟
= P exp − 𝐺 𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)

ˆ
∫ 𝑟 ∫0 𝐸 0 𝑊 ∫ 𝑡
0 ∫𝐸 𝑟 ∫ ∫ ∞ ∫ 𝑟
= P 𝐹 exp − 𝐺 𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)

ˆ
∫ 𝑟 ∫0 𝐸 0 𝑊 ∫ 𝑡
0 𝐸 ∫ 𝑡 𝑟
= P 𝐹 exp − 𝑌𝑟𝑞 (𝑉𝑡−𝑟 𝑓 ) − 𝜂0 (𝑞 𝑠 𝑉𝑡−𝑠 𝑓 )d𝑠 ,
𝑟
12.1 Inhomogeneous Immigration Rates 341
where 𝐺 𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤) = ℎ𝑟 (𝑠, 𝑦, 𝑢, 𝑤) + 𝑔𝑟 ,𝑡 (𝑠, 𝑦, 𝑢, 𝑤). This proves (12.4). □
For 𝜈 ∈ 𝑀 (𝐸) ◦ let Q(𝜈, ·) denote the Kuznetsov measure on 𝑊ˆ corresponding

to the closed entrance law {𝑄 ◦𝑡 (𝜈, ·) : 𝑡 ≥ 0}. Clearly, this measure is supported by
𝑊ˆ 1 := {𝑤 ∈ 𝑊ˆ : 𝛼(𝑤) = 0, 𝑤 0 ∈ 𝑀 (𝐸) ◦ }. Suppose that {𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)}
is a Poisson random measure on (0, ∞) × 𝑀 (𝐸) ◦ × (0, ∞) × 𝑊ˆ with intensity
d𝑠𝐻0 (d𝜈)d𝑢Q(𝜈, d𝑤). For 𝑡 ≥ 0 let
∫ 𝑡 ∫ ∫ 𝑔𝑠 (𝜈) ∫
𝑔
𝑌𝑡 = 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
and let 𝒢𝑡𝐻0 be the 𝜎-algebra generated by random variables of the form
∫ ∞∫ ∫ ∞∫
𝐻𝑡 (𝑠, 𝜈, 𝑢, 𝑤)𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤),
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
where
𝐻𝑡 (𝑠, 𝜈, 𝑢, 𝑤) = 𝐻 (𝑠, 𝜈, 𝑢, 𝑤 𝑡−𝑠 )1 {𝑠 ≤𝑡 , 𝛼(𝑤) ≤𝑡−𝑠 } (12.5)
for some 𝐻 ∈ p(ℬ((0, ∞) × 𝑀 (𝐸) ◦ × (0, ∞)) × 𝒜 0 ). By calculations similar to

those in the proof of Proposition 12.1, we have the following:
𝑔
Proposition 12.2 The pair {(𝑌𝑡 , 𝒢𝑡𝐻0 ) : 𝑡 ≥ 0} defined above is an inhomogeneous
0,𝑔
immigration superprocess with transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by (12.1) and
(12.2) with 𝑞 𝑠 ≡ 0.
Let {𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)} and {𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)} be given as above and let
{(𝑋𝑡 , ℱ𝑡 ) : 𝑡 ≥ 0} be a càdlàg (𝜉, 𝜙)-superprocess. We assume all of them are
defined on the same complete probability space (Ω, 𝒢, P) and are independent
𝜂 𝑔
of each other. Let (𝑌𝑡𝑞 , 𝒢𝑡 0 ) and (𝑌𝑡 , 𝒢𝑡𝐻0 ) be as in Propositions 12.1 and 12.2,
respectively.
𝑔 𝜂
Theorem 12.3 For 𝑡 ≥ 0 let 𝑌𝑡 = 𝑋𝑡 + 𝑌𝑡𝑞 + 𝑌𝑡 and 𝒢𝑡 = 𝜎(ℱ𝑡 ∪ 𝒢𝑡 0 ∪ 𝒢𝑡𝐻0 ). Then
{(𝑌𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} is an inhomogeneous immigration superprocess with transition
𝑞,𝑔
semigroup (𝑄 𝑟 ,𝑡 )𝑡 ≥𝑟 ≥0 defined by (12.1) and (12.2).
Proof Based on Propositions 12.1 and 12.2 this is a consequence of the inhomoge-
neous modifications of Theorem 9.2 and Corollary 9.3. □
We can think of {𝑌𝑡 : 𝑡 ≥ 0} as an immigration superprocess with inhomogeneous

immigration rates {(𝑞 𝑠 (𝑦), 𝑔𝑠 (𝜈)) : 𝑠 ≥ 0, 𝑦 ∈ 𝐸, 𝜈 ∈ 𝑀 (𝐸) ◦ } with respect to the
reference measures (𝜂0 , 𝐻0 ).
12.2 Predictable Immigration Rates
Suppose that the (𝜉, 𝜙)-superprocess {(𝑋𝑡 , ℱ𝑡 )} and the Poisson random measures
{𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)} and {𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)} are given as in Section 12.1. In this
section, we assume P[𝑋0 (1)] < ∞. Let (𝒢¯ 𝑡 )𝑡 ≥0 be the augmentation of the filtration
(𝒢𝑡 )𝑡 ≥0 defined in Theorem 12.3. Let ℒ𝜂10 (𝐸) denote the set of two-parameter
processes 𝑞 = {𝑞 𝑡 (𝑦) : 𝑡 ≥ 0, 𝑦 ∈ 𝐸 } that are predictable relative to (𝒢¯ 𝑡 ) and satisfy
∫ 𝑡
∥𝑞∥ 𝜂0 ,𝑡 := P ∥𝑞 𝑠 ∥ 𝜂0 d𝑠 < ∞, 𝑡 ≥ 0. (12.6)
0
Let ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) denote the set of two-parameter processes 𝑔 = {𝑔𝑡 (𝜈) : 𝑡 ≥ 0, 𝜈 ∈
𝑀 (𝐸) ◦ } that are predictable relative to (𝒢¯ 𝑡 ) and satisfy
∫ 𝑡

∥𝑔∥ 𝐻1 ,𝑡 := P ∥𝑔𝑠 ∥ 𝐻1 d𝑠 < ∞, 𝑡 ≥ 0. (12.7)
0
Now let 𝑞 ∈ ℒ𝜂10 (𝐸) + and 𝑔 ∈ ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) + . Suppose that {𝑌𝑡 : 𝑡 ≥ 0} is
a càdlàg process in 𝑀 (𝐸) that is adapted to the filtration (𝒢¯ 𝑡+ )𝑡 ≥0 and satisfies
P[𝑌0 (1)] < ∞. For this process we consider the following properties:
(1) The process {𝑌𝑡 : 𝑡 ≥ 0} has no negative jumps. Moreover, we have:

by
∑︁
𝑁 (d𝑠, d𝜈) = 1 {Δ𝑌𝑠 ≠0} 𝛿 (𝑠,Δ𝑌𝑠 ) (d𝑠, d𝜈), (12.8)
𝑠>0
where Δ𝑌𝑠 = 𝑌𝑠 − 𝑌𝑠− . Then 𝑁 (d𝑠, d𝜈) has predictable compensator
𝑁ˆ (d𝑠, d𝜈) = d𝑠𝐾 (𝑌𝑠− , d𝜈) + 𝑔𝑠 (𝜈)d𝑠𝐻0 (d𝜈), (12.9)
where
∫
𝐸
(b) Let 𝑁˜ (d𝑠, d𝜈) = 𝑁 (d𝑠, d𝜈) − 𝑁ˆ (d𝑠, d𝜈). Then for any 𝑓 ∈ 𝐷 0 ( 𝐴) we have
∫ 𝑡
𝑌𝑡 ( 𝑓 ) = 𝑌0 ( 𝑓 ) + 𝑀𝑡𝑐 ( 𝑓 ) + 𝑀𝑡𝑑 ( 𝑓 ) + 𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠
∫ 𝑡 ∫ 𝑡 ∫ 0
+ 𝜂0 (𝑞 𝑠 𝑓 )d𝑠 + d𝑠 𝑔𝑠 (𝜈)𝜈( 𝑓 )𝐻0 (d𝜈), (12.10)
0 0 𝑀 (𝐸) ◦
12.2 Predictable Immigration Rates 343

2𝑌𝑡 (𝑐 𝑓 2 )d𝑡 and
∫ 𝑡∫
𝑑
𝑡 ↦→ 𝑀𝑡 ( 𝑓 ) = 𝜈( 𝑓 ) 𝑁˜ (d𝑠, d𝜈) (12.11)
0 𝑀 (𝐸) ◦

(2) For every 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐷 0 ( 𝐴),
∫ 𝑡
0
∫ 𝑡h i
+ 𝐺 ′′ (𝑌𝑠 ( 𝑓 ))𝑌𝑠 (𝑐 𝑓 2 ) + 𝐺 ′ (𝑌𝑠 ( 𝑓 ))𝜂0 (𝑞 𝑠 𝑓 ) d𝑠
∫0 𝑡 ∫ ∫

0 𝐸 𝑀 (𝐸) ◦ ∫ 𝑡 ∫
′

− 𝜈( 𝑓 )𝐺 (𝑌𝑠 ( 𝑓 )) 𝐻 (𝑥, d𝜈) + d𝑠 𝐺 (𝑌𝑠 ( 𝑓 ) + 𝜈( 𝑓 ))
0 𝑀 (𝐸) ◦

−𝐺 (𝑌𝑠 ( 𝑓 )) 𝑔𝑠 (𝜈)𝐻0 (d𝜈) + local mart. (12.12)
Theorem 12.4 The above properties (1) and (2) are equivalent to each other.
Proof If property (1) holds, we get property (2) by Itô’s formula. Conversely, suppose
that (2) holds. Then {𝐺 (𝑌𝑡 ( 𝑓 ))} is a special semi-martingale for every 𝐺 ∈ 𝐶 2 (R)
and 𝑓 ∈ 𝐷 0 ( 𝐴); see, e.g., Dellacherie and Meyer (1982, p. 213). For any 𝑛 ≥ 1 we
can define a function 𝐺 𝑛 ∈ 𝐶 2 (R) such that 𝐺 𝑛 (𝑥) = 𝑥 for |𝑥| ≤ 𝑛. By applying (2)
to each 𝐺 𝑛 we see that
∫ 𝑡

𝑌𝑡 ( 𝑓 ) = 𝑌0 ( 𝑓 ) + 𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 ) + 𝜂0 (𝑞 𝑠 𝑓 ) d𝑠
0
∫ 𝑡 ∫
+ d𝑠 𝜈( 𝑓 )𝑔𝑠 (𝜈)𝐻0 (d𝜈) + local mart.
0 𝑀 (𝐸) ◦
Then {𝑌𝑡 ( 𝑓 )} is a special (𝒢¯ 𝑡+ )-semi-martingale. Let 𝑆(𝐸) and 𝑆(𝐸) ◦ be defined as
in the proof of Theorem 7.16. We define the optional random measure 𝑁 (d𝑠, d𝜈) on
[0, ∞) × 𝑆(𝐸) ◦ by
∑︁
𝑁 (d𝑠, d𝜈) = 1 {Δ𝑌𝑠 ≠0} 𝛿 (𝑠,Δ𝑌𝑠 ) (d𝑠, d𝜈),
𝑠>0
where Δ𝑌𝑠 = 𝑌𝑠 − 𝑌𝑠− . Following the proof of Theorem 7.16 one can see there is a
càdlàg process {𝑈𝑡 ( 𝑓 )} with locally bounded variations such that
𝑌𝑡 ( 𝑓 ) = 𝑌0 ( 𝑓 ) + 𝑈𝑡 ( 𝑓 ) + 𝑀𝑡𝑐 ( 𝑓 ) + 𝑀𝑡𝑑 ( 𝑓 ),
where {𝑀𝑡𝑐 ( 𝑓 )} is a continuous local martingale and

∫ 𝑡∫
𝑀𝑡𝑑 ( 𝑓 ) = 𝜈( 𝑓 ) 𝑁˜ (d𝑠, d𝜈), 𝑡 ≥ 0,
0 𝑆 (𝐸) ◦
is a purely discontinuous local martingale. By Itô’s formula, for any 𝐺 ∈ 𝐶 2 (R) we

have
∫ 𝑡
𝐺 (𝑌𝑡 ( 𝑓 )) = 𝐺 (𝑌0 ( 𝑓 )) + 𝐺 ′ (𝑌𝑠− ( 𝑓 ))d𝑈𝑠 ( 𝑓 )
∫ 𝑡 0
1
+ 𝐺 ′′ (𝑌𝑠− ( 𝑓 ))d⟨𝑀 𝑐 ( 𝑓 )⟩𝑠 + local mart.
2∫ 0 ∫
𝑡 h
+ d𝑠 𝐺 (𝑌𝑠− ( 𝑓 ) + 𝜈( 𝑓 ))
0 𝑆 (𝐸) ◦ i
− 𝐺 (𝑌𝑠− ( 𝑓 )) − 𝜈( 𝑓 )𝐺 ′ (𝑌𝑠− ( 𝑓 )) 𝑁ˆ (d𝑠, d𝜈).
By comparing this with (12.12) we see that
d𝑈𝑠 ( 𝑓 ) = 𝑌𝑠 ( 𝐴 𝑓 + 𝛾 𝑓 − 𝑏 𝑓 )d𝑠, d⟨𝑀 𝑐 ( 𝑓 )⟩𝑠 = 2𝑌𝑠 (𝑐 𝑓 2 )d𝑠
and 𝑁ˆ (d𝑠, d𝜈) is carried by [0, ∞) × 𝑀 (𝐸) ◦ with the representation (12.9). Then
property (1) follows. □
It is easy to see that ∥ · ∥ 𝜂0 ,𝑡 is a seminorm on ℒ𝜂10 (𝐸) and ∥ · ∥ 𝐻1 ,𝑡 is a seminorm

on ℒ𝐻1 1 (𝑀 (𝐸) ◦ ). We identify 𝑞 1 , 𝑞 2 ∈ ℒ𝜂10 (𝐸) if ∥𝑞 1 − 𝑞 2 ∥ 𝜂0 ,𝑡 = 0 for every 𝑡 ≥ 0
and define the metric 𝑑1 on ℒ𝜂10 (𝐸) by
∞
∑︁ 1
𝑑1 (𝑞 1 , 𝑞 2 ) = 1 ∧ ∥𝑞 1 − 𝑞 2 ∥ 𝜂0 ,𝑖 . (12.13)
𝑖=1
2𝑖
Similarly, we identify 𝑔1 , 𝑔2 ∈ ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) if ∥𝑔1 − 𝑔2 ∥ 𝐻1 ,𝑡 = 0 for every 𝑡 ≥ 0

and define the metric 𝐷 1 on ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) by
∞
∑︁ 1
𝐷 1 (𝑔1 , 𝑔2 ) = 1 ∧ ∥𝑔1 − 𝑔2 ∥ 𝐻1 ,𝑖 . (12.14)
𝑖=1
2𝑖
Let ℒ𝜂00 (𝐸) denote the set of step processes in ℒ𝜂10 (𝐸) and let ℒ𝐻0 1 (𝑀 (𝐸) ◦ ) denote
the set of step processes in ℒ𝐻1 1 (𝑀 (𝐸) ◦ ). It is not hard to show as in the proof
of Proposition 7.26 that both (ℒ𝜂10 (𝐸), 𝑑1 ) and (ℒ𝐻1 1 (𝑀 (𝐸) ◦ ), 𝐷 1 ) are complete
metric spaces. One can also see that ℒ𝜂00 (𝐸) and ℒ𝐻0 1 (𝑀 (𝐸) ◦ ) are dense subsets of
ℒ𝜂10 (𝐸) and ℒ𝐻1 1 (𝑀 (𝐸) ◦ ), respectively.
In the sequel, we fix 𝑞 ∈ ℒ𝜂10 (𝐸) + and 𝑔 ∈ ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) + . Let {𝑌𝑡 : 𝑡 ≥ 0} be
the (𝒢¯ 𝑡+ )-adapted process in 𝑀 (𝐸) defined by
∫ 𝑡 ∫ ∫ 𝑞𝑠 ( 𝑦) ∫
𝑌𝑡 = 𝑋𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0 𝐸 0 𝑊ˆ
∫ 𝑡 ∫
+ d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)
0 𝐸
∫ 𝑡 ∫ ∫ 𝑔𝑠 (𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤). (12.15)
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
Proposition 12.5 Let {𝑌𝑡 : 𝑡 ≥ 0} be the process defined by (12.15). Then for 𝑡 ≥ 0
and 𝑓 ∈ 𝐵(𝐸) we have
∫ 𝑡
P[𝑌𝑡 ( 𝑓 )] = P[𝑋0 (𝜋𝑡 𝑓 )] + P Γ𝑠 (𝜋𝑡−𝑠 𝑓 )d𝑠 ,
0
where
∫
Γ𝑠 ( 𝑓 ) = 𝜂0 (𝑞 𝑠 𝑓 ) + 𝑔𝑠 (𝜈)𝜈( 𝑓 )𝐻0 (d𝜈)
𝑀 (𝐸) ◦
and (𝜋𝑡 )𝑡 ≥0 is the semigroup given by (2.31) and (2.38).

Proof Since (𝑠, 𝑦) ↦→ 𝑞 𝑠 (𝑦) and (𝑠, 𝜈) ↦→ 𝑔𝑠 (𝜈) are predictable, from (12.15) we
get
∫ 𝑡 ∫
P[𝑌𝑡 ( 𝑓 )] = P[𝑋𝑡 ( 𝑓 )] + P d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, 𝑓 )𝜂0 (d𝑦)
∫ 𝑡 ∫ 0 𝐸 ∫
+P d𝑠 𝑞 𝑠 (𝑦)𝜂0 (d𝑦) 𝑤 𝑡−𝑠 ( 𝑓 )L(𝑦, d𝑤)
ˆ
∫0 𝑡 ∫𝐸 𝑊 ∫
+P d𝑠 𝑔𝑠 (𝜈)𝐻0 (d𝜈) 𝑤 𝑡−𝑠 ( 𝑓 )Q(𝜈, d𝑤)
0 𝑀 (𝐸) ◦ 𝑊 ˆ
∫ 𝑡 ∫
= P[𝑋𝑡 ( 𝑓 )] + P d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, 𝑓 )𝜂0 (d𝑦)
∫ 𝑡 ∫ 0 𝐸 ∫
+P d𝑠 𝑞 𝑠 (𝑦)𝜂0 (d𝑦) 𝜈( 𝑓 )𝐿 𝑡−𝑠 (𝑦, d𝜈)
∫0 𝑡 ∫𝐸 𝑀 (𝐸) ◦
+P d𝑠 𝑔𝑠 (𝜈)𝜈(𝜋𝑡−𝑠 𝑓 )𝐻0 (d𝜈) .
0 𝑀 (𝐸) ◦
Then we get the result by Corollary 2.28. □

Corollary 12.6 Let 𝑞 1 , 𝑞 2 ∈ ℒ𝜂10 (𝐸) + and 𝑔1 , 𝑔2 ∈ ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) + . Let {𝑌𝑖 (𝑡) : 𝑡 ≥
0} be defined by (12.15) with 𝑞 𝑠 (𝑦) = 𝑞 𝑖 (𝑠, 𝑦) and 𝑔𝑠 (𝜈) = 𝑔𝑖 (𝑠, 𝜈) for 𝑖 = 1, 2. Then
we have
∫ 𝑡
e𝑐0 (𝑡−𝑠) P ∥𝑞 1 (𝑠, ·) − 𝑞 2 (𝑠, ·) ∥ 𝜂0

P ∥𝑌1 (𝑡) − 𝑌2 (𝑡) ∥ ≤
0
+ ∥𝑔1 (𝑠, ·) − 𝑔2 (𝑠, ·) ∥ 𝐻1 d𝑠,
where 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)].

Proof Let 𝑞 ∗ = 𝑞 1 ∧ 𝑞 2 and 𝑞 ∗ = 𝑞 1 ∨ 𝑞 2 . Similarly, let 𝑔∗ = 𝑔1 ∧ 𝑔2 and 𝑔 ∗ = 𝑔1 ∨ 𝑔2 .

Then 𝑞 ∗ − 𝑞 ∗ = |𝑞 1 − 𝑞 2 | and 𝑔 ∗ − 𝑔∗ = |𝑔1 − 𝑔2 |. It is easy to see that
∫ 𝑡 ∫ ∫ 𝑞 ∗ (𝑠,𝑦) ∫
𝑌1 (𝑡) − 𝑌2 (𝑡) = 𝑤 𝑡−𝑠 1 {𝑞1 >𝑞2 } (𝑠, 𝑦)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0 𝐸 𝑞∗ (𝑠,𝑦) 𝑊 ˆ
∫ 𝑡 ∫ ∫ 𝑞∗ (𝑠,𝑦) ∫
− 𝑤 𝑡−𝑠 1 {𝑞2 >𝑞1 } (𝑠, 𝑦)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
∗ ˆ
∫0 𝑡 ∫ 𝑞 (𝑠,𝑦) 𝑊 𝐸
+ d𝑠 [𝑞 1 (𝑠, 𝑦) − 𝑞 2 (𝑠, 𝑦)]𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑡 ∫ 𝐸 ∫ 𝑔∗ (𝑠,𝜈) ∫
+ 𝑤 𝑡−𝑠 1 {𝑔>𝑔2 } (𝑠, 𝜈)𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)
◦ ˆ
∫0 𝑡 ∫𝑀 (𝐸) ∫𝑔∗𝑔(𝑠,𝜈)
∗ (𝑠,𝜈)
∫ 𝑊
− 𝑤 𝑡−𝑠 1 {𝑔1 <𝑔2 } (𝑠, 𝜈)𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤).

0 𝑀 (𝐸) ◦ 𝑔∗ (𝑠,𝜈) ˆ
𝑊
Then ∥𝑌1 (𝑡) − 𝑌2 (𝑡) ∥ ≤ ⟨𝑌 (𝑡), 1⟩, where

∫ 𝑡 ∫ ∫ 𝑞 ∗ (𝑠,𝑦) ∫
𝑌 (𝑡) = 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0 𝑞∗ (𝑠,𝑦)𝐸 𝑊ˆ
∫
𝑡 ∫
+ d𝑠 [𝑞 ∗ (𝑠, 𝑦) − 𝑞 ∗ (𝑠, 𝑦)]𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)
0
∫ 𝑡 ∫ 𝐸 ∫ 𝑔∗ (𝑠,𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤).
0 𝑀 (𝐸) ◦ 𝑔∗ (𝑠,𝜈) ˆ
𝑊
Since the processes 𝑞 ∗ and 𝑔∗ are predictable, one can see that
𝑁0∗ (d𝑠, d𝑦, d𝑢, d𝑤) := 𝑁0 (d𝑠, d𝑦, 𝑞 ∗ (𝑠, 𝑦) + d𝑢, d𝑤)
is a Poisson random measure with intensity d𝑠𝜂0 (d𝑦)d𝑢L(𝑦, d𝑤) and
𝑁1∗ (d𝑠, d𝜈, d𝑢, d𝑤) := 𝑁1 (d𝑠, d𝜈, 𝑔∗ (𝑠, 𝜈) + d𝑢, d𝑤)
is a Poisson random measure with intensity d𝑠𝐻0 (d𝜈)d𝑢Q(𝜈, d𝑤). By shifting trans-
formations of the stochastic integrals we obtain
∫ 𝑡 ∫ ∫ |𝑞1 −𝑞2 | (𝑠,𝑦) ∫
𝑌 (𝑡) = 𝑤 𝑡−𝑠 𝑁0∗ (d𝑠, d𝑦, d𝑢, d𝑤)
0∫ 𝐸 0 ˆ
𝑊
𝑡 ∫
+ d𝑠 |𝑞 1 − 𝑞 2 |(𝑠, 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)
∫0 𝑡 ∫ 𝐸 ∫ |𝑔1 −𝑔2 | (𝑠,𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1∗ (d𝑠, d𝜈, d𝑢, d𝑤).
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
By Proposition 12.5 we have

∫ 𝑡 ∫
P[⟨𝑌 (𝑡), 1⟩] = P |𝑞 1 − 𝑞 2 |(𝑠, 𝑦)𝜋𝑡−𝑠 1(𝑦)𝜂0 (d𝑦)
∫ 0 𝐸
+ |𝑔1 − 𝑔2 |(𝑠, 𝜈)⟨𝜈, 𝜋𝑡−𝑠 1⟩𝐻0 (d𝜈) ,
𝑀 (𝐸) ◦
where ∥𝜋𝑡 1∥ ≤ e𝑐0 𝑡 by Theorem A.53. Then we get the desired inequality. □
Theorem 12.7 The process defined by (12.15) has a càdlàg modification

{𝑌𝑡 : 𝑡 ≥ 0}, which satisfies the martingale problem (12.12).
Corollary 12.8 If there is a (𝒢¯ 𝑡+ ) stopping time 𝑇 such that Γ𝑇+𝑡 (1) = 0 a.s. for
every 𝑡 ≥ 0, then {𝑌𝑇+𝑡 : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess with respect to the filtration
{𝒢¯ (𝑇+𝑡)+ : 𝑡 ≥ 0}.
Corollary 12.9 Let {𝑌𝑡 : 𝑡 ≥ 0} be a càdlàg version of the process defined by

(12.15). Then
∫ 𝑡
−𝑐0 𝑡
𝑧(𝑡) := e 𝑌𝑡 (1) − e−𝑐0 𝑠 Γ𝑠 (1)d𝑠, 𝑡 ≥ 0
0
is a (𝒢¯ 𝑡+ )-supermartingale and for any 𝜆 ≥ 0 we have

n o ∫ 𝑡
−𝑐0 𝑠
𝜆P sup |𝑧(𝑠)| ≥ 𝜆 ≤ P[𝑌0 (1)] + 2P e Γ𝑠 (1)d𝑠 .
0≤𝑠 ≤𝑡 0
Corollary 12.10 Let {𝑌𝑡 : 𝑡 ≥ 0} be a càdlàg version of the process (12.15).

Then the continuous martingale functional {𝑀𝑡𝑐 ( 𝑓 ) : 𝑡 ≥ 0; 𝑓 ∈ 𝐷 0 ( 𝐴)} defined
by (12.10) induces a continuous orthogonal martingale measure with covariance
measure 𝜂 𝑐 (d𝑠, d𝑥) = 2𝑐(𝑥)d𝑠𝑌𝑠 (d𝑥).
Corollary 12.11 For any 𝑡 ≥ 0 and 𝑓 ∈ 𝐵(𝐸) we have a.s.

∫ 𝑡 ∫ 𝑡∫
𝑌𝑡 ( 𝑓 ) = 𝑌0 (𝜋𝑡 𝑓 ) + Γ𝑠 (𝜋𝑡−𝑠 𝑓 )d𝑠 + 𝜋𝑡−𝑠 𝑓 (𝑥) 𝑀 𝑐 (d𝑠, d𝑥)
∫ 𝑡 ∫0 0 𝐸
+ 𝜈(𝜋𝑡−𝑠 𝑓 ) 𝑁˜ (d𝑠, d𝜈).

0 𝑀 (𝐸) ◦
We can interpret the process {𝑌𝑡 : 𝑡 ≥ 0} defined by (12.15) as an immigration

superprocess with predictable immigration rates {(𝑞 𝑠 (𝑦), 𝑔𝑠 (𝜈)) : 𝑠 ≥ 0, 𝑦 ∈ 𝐸, 𝜈 ∈
𝑀 (𝐸) ◦ } with respect to the reference measures (𝜂0 , 𝐻0 ). To prove Theorem 12.7
and its corollaries we need some preparations.
Lemma 12.12 Suppose that 𝑞 ∈ ℒ𝜂00 (𝐸) + and 𝑔 ∈ ℒ𝐻0 1 (𝑀 (𝐸) ◦ ) + are step processes
given by
∞
∑︁
𝑞 𝑠 (𝑦) = 𝑞 0 (𝑦)1 {0} (𝑠) + 𝑞 𝑟𝑖 (𝑦)1 (𝑟𝑖−1 ,𝑟𝑖 ] (𝑠) (12.16)
𝑖=1
and
∞
∑︁
𝑔𝑠 (𝜈) = 𝑔0 (𝜈)1 {0} (𝑠) + 𝑔𝑟𝑖 (𝜈)1 (𝑟𝑖−1 ,𝑟𝑖 ] (𝑠), (12.17)
𝑖=1
where {0 = 𝑟 0 < 𝑟 1 < 𝑟 2 < · · · } is a sequence increasing to infinity. Then for

𝑖 ≥ 1 the process {(𝑌𝑡 , 𝒢¯ 𝑡 ) : 𝑟 𝑖−1 ≤ 𝑡 ≤ 𝑟 𝑖 } under P{·|𝒢¯ 𝑟𝑖−1 } is an immigration
superprocess with transition semigroup (𝑄 𝑖,𝑡 )𝑡 ≥0 defined by
∫ ∫ 𝑡
e−𝜈 ( 𝑓 ) 𝑄 𝑖,𝑡 (𝜇, d𝜈) = exp − 𝜇(𝑉𝑡 𝑓 ) − 𝐼𝑖 (𝑉𝑠 𝑓 )d𝑠 , (12.18)
𝑀 (𝐸) 0
where
∫
𝐼𝑖 ( 𝑓 ) = 𝜂0 (𝑞 𝑟𝑖 𝑓 ) + (1 − e−𝜈 ( 𝑓 ) )𝑔𝑟𝑖 (𝜈)𝐻0 (d𝜈). (12.19)
𝑀 (𝐸) ◦
Proof Under the conditional law P{·|𝒢¯ 𝑟𝑖−1 } we can think of 𝑦 ↦→ 𝑞 𝑟𝑖 (𝑦) and
𝜈 ↦→ 𝑔𝑟𝑖 (𝜈) as deterministic functions. Moreover, under this law the restrictions
of 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤) and 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤) to {𝑠 > 𝑟 𝑖−1 } are still Poisson random
measures with intensities d𝑠𝜂0 (d𝑦)d𝑢L(𝑦, d𝑤) and d𝑠𝐻0 (d𝜈)d𝑢Q(𝜈, d𝑤), respec-
tively. For 𝑡 ≥ 0 let
∫ 𝑡∧𝑟𝑖 ∫ ∫ 𝑞𝑠 ( 𝑦) ∫
𝑌𝑖 (𝑡) = 𝑋𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑡∧𝑟0 𝑖 ∫ 𝐸 0 𝑊
+ d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑡∧𝑟𝑖 ∫ 𝐸 ∫ 𝑔𝑠 (𝜈) ∫
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
Let 𝒢𝑡𝑖 = 𝜎(ℱ𝑡 ∪ 𝒢𝑡0,𝑖 ∪ 𝒢𝑡1,𝑖 ), where 𝒢𝑡0,𝑖 is the 𝜎-algebra generated by random
variables of the form
∫ 𝑟𝑖 ∫ ∫ ∞ ∫
ℎ𝑡 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0 𝐸 0 ˆ
𝑊
with ℎ𝑡 (𝑠, 𝑦, 𝑢, 𝑤) given by (12.3) and 𝒢𝑡1,𝑖 is the 𝜎-algebra generated by random
∫ 𝑟𝑖 ∫ ∫ ∞∫
𝐻𝑡 (𝑠, 𝜈, 𝑢, 𝑤)𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
with 𝐻𝑡 (𝑠, 𝜈, 𝑢, 𝑤) given by (12.5). Then 𝑌𝑖 (𝑡) = 𝑌𝑡 and 𝒢¯ 𝑡𝑖 = 𝒢¯ 𝑡 for 0 ≤ 𝑡 ≤ 𝑟 𝑖 . We

claim that the following properties hold:
(i) {(𝑌𝑖 (𝑡), 𝒢¯ 𝑡𝑖 ) : 𝑟 𝑖−1 ≤ 𝑡 ≤ 𝑟 𝑖 } and {(𝑌𝑖 (𝑡), 𝒢¯ 𝑡 ) : 𝑟 𝑖−1 ≤ 𝑡 ≤ 𝑟 𝑖 } are immigration
superprocesses with transition semigroup (𝑄 𝑖,𝑡 )𝑡 ≥0 under P(·|𝒢¯ 𝑟𝑖−1 );
(ii) {(𝑌𝑖 (𝑡), 𝒢¯ 𝑡𝑖 ) : 𝑡 ≥ 𝑟 𝑖 } and {(𝑌𝑖 (𝑡), 𝒢¯ 𝑡 ) : 𝑡 ≥ 𝑟 𝑖 } are superprocesses with transi-
tion semigroup (𝑄 𝑡 )𝑡 ≥0 under P(·|𝒢¯ 𝑟𝑖−1 ) and P(·|𝒢¯ 𝑟𝑖 ).
For 𝑖 = 1 the above properties hold by Theorem 12.3. Now suppose that they hold
for some 𝑖 ≥ 1. For 𝑡 ≥ 0 let
∫ 𝑡∧𝑟𝑖+1 ∫ ∫ 𝑞𝑠 ( 𝑦) ∫
𝑍𝑖 (𝑡) = 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
𝑡∧𝑟 0 ˆ
∫ 𝑖 𝑡∧𝑟𝑖+1 𝐸 ∫ 𝑊
+ d𝑠 𝑞 𝑠 (𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

𝑡∧𝑟𝑖 𝐸
∫ 𝑡∧𝑟𝑖+1 ∫ ∫ 𝑔𝑠 (𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)
𝑡∧𝑟𝑖 𝑀 (𝐸) ◦ 0 ˆ
𝑊
and let ℋ𝑡𝑖 = 𝜎(ℋ𝑡0,𝑖 ∪ ℋ𝑡1,𝑖 ), where ℋ𝑡0,𝑖 is the 𝜎-algebra generated by random
∫ ∞∫ ∫ ∞∫
ℎ𝑡 (𝑠, 𝑦, 𝑢, 𝑤)𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
𝑟𝑖 𝐸 0 ˆ
𝑊
with ℎ𝑡 (𝑠, 𝑦, 𝑢, 𝑤) given by (12.3) and ℋ𝑡1,𝑖 is the 𝜎-algebra generated by random
∫ ∞∫ ∫ ∞∫
𝐻𝑡 (𝑠, 𝜈, 𝑢, 𝑤)𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤)
𝑟𝑖 𝑀 (𝐸) ◦ 0 ˆ
𝑊
with 𝐻𝑡 (𝑠, 𝜈, 𝑢, 𝑤) given by (12.5). Using Theorem 12.3 again we see the following
properties hold:
• {(𝑍𝑖 (𝑡), ℋ̄𝑡𝑖 ) : 𝑟 𝑖 ≤ 𝑡 ≤ 𝑟 𝑖+1 } and {(𝑍𝑖 (𝑡), 𝒢¯ 𝑡 ) : 𝑟 𝑖 ≤ 𝑡 ≤ 𝑟 𝑖+1 } are immigration
superprocesses with transition semigroup (𝑄 𝑖+1,𝑡 )𝑡 ≥0 under P(·|𝒢¯ 𝑟𝑖 );
• {(𝑍𝑖 (𝑡), ℋ̄𝑡𝑖 ) : 𝑡 ≥ 𝑟 𝑖+1 } and {(𝑍𝑖 (𝑡), 𝒢¯ 𝑡 ) : 𝑡 ≥ 𝑟 𝑖+1 } are superprocesses with
transition semigroup (𝑄 𝑡 )𝑡 ≥0 under P(·|𝒢¯ 𝑟𝑖 ) and P(·|𝒢¯ 𝑟𝑖+1 ).
Clearly, the processes {(𝑌𝑖 (𝑡), 𝒢¯ 𝑡𝑖 ) : 𝑡 ≥ 𝑟 𝑖 } and {(𝑍𝑖 (𝑡), ℋ̄𝑡𝑖 ) : 𝑡 ≥ 𝑟 𝑖 } are inde-
pendent of each other under P(·|𝒢¯ 𝑟𝑖 ). Observe also that 𝑌𝑖+1 (𝑡) = 𝑌𝑖 (𝑡) + 𝑍𝑖 (𝑡) and
𝒢¯ 𝑡 = 𝜎(𝒢¯ 𝑡𝑖 ∪ ℋ̄𝑡𝑖 ) for 𝑟 𝑖 ≤ 𝑡 ≤ 𝑟 𝑖+1 . By Corollary 9.3 we infer that properties (i) and
(ii) also hold when 𝑖 is replaced by 𝑖 + 1. Then they hold for all 𝑖 ≥ 1 by induction.
In particular, for 𝑖 ≥ 1 the process {(𝑌𝑡 , 𝒢¯ 𝑡 ) : 𝑟 𝑖−1 ≤ 𝑡 ≤ 𝑟 𝑖 } under P{·|𝒢¯ 𝑟𝑖−1 } is an
immigration superprocess with transition semigroup (𝑄 𝑖,𝑡 )𝑡 ≥0 . □
Lemma 12.13 The results of Theorem 12.7 and its corollaries hold for step processes
𝑞 ∈ ℒ𝜂00 (𝐸) + and 𝑔 ∈ ℒ𝐻0 1 (𝑀 (𝐸) ◦ ) + .
Proof Suppose that 𝑞 and 𝑔 are given by (12.16) and (12.17), respectively. By
Lemma 12.12 the process {(𝑌𝑡 , 𝒢¯ 𝑡 ) : 𝑟 𝑖−1 ≤ 𝑡 ≤ 𝑟 𝑖 } under P{·|𝒢¯ 𝑟𝑖−1 } is a homo-
geneous immigration superprocess with transition semigroup (𝑄 𝑖,𝑡 )𝑡 ≥0 defined by
(12.18) and (12.19). It is well known that the locally compact separable metric space
𝐸 is topologically complete. By Theorem 1.17, the space 𝑀 (𝐸) is also topologi-
cally separable and complete. By Theorems 9.24 and A.7 the process {𝑌𝑡 : 𝑡 ≥ 0}
has a càdlàg modification. Then {(𝑌𝑡 , 𝒢¯ 𝑡+ ) : 𝑟 𝑖−1 ≤ 𝑡 ≤ 𝑟 𝑖 } under P{·|𝒢¯ 𝑟𝑖−1 } is an
immigration superprocess with transition semigroup (𝑄 𝑖,𝑡 )𝑡 ≥0 by Proposition 9.29.
By applying the results in Section 9.3 on the time intervals [𝑟 𝑖−1 , 𝑟 𝑖 ], 𝑖 = 1, 2, . . .
successively we obtain the theorem and its corollaries. □
Proof (of Theorem 12.7 and its corollaries) Take sequences {𝑞 𝑘 } ⊂ ℒ𝜂00 (𝐸) + and
{𝑔 𝑘 } ⊂ ℒ𝐻0 1 (𝑀 (𝐸) ◦ ) + so that 𝑑1 (𝑞 𝑘 , 𝑞) → 0 and 𝐷 1 (𝑔 𝑘 , 𝑔) → 0 as 𝑘 → ∞.
Let {𝑌𝑘 (𝑡) : 𝑡 ≥ 0} be the process defined by (12.15) with 𝑞 𝑠 (𝑦) = 𝑞 𝑘 (𝑠, 𝑦) and
𝑔𝑠 (𝜈) = 𝑔 𝑘 (𝑠, 𝜈). By Lemma 12.13, each {𝑌𝑘 (𝑡) : 𝑡 ≥ 0} has a càdlàg modification,
which we shall use in this proof. By Corollary 12.6 we have
∫ 𝑡
e𝑐0 (𝑡−𝑠) P ∥𝑞 𝑗 (𝑠, ·) − 𝑞 𝑘 (𝑠, ·) ∥ 𝜂0

P ∥𝑌 𝑗 (𝑡) − 𝑌𝑘 (𝑡) ∥ ≤
0
+ ∥𝑔 𝑗 (𝑠, ·) − 𝑔 𝑘 (𝑠, ·) ∥ 𝐻1 d𝑠.
Then there is a process {𝑌 (𝑡) : 𝑡 ≥ 0} in 𝑀 (𝐸) such that

lim sup P ∥𝑌𝑘 (𝑠) − 𝑌 (𝑠) ∥ = 0, 𝑡 ≥ 0.
𝑘→∞ 0≤𝑠 ≤𝑡
For 𝑗, 𝑘 ≥ 1 let 𝑞 𝑗,𝑘 = 𝑞 𝑗 ∧ 𝑞 𝑘 and 𝑞 𝑗,𝑘 = 𝑞 𝑗 ∨ 𝑞 𝑘 . Similarly, let 𝑔 𝑗,𝑘 = 𝑔 𝑗 ∧ 𝑔 𝑘 and

𝑔 𝑗,𝑘 = 𝑔 𝑗 ∨ 𝑔 𝑘 . Then 𝑞 𝑗,𝑘 − 𝑞 𝑗,𝑘 = |𝑞 𝑗 − 𝑞 𝑘 | and 𝑔 𝑗,𝑘 − 𝑔 𝑗,𝑘 = |𝑔 𝑗 − 𝑔 𝑘 |. As in the
proof of Corollary 12.6 one can see ∥𝑌 𝑗 (𝑡) − 𝑌𝑘 (𝑡) ∥ ≤ ⟨𝑌 𝑗,𝑘 (𝑡), 1⟩, where
∫ 𝑡 ∫ ∫ |𝑞 𝑗 −𝑞𝑘 | (𝑠,𝑦) ∫
𝑗,𝑘
𝑌 𝑗,𝑘 (𝑡) = 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0∫ 𝐸 0 ˆ
𝑊
𝑡 ∫
+ d𝑠 |𝑞 𝑗 − 𝑞 𝑘 |(𝑠, 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)
∫0 𝑡 ∫ 𝐸 ∫ |𝑔 𝑗 −𝑔𝑘 | (𝑠,𝜈) ∫
𝑗,𝑘
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤),
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
𝑗,𝑘
where 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤) is a Poisson random measure with intensity d𝑠𝜂0 (d𝑦)
𝑗,𝑘
d𝑢L(𝑦, d𝑤) and 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤) is a Poisson random measure with intensity
d𝑠𝐻0 (d𝜈)d𝑢Q(𝜈, d𝑤). Then {𝑌 𝑗,𝑘 (𝑡) : 𝑡 ≥ 0} is an immigration superprocess with
immigration rates (|𝑞 𝑗 − 𝑞 𝑘 |, |𝑔 𝑗 − 𝑔 𝑘 |) relative to (𝜂0 , 𝐻0 ). For 𝑡 ≥ 0 let
∫ 𝑡
𝑧 𝑗,𝑘 (𝑡) = e−𝑐0 𝑡 ⟨𝑌 𝑗,𝑘 (𝑡), 1⟩ − e−𝑐0 𝑠 ∥𝑞 𝑗 (𝑠, ·) − 𝑞 𝑘 (𝑠, ·) ∥ 𝜂0

0

+ ∥𝑔 𝑗 (𝑠, ·) − 𝑔 𝑘 (𝑠, ·) ∥ 𝐻1 d𝑠.
12.3 State-Dependent Immigration Rates 351
By Corollary 12.9 and Lemma 12.13, for any 𝜆 ≥ 0 we have

n o ∫ 𝑡
e−𝑐0 𝑠 ∥𝑞 𝑗 (𝑠, ·) − 𝑞 𝑘 (𝑠, ·) ∥ 𝜂0

𝜆P sup |𝑧 𝑗,𝑘 (𝑠)| ≥ 𝜆 ≤ 2P
0≤𝑠 ≤𝑡 0

+ ∥𝑔 𝑗 (𝑠, ·) − 𝑔 𝑘 (𝑠, ·) ∥ 𝐻1 d𝑠 .
The right-hand side vanishes as 𝑗, 𝑘 → ∞. Then we can find a subsequence {𝑘 𝑛 } ⊂

{𝑘 } such that
h i
P sup ∥𝑌𝑘𝑛−1 (𝑠) − 𝑌𝑘𝑛 (𝑠) ∥ ≥ 1/2𝑛 ≤ 1/2𝑛 , 𝑛 ≥ 1.
0≤𝑠 ≤𝑛
By the Borel–Cantelli lemma, there is a càdlàg process {𝑌𝑡 : 𝑡 ≥ 0} in 𝑀 (𝐸) such

that a.s.
lim sup ∥𝑌𝑘𝑛 (𝑠) − 𝑌𝑠 ∥ = 0, 𝑡 ≥ 0.

𝑛→∞ 0≤𝑠 ≤𝑡
Then {𝑌𝑡 : 𝑡 ≥ 0} is a modification of {𝑌 (𝑡) : 𝑡 ≥ 0} and hence

lim sup P ∥𝑌𝑘 (𝑠) − 𝑌𝑠 ∥ = 0, 𝑡 ≥ 0.
𝑘→∞ 0≤𝑠 ≤𝑡
Clearly, the equality (12.15) holds. Since the theorem and its corollaries hold for
each process {𝑌𝑘 (𝑡) : 𝑡 ≥ 0}, they also hold for {𝑌𝑡 : 𝑡 ≥ 0} by approximation
arguments. □
12.3 State-Dependent Immigration Rates
section, we assume P[𝑋0 (1)] < ∞. Let (𝒢¯ 𝑡 )𝑡 ≥0 be the augmentation of the filtration
(𝒢𝑡 )𝑡 ≥0 defined in Theorem 12.3. Let (𝜇, 𝑦) ↦→ 𝑞(𝜇, 𝑦) be a positive Borel function
on 𝑀 (𝐸)×𝐸 and let (𝜇, 𝜈) ↦→ 𝑔(𝜇, 𝜈) be a positive Borel function on 𝑀 (𝐸)×𝑀 (𝐸) ◦ .
We assume that:
• (linear growth condition) there is a constant 𝐾 ≥ 0 such that, for 𝜇 ∈ 𝑀 (𝐸),

∫
⟨𝜂0 , 𝑞(𝜇, ·)⟩ + 𝑔(𝜇, 𝜈)⟨𝜈, 1⟩𝐻0 (d𝜈) ≤ 𝐾 (1 + ⟨𝜇, 1⟩); (12.20)
𝑀 (𝐸) ◦
• (local Lipschitz condition) for each 𝑅 > 0 there is a constant 𝐾 𝑅 ≥ 0 such that,
for 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸) satisfying ⟨𝜇1 , 1⟩, ⟨𝜇2 , 1⟩ ≤ 𝑅,
∫
⟨𝜂0 , |𝑞(𝜇1 , ·) − 𝑞(𝜇2 , ·)|⟩ + |𝑔(𝜇1 , 𝜈) − 𝑔(𝜇2 , 𝜈)|𝐻1 (d𝜈)
𝑀 (𝐸) ◦
≤ 𝐾 𝑅 ∥𝜇1 − 𝜇2 ∥, (12.21)
where 𝐻1 (d𝜈) = ⟨𝜈, 1⟩𝐻0 (d𝜈).

We consider the stochastic integral equation, for 𝑡 ≥ 0,
∫ 𝑡 ∫ ∫ 𝑞 (𝑌𝑠− ,𝑦) ∫
𝑌𝑡 = 𝑋𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑡 0 ∫𝐸 0 𝑊
+ d𝑠 𝑞(𝑌𝑠− , 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑡 ∫ 𝐸 ∫ 𝑔 (𝑌𝑠− ,𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤). (12.22)
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
By a solution of (12.22) we mean a càdlàg process {𝑌𝑡 : 𝑡 ≥ 0} in 𝑀 (𝐸) that is

adapted to the filtration (𝒢¯ 𝑡+ )𝑡 ≥0 and satisfies the equation with probability one.
Theorem 12.14 There is a pathwise unique solution {𝑌𝑡 : 𝑡 ≥ 0} to (12.22) and the
solution has the following property: for 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐷 0 ( 𝐴),
∫ 𝑡
∫ 𝑡 0
′′
𝐺 (𝑌𝑠 ( 𝑓 ))𝑌𝑠 (𝑐 𝑓 2 ) + 𝐺 ′ (𝑌𝑠 ( 𝑓 ))⟨𝜂0 , 𝑞(𝑌𝑠 , ·) 𝑓 ⟩ d𝑠

+
∫0 𝑡 ∫ ∫

0 𝐸 𝑀 (𝐸) ◦ ∫ 𝑡 ∫
− ⟨𝜈, 𝑓 ⟩𝐺 ′ (𝑌𝑠 ( 𝑓 )) 𝐻 (𝑥, d𝜈) +

d𝑠 𝐺 (𝑌𝑠 ( 𝑓 ) + 𝜈( 𝑓 ))
0 𝑀 (𝐸) ◦
− 𝐺 (𝑌𝑠 ( 𝑓 )) 𝑔(𝑌𝑠 , 𝜈)𝐻0 (d𝜈) + (𝒢¯ 𝑡+ )-local mart.

(12.23)
𝜇
For 𝜇 ∈ 𝑀 (𝐸) let {𝑌𝑡 : 𝑡 ≥ 0} be the solution to (12.22) with 𝑌0 = 𝑋0 = 𝜇 and
𝑞,𝑔 𝜇
let 𝑃𝑡 (𝜇, ·) be the distribution of 𝑌𝑡 on 𝑀 (𝐸).
Theorem 12.15 The solution {𝑌𝑡 : 𝑡 ≥ 0} to (12.22) is a strong Markov process

relative to (𝒢¯ 𝑡+ )𝑡 ≥0 with transition semigroup (𝑃𝑡 )𝑡 ≥0 .
𝑞,𝑔
In view of (12.22) and (12.23), we may interpret {𝑌𝑡 : 𝑡 ≥ 0} as an immigration

superprocess with state-dependent immigration rates {(𝑞(𝑌𝑠− , 𝑦), 𝑔(𝑌𝑠− , 𝜈)) : 𝑠 ≥
0, 𝑦 ∈ 𝐸, 𝜈 ∈ 𝑀 (𝐸) ◦ } with respect to the reference measures (𝜂0 , 𝐻0 ), where
𝑌0− = 0 by convention. The uniqueness of solution to the martingale problem (12.23)
still remains open. Then the above theorem shows the advantage of the stochastic
equation (12.22) in constructing the superprocess with state-dependent immigration
as a Markov process.
Proposition 12.16 There is at most one solution to (12.22).
Proof Suppose {𝑌1 (𝑡) : 𝑡 ≥ 0} and {𝑌2 (𝑡) : 𝑡 ≥ 0} are two solutions of (12.22). Let
𝜏𝑅 = inf{𝑡 ≥ 0 : ⟨𝑌1 (𝑡), 1⟩ ≥ 𝑅 or ⟨𝑌2 (𝑡), 1⟩ ≥ 𝑅}. Then we have a.s. 𝜏𝑅 → ∞ as
𝑅 → ∞. For 𝑖 = 1, 2 let
∫ 𝑡∧𝜏𝑅 ∫ ∫ 𝑞 (𝑌𝑖 (𝑠−) ,𝑦) ∫
𝑍𝑖𝑅 (𝑡) = 𝑋𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
0 𝐸 0 𝑊ˆ
∫ 𝑡∧𝜏 𝑅
∫
+ d𝑠 𝑞(𝑌𝑖 (𝑠−), 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)
0
∫ 𝑡∧𝜏𝑅 ∫ 𝐸 ∫ 𝑔 (𝑌𝑖 (𝑠−) ,𝜈) ∫
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
Then {𝑍𝑖𝑅 (𝑡) : 𝑡 ≥ 0} is an immigration superprocess with predictable immigration

rates 1 {𝑠 ≤𝜏𝑅 } (𝑞(𝑌𝑖 (𝑠−), 𝑦), 𝑔(𝑌𝑖 (𝑠−), 𝜈)). It is easy to see that
∥𝑌1 (𝑡) − 𝑌2 (𝑡) ∥1 {𝑡 ≤𝜏𝑅 } ≤ 𝑧 𝑅 (𝑡) := ∥𝑍1𝑅 (𝑡) − 𝑍2𝑅 (𝑡) ∥.
By (12.21) and Corollary 12.6 we have

∫ 𝑡∧𝜏𝑅
P[𝑧 𝑅 (𝑡)] ≤ P e𝑐0 (𝑡−𝑠) ⟨𝜂0 , |𝑞(𝑌1 (𝑠−), ·) − 𝑞(𝑌2 (𝑠−), ·)|⟩
∫ 0
∗
+ [𝑔 (𝑌1 (𝑠−), 𝜈) − 𝑔∗ (𝑌1 (𝑠−), 𝜈)]𝐻1 (d𝜈) d𝑠
𝑀(𝐸) ◦
∫ 𝑡∧𝜏𝑅
𝑐0 (𝑡−𝑠)
≤ 𝐾𝑅 P e ∥𝑌1 (𝑠−) − 𝑌2 (𝑠−) ∥d𝑠
0 ∫
𝑡∧𝜏𝑅
+
≤ 𝐾 𝑅 e𝑐0 𝑡 P ∥𝑌1 (𝑠) − 𝑌2 (𝑠) ∥d𝑠
∫ 𝑡0
+
≤ 𝐾 𝑅 e𝑐0 𝑡 P[𝑧 𝑅 (𝑠)]d𝑠.
0
By Gronwall’s inequality we conclude P[𝑧 𝑅 (𝑡)] = 0 for all 𝑡 ≥ 0 and 𝑅 ≥ 0. Then

{𝑌1 (𝑡) : 𝑡 ≥ 0} and {𝑌2 (𝑡) : 𝑡 ≥ 0} are indistinguishable. □
Proposition 12.17 Suppose that there is a universal constant 𝐾 ≥ 0 such that, for
𝜇1 , 𝜇2 ∈ 𝑀 (𝐸),
∫
⟨𝜂0 , |𝑞(𝜇1 , ·) − 𝑞(𝜇2 , ·)|⟩ + |𝑔(𝜇1 , 𝜈) − 𝑔(𝜇2 , 𝜈)|𝐻1 (d𝜈)
𝑀 (𝐸) ◦
≤ 𝐾 ∥𝜇1 − 𝜇2 ∥. (12.24)
Then the result of Theorem 12.14 holds.
Proof By Proposition 12.16 the pathwise uniqueness of solution holds for (12.22).
We shall prove the existence of the solution using an iteration argument. Let 𝑌0 (𝑡) =
𝑋𝑡 and inductively define, for 𝑘 ≥ 1,
∫ 𝑡 ∫ ∫ 𝑞 (𝑌𝑘−1 (𝑠−) ,𝑦) ∫
𝑌𝑘 (𝑡) = 𝑋𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑡 0 ∫𝐸 0 𝑊
+ d𝑠 𝑞(𝑌𝑘−1 (𝑠−), 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑡 ∫ 𝐸 ∫ 𝑔 (𝑌𝑘−1 (𝑠−),𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤). (12.25)
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
By Corollary 12.6 and (12.24) it is not hard to see that

∫ 𝑡
𝑐0 (𝑡−𝑠)
P[∥𝑌𝑘 (𝑡) − 𝑌𝑘−1 (𝑡) ∥] ≤ 𝐾P e ∥𝑌𝑘−1 (𝑠−) − 𝑌𝑘−2 (𝑠−) ∥d𝑠
0
∫ 𝑡
+
≤ 𝐾e𝑐0 𝑡 P[∥𝑌𝑘−1 (𝑠) − 𝑌𝑘−2 (𝑠) ∥]d𝑠.
0
By Corollary 12.6 and (12.20) we have

∫ 𝑡 ∫
𝑐0 (𝑡−𝑠)
P[∥𝑌1 (𝑡) − 𝑌0 (𝑡) ∥] ≤ P e 𝑞(𝑋𝑠− , 𝑦)𝜂0 (d𝑦)
0 ∫ 𝐸
+ 𝑔(𝑋𝑠− , 𝜈)𝐻1 (d𝜈) d𝑠
∫ 𝑀 (𝐸) ◦
𝑡
≤𝐾 e𝑐0 (𝑡−𝑠) P[1 + ⟨𝑋𝑠− , 1⟩]d𝑠
0 ∫ 𝑡
+
= 𝐾e𝑐0 𝑡 P[1 + ⟨𝑋𝑠 , 1⟩]d𝑠,
0
which is locally bounded. Then a standard argument shows

∞
∑︁
sup P ∥𝑌𝑘 (𝑠) − 𝑌𝑘−1 (𝑠) ∥ < ∞.
𝑘=1 0≤𝑠 ≤𝑡
Write 𝑞 𝑘 (𝑠, 𝑦) = 𝑞(𝑌𝑘 (𝑠−), 𝑦) and 𝑔 𝑘 (𝑠, 𝑦) = 𝑔(𝑌𝑘 (𝑠−), 𝑦). In view of (12.24) we
have
∞
∑︁
∥𝑞 𝑘 − 𝑞 𝑘−1 ∥ 𝜂0 ,𝑡 + ∥𝑔 𝑘 − 𝑔 𝑘−1 ∥ 𝐻1 ,𝑡 < ∞.
𝑘=1
It follows immediately that

lim ∥𝑞 𝑘 − 𝑞 𝑗 ∥ 𝜂0 ,𝑡 + ∥𝑔 𝑘 − 𝑔 𝑗 ∥ 𝐻1 ,𝑡 = 0.
𝑗,𝑘→∞
Then there exist 𝑞 ∈ ℒ𝜂10 (𝐸) + and 𝑔 ∈ ℒ𝐻1 1 (𝑀 (𝐸) ◦ ) + such that 𝑑1 (𝑞 𝑘 , 𝑞) → 0 and
𝐷 1 (𝑔 𝑘 , 𝑔) → 0 as 𝑘 → ∞. By the arguments in the proof of Theorem 12.7, there is
a subsequence {𝑘 𝑛 } ⊂ {𝑘 } and a càdlàg process {𝑌𝑡 : 𝑡 ≥ 0} in 𝑀 (𝐸) such that a.s.
lim sup ∥𝑌𝑘𝑛 (𝑠) − 𝑌𝑠 ∥ = 0, 𝑡≥0

𝑘𝑛 →∞ 0≤𝑠 ≤𝑡
and
lim sup P[∥𝑌𝑘 (𝑠) − 𝑌𝑠 ∥] = 0, 𝑡 ≥ 0.

𝑘→∞ 0≤𝑠 ≤𝑡
Clearly, the equality (12.15) holds. By using (12.24) again we see

lim ∥𝑞 𝑘 − 𝑞(𝑌·− , ·) ∥ 𝜂0 ,𝑡 + ∥𝑔 𝑘 − 𝑔(𝑌·− , ·) ∥ 𝐻1 ,𝑡 = 0.
𝑘→∞
It follows that 𝑞 = 𝑞(𝑌·− , ·) in ℒ𝜂10 (𝐸) and 𝑔 = 𝑔(𝑌·− , ·) in ℒ𝐻1 1 (𝑀 (𝐸) ◦ ). Then
{𝑌𝑡 : 𝑡 ≥ 0} is a solution of (12.22). The characterization (12.23) of the process
follows by Theorem 12.7. □
Theorem 12.18 Suppose that there is a universal constant 𝐾 ≥ 0 such that (12.24)
holds. Then, for 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸),
(𝜇2 , ·)) ≤ ∥𝜇1 − 𝜇2 ∥e (𝑐0 +𝐾)𝑡 ,

𝑞,𝑔 𝑞,𝑔
𝑊1 (𝑃𝑡 (𝜇1 , ·), 𝑃𝑡 𝑡 ≥ 0.
Proof Let 𝑀𝜆 (𝐸) be the subset of 𝑀 (𝐸) consisting of measures absolutely con-
tinuous relative to 𝜆 := 𝜇1 + 𝜇2 . Let 𝑁 (d𝑥, d𝑤, d𝑢) be a Poisson random measure
on 𝐸 × 𝑊ˆ × (0, ∞) with intensity 𝜆(d𝑥)L(𝑥, d𝑤)d𝑢. We assume 𝑁 (d𝑥, d𝑤, d𝑢) is
independent of 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤) and 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤). For any 𝜇 ∈ 𝑀𝜆 (𝐸) let
𝜇 𝜇
{𝑋𝑡 : 𝑡 ≥ 0} be defined by (8.63). Then we can construct {𝑌𝑡 : 𝑡 ≥ 0} by the
𝜇
pathwise solution to (12.22) with {𝑋𝑡 : 𝑡 ≥ 0} replaced by {𝑋𝑡 : 𝑡 ≥ 0}. Let
𝜇1 ∨𝜇2 𝜇1 ∧𝜇2
𝑋 (𝑡) = 𝑋𝑡 − 𝑋𝑡 and
𝑞 ∗ (𝑠, 𝑦) = 𝑞(𝑌𝑠−1 , 𝑦) ∧ 𝑞(𝑌𝑠−2 , 𝑦), 𝑞 ∗ (𝑠, 𝑦) = 𝑞(𝑌𝑠−1 , 𝑦) ∨ 𝑞(𝑌𝑠−2 , 𝑦),

𝜇 𝜇 𝜇 𝜇
𝑔∗ (𝑠, 𝜈) = 𝑔(𝑌𝑠−1 , 𝜈) ∧ 𝑔(𝑌𝑠−2 , 𝜈), 𝑔 ∗ (𝑠, 𝑦) = 𝑔(𝑌𝑠−1 , 𝜈) ∨ 𝑔(𝑌𝑠−2 , 𝜈).

𝜇 𝜇 𝜇 𝜇
𝜇 𝜇 𝜇 𝜇
It is not hard to see that ∥ 𝑋𝑡 1 − 𝑋𝑡 2 ∥ ≤ ⟨𝑋 (𝑡), 1⟩ and ∥𝑌𝑡 1 − 𝑌𝑡 2 ∥ ≤ ⟨𝑌 (𝑡), 1⟩,
where
∫ 𝑡 ∫ ∫ 𝑞∗ (𝑠,𝑦) ∫
𝑌 (𝑡) = 𝑋 (𝑡) + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑡 0∫ 𝐸 𝑞∗ (𝑠,𝑦) 𝑊
+ d𝑠 [𝑞 ∗ (𝑠, 𝑦) − 𝑞 ∗ (𝑠, 𝑦)]𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)
0
∫ 𝑡 ∫ 𝐸 ∫ 𝑔∗ (𝑠,𝜈) ∫
0 𝑀 (𝐸) ◦ 𝑔∗ (𝑠,𝜈) ˆ
𝑊
By Proposition 12.5 we can see as in the proof of Corollary 12.6 that

∫ 𝑡
𝜇 𝜇
P[⟨𝑌 (𝑡), 1⟩] = ⟨|𝜇1 − 𝜇2 |, 𝜋𝑡 1⟩ + P ⟨𝜂0 , |𝑞(𝑌𝑠−1 , ·) − 𝑞(𝑌𝑠−2 , ·)|𝜋𝑡−𝑠 1⟩
0
∫
𝜇 𝜇
+ |𝑔(𝑌𝑠−1 , 𝜈) − 𝑔(𝑌𝑠−2 , 𝜈)|⟨𝜈, 𝜋𝑡−𝑠 1⟩𝐻0 (d𝜈) d𝑠
𝑀 (𝐸) ◦
∫ 𝑡
𝜇 𝜇
≤ ⟨|𝜇1 − 𝜇2 |, 1⟩e + P 𝑐0 𝑡
⟨𝜂0 , |𝑞(𝑌𝑠−1 , ·) − 𝑞(𝑌𝑠−2 , ·)|⟩
0
∫
𝜇1 𝜇2 𝑐0 (𝑡−𝑠)
+ |𝑔(𝑌𝑠− , 𝜈) − 𝑔(𝑌𝑠− , 𝜈)|𝐻1 (d𝜈) e d𝑠
𝑀 (𝐸) ◦
∫ 𝑡
e𝑐0 (𝑡−𝑠) P[∥𝑌𝑠 1 − 𝑌𝑠 2 ∥]d𝑠
𝜇 𝜇
≤ ∥𝜇1 − 𝜇2 ∥e𝑐0 𝑡 + 𝐾
0
∫ 𝑡
≤ ∥𝜇1 − 𝜇2 ∥e𝑐0 𝑡 + 𝐾 e𝑐0 (𝑡−𝑠) P[⟨𝑌 (𝑠), 1⟩]d𝑠.
0
It follows that
∫ 𝑡
e−𝑐0 𝑡 P[⟨𝑌 (𝑡), 1⟩] ≤ ∥𝜇 − 𝜈∥ + 𝐾 e−𝑐0 𝑠 P[⟨𝑌 (𝑠), 1⟩]d𝑠.
0
By Gronwall’s inequality we have
e−𝑐0 𝑡 P[∥𝑌𝑡 1 − 𝑌𝑡 2 ∥] ≤ e−𝑐0 𝑡 P[⟨𝑌 (𝑡), 1⟩] ≤ ∥𝜇1 − 𝜇2 ∥e𝐾𝑡 ,

𝜇 𝜇
which implies the desired estimate. □
We next use a localization method to establish Theorem 12.14 under the gen-
eral conditions (12.20) and (12.21). For any integer 𝑛 ≥ 1 it is easy to define a
continuously differentiable function 𝑧 ↦→ 𝑎 𝑛 (𝑧) on [0, ∞) such that
n1 for 0 ≤ 𝑧 ≤ 𝑛 − 1,
𝑎 𝑛 (𝑧) =
𝑛/𝑧 for 𝑧 ≥ 𝑛 + 1.
In addition, we can also assume 0 ≤ 𝑎 𝑛 (𝑧) ≤ 1 ∧ (𝑛/𝑧) and −1/𝑧 ≤ 𝑎 𝑛′ (𝑧) ≤ 0 for
all 𝑧 > 0.
Lemma 12.19 Suppose that 𝑞 and 𝑔 satisfy (12.21). For 𝜇 ∈ 𝑀 (𝐸), 𝑦 ∈ 𝐸 and
𝜈 ∈ 𝑀 (𝐸) ◦ let
𝑞 𝑛 (𝜇, 𝑦) = 𝑞(𝑎 𝑛 (⟨𝜇, 1⟩)𝜇, 𝑦), 𝑔𝑛 (𝜇, 𝜈) = 𝑔(𝑎 𝑛 (⟨𝜇, 1⟩)𝜇, 𝜈).
Then we have, for 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸),

∫
⟨𝜂0 , |𝑞 𝑛 (𝜇1 , ·) − 𝑞 𝑛 (𝜇2 , ·)|⟩ + |𝑔𝑛 (𝜇1 , 𝜈) − 𝑔𝑛 (𝜇2 , 𝜈)|𝐻1 (d𝜈)⟩
𝑀 (𝐸) ◦
≤ 2𝐾𝑛 ∥𝜇1 − 𝜇2 ∥. (12.26)
Proof By the mean-value theorem, for 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸) satisfying ⟨𝜇1 , 1⟩ ≤ ⟨𝜇2 , 1⟩

there exists an 𝑠 ∈ [⟨𝜇1 , 1⟩, ⟨𝜇2 , 1⟩] such that
⟨𝜇1 , 1⟩|𝑎 𝑛 (⟨𝜇1 , 1⟩) − 𝑎 𝑛 (⟨𝜇2 , 1⟩)| ≤ ⟨𝜇1 , 1⟩|𝑎 𝑛′ (𝑠)||⟨𝜇1 , 1⟩ − ⟨𝜇2 , 1⟩|
≤ ⟨𝜇1 , 1⟩𝑠−1 ∥𝜇1 − 𝜇2 ∥ ≤ ∥𝜇1 − 𝜇2 ∥.
Let 𝛾 = 𝜇1 +𝜇2 and let 𝜇¤ 1 and 𝜇¤ 2 denote respectively the Radon–Nikodym derivatives
of 𝜇1 and 𝜇2 with respect to 𝛾. It follows that
l.h.s. of (12.26) ≤ 𝐾𝑛 ∥𝑎 𝑛 (⟨𝜇1 , 1⟩)𝜇1 − 𝑎 𝑛 (⟨𝜇2 , 1⟩)𝜇2 ∥

= 𝐾𝑛 ⟨𝛾, |𝑎 𝑛 (⟨𝜇1 , 1⟩) 𝜇¤ 1 − 𝑎 𝑛 (⟨𝜇2 , 1⟩) 𝜇¤ 2 |⟩
≤ 𝐾𝑛 |𝑎 𝑛 (⟨𝜇1 , 1⟩) − 𝑎 𝑛 (⟨𝜇2 , 1⟩)|⟨𝛾, 𝜇¤ 1 ⟩
+ 𝐾𝑛 𝑎 𝑛 (⟨𝜇2 , 1⟩)⟨𝛾, | 𝜇¤ 1 − 𝜇¤ 2 |⟩
≤ 𝐾𝑛 |𝑎 𝑛 (⟨𝜇1 , 1⟩) − 𝑎 𝑛 (⟨𝜇2 , 1⟩)|⟨𝜇1 , 1⟩ + 𝐾𝑛 ∥𝜇1 − 𝜇2 ∥
≤ 2𝐾𝑛 ∥𝜇1 − 𝜇2 ∥.
Then we have the desired estimate. □
Proof (of Theorem 12.14) By Proposition 12.16 the uniqueness of solution holds
for (12.22). For each integer 𝑛 ≥ 1 let 𝑞 𝑛 (𝜇, 𝑦) and 𝑔𝑛 (𝜇, 𝜈) be defined as in
Lemma 12.19. By Proposition 12.17 there is a unique solution {𝑌𝑛 (𝑡) : 𝑡 ≥ 0}
to (12.22) with (𝑞, 𝑔) replaced by (𝑞 𝑛 , 𝑔𝑛 ). Let 𝑦 𝑛 (𝑡) = ⟨𝑌𝑛 (𝑡), 1⟩ and define the
stopping time 𝜎𝑛 = inf{𝑡 ≥ 0 : 𝑦 𝑛 (𝑡) ≥ 𝑛 − 1} for 𝑛 ≥ 1. Then {𝑌𝑘 (𝑡 ∧ 𝜎𝑘 ) : 𝑡 ≥ 0}
and {𝑌𝑛 (𝑡 ∧ 𝜎𝑘 ) : 𝑡 ≥ 0} are indistinguishable for any 𝑛 ≥ 𝑘 ≥ 1. It is easy to show
{𝜎𝑛 } is an increasing sequence. By Corollary 12.9 and Doob’s optional stopping
theorem we have
∫ 𝑡∧𝜎𝑛
P e−𝑐0 (𝑡∧𝜎𝑛 ) 𝑦 𝑛 (𝑡 ∧ 𝜎𝑛 ) − e−𝑐0 𝑠 Γ𝑛 (𝑠, 1)d𝑠 ≤ P[⟨𝑋0 , 1⟩],
0
where
∫
Γ𝑛 (𝑠, 1) = ⟨𝜂0 , 𝑞(𝑌𝑛 (𝑠−), ·)⟩ + 𝑔(𝑌𝑛 (𝑠−), 𝜈)𝐻1 (d𝜈).
𝑀 (𝐸) ◦
Then using (12.20) we obtain

∫ 𝑡∧𝜎𝑛
|𝑐0 |𝑡 |𝑐0 |𝑡 −𝑐0 𝑠
P[𝑦 𝑛 (𝑡 ∧ 𝜎𝑛 )] ≤ e P[⟨𝑋0 , 1⟩] + e P e Γ𝑛 (𝑠, 1)d𝑠
0 ∫
𝑡∧𝜎𝑛
≤ e |𝑐0 |𝑡 P[⟨𝑋0 , 1⟩] + 𝐾e2 |𝑐0 |𝑡 P

1 + 𝑦 𝑛 (𝑠−) d𝑠 ,
0
which implies that 𝑡 ↦→ P[𝑦 𝑛 (𝑡 ∧ 𝜎𝑛 )] is locally bounded. It follows that

∫ 𝑡∧𝜎𝑛
P 1 + 𝑦 𝑛 (𝑡 ∧ 𝜎𝑛 ) ≤ e |𝑐0 |𝑡 P 1 + ⟨𝑋0 , 1⟩ + 𝐾e2 |𝑐0 |𝑡 P

1 + 𝑦 𝑛 (𝑠) d𝑠
∫ 𝑡0
|𝑐0 |𝑡 2 |𝑐0 |𝑡

≤e P 1 + ⟨𝑋0 , 1⟩ + 𝐾e P 1 + 𝑦 𝑛 (𝑠 ∧ 𝜎𝑛 ) d𝑠.
0
By Gronwall’s inequality, we get
P 1 + 𝑦 𝑛 (𝑡 ∧ 𝜎𝑛 ) ≤ P 1 + ⟨𝑋0 , 1⟩ exp |𝑐 0 |𝑡 + 𝐾𝑡e2|𝑐0 |𝑡 .

(12.27)
The right continuity of 𝑡 ↦→ 𝑌𝑛 (𝑡) implies 𝑦 𝑛 (𝜎𝑛 ) = ⟨𝑌𝑛 (𝜎𝑛 ), 1⟩ ≥ 𝑛 − 1. From

(12.27) it follows that
𝑛P{𝜎𝑛 ≤ 𝑡} ≤ P 1 + ⟨𝑋0 , 1⟩ exp |𝑐 0 |𝑡 + 𝐾𝑡e2 |𝑐0 |𝑡

and so P{𝜎𝑛 ≤ 𝑡} → 0 as 𝑛 → ∞. This implies 𝜎𝑛 → ∞ increasingly. Thus there

is a càdlàg process {𝑌𝑡 : 𝑡 ≥ 0} such that a.s. 𝑌𝑛 (𝑡) = 𝑌𝑡 for every 0 ≤ 𝑡 ≤ 𝜎𝑛 . By
(12.27) and Fatou’s lemma we get
P 1 + ⟨𝑌𝑡 , 1⟩ ≤ P 1 + ⟨𝑋0 , 1⟩ exp |𝑐 0 |𝑡 + 𝐾𝑡e2|𝑐0 |𝑡 .

It is then easy to show that (𝑠, 𝑦) ↦→ 𝑞(𝑌𝑠− , 𝑦) belongs to ℒ𝜂10 (𝐸) and (𝑠, 𝜈) ↦→
𝑔(𝑌𝑠− , 𝜈) belongs to ℒ𝐻1 1 (𝑀 (𝐸) ◦ ). Clearly the equation (12.22) holds. The charac-
terization (12.23) of {𝑌𝑡 : 𝑡 ≥ 0} follows by Theorem 12.7. □
𝑞,𝑔
Proof (of Theorem 12.15) From Theorem 12.18 we know that 𝑃𝑡 (𝜇, d𝜈) is a ker-
nel on 𝑀 (𝐸) if the condition (12.24) is satisfied. This is also true in the general case
by the approximation of the solution to (12.22) given in the proof of Theorem 12.14.
Let 𝑇 be a (𝒢¯ 𝑡+ )-stopping time. For 𝑡 ≥ 0 we can write
∫ 𝑇 ∫ ∫ 𝑞 (𝑌𝑠− ,𝑦) ∫
𝑍𝑇+𝑡 = 𝑋𝑇+𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑇 0∫ 𝐸 0 𝑊
+ d𝑠 𝑞(𝑌𝑠− , 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑇 ∫ 𝐸 ∫ 𝑔 (𝑌𝑠− ,𝜈) ∫
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
By Corollary 12.8 we see that {𝑍𝑇+𝑡 : 𝑡 ≥ 0} is a (𝜉, 𝜙)-superprocess. This process

is clearly independent of the Poisson random measures 𝑁0 (𝑇 + d𝑠, d𝑦, d𝑢, d𝑤) and
𝑁1 (𝑇 + d𝑠, d𝜈, d𝑢, d𝑤). It is easy to see that {𝑌𝑇+𝑡 : 𝑡 ≥ 0} solves
∫ 𝑡 ∫ ∫ 𝑞 (𝑌(𝑇+𝑠) − ,𝑦) ∫
𝑌𝑇+𝑡 = 𝑍𝑇+𝑡 + 𝑤 𝑡−𝑠 𝑁0 (𝑇 + d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑡 0∫ 𝐸 0 𝑊
+ d𝑠 𝑞(𝑌 (𝑇+𝑠)− , 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑡 ∫ 𝐸 ∫ 𝑔 (𝑌(𝑇+𝑠) − ,𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (𝑇 + d𝑠, d𝜈, d𝑢, d𝑤).
0 𝑀 (𝐸) ◦ 0 ˆ
𝑊
By the uniqueness of solution to this equation, the random measure 𝑌𝑇+𝑡 has distri-
bution 𝑃𝑡 (𝑌𝑇 , ·) under the conditional law P(·|𝒢¯ 𝑇+ ). This gives the desired strong
𝑞,𝑔
Markov property of {𝑌𝑡 : 𝑡 ≥ 0}. □

12.4 Changes of the Branching Mechanism 359
12.4 Changes of the Branching Mechanism
section, we assume P[𝑋0 (1)] < ∞. Let (𝒢¯ 𝑡 )𝑡 ≥0 be the augmentation of the filtra-
tion (𝒢𝑡 )𝑡 ≥0 defined in Theorem 12.3. Let (𝜇, 𝑥, 𝑦) ↦→ 𝜌(𝜇, 𝑥, 𝑦) and (𝜇, 𝑥, 𝜈) ↦→
𝛽(𝜇, 𝑥, 𝜈) be positive Borel functions on 𝑀 (𝐸) × 𝐸 2 and 𝑀 (𝐸) × 𝐸 × 𝑀 (𝐸) ◦ ,
respectively. Suppose that
∫
𝐶 := sup sup 𝜌(𝜇, 𝑥, 𝑦)𝜂0 (d𝑦)
𝜇 ∈𝑀 (𝐸) 𝑥 ∈𝐸 𝐸
∫
+ 𝛽(𝜇, 𝑥, 𝜈)𝐻1 (d𝜈) < ∞ (12.28)
𝑀 (𝐸) ◦
and there is a constant 𝐾 ≥ 0 such that, for 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸),

∫
sup |𝜌(𝜇1 , 𝑥, 𝑦) − 𝜌(𝜇2 , 𝑥, 𝑦)|𝜂0 (d𝑦)
𝑥 ∈𝐸 𝐸 ∫
+ |𝛽(𝜇1 , 𝑥, 𝜈) − 𝛽(𝜇2 , 𝑥, 𝜈)|𝐻1 (d𝜈)⟩
𝑀 (𝐸) ◦
≤ 𝐾 ∥𝜇1 − 𝜇2 ∥. (12.29)
For 𝜇 ∈ 𝑀 (𝐸), 𝑦 ∈ 𝐸 and 𝜈 ∈ 𝑀 (𝐸) ◦ let
𝑞(𝜇, 𝑦) = ⟨𝜇, 𝜌(𝜇, ·, 𝑦)⟩, 𝑔(𝜇, 𝜈) = ⟨𝜇, 𝛽(𝜇, ·, 𝜈)⟩. (12.30)
Theorem 12.20 For the pair (𝑞, 𝑔) defined by (12.30), there is a unique solution
{𝑌𝑡 : 𝑡 ≥ 0} to (12.22) and {(𝑌𝑡 , 𝒢¯ 𝑡+ ) : 𝑡 ≥ 0} is a strong Markov process with the
following property: for 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝐷 0 ( 𝐴) we have
∫ 𝑡
0
∫ 𝑡h i
+ 𝐺 ′′ (𝑌𝑠 ( 𝑓 ))𝑌𝑠 (𝑐 𝑓 2 ) + 𝐺 ′ (𝑌𝑠 ( 𝑓 ))⟨𝑌𝑠 , 𝜅(𝑌𝑠 , ·, 𝑓 )⟩ d𝑠
∫0 𝑡 ∫ ∫ h
+ d𝑠 𝑌𝑠 (d𝑥) 𝐺 (𝑌𝑠 ( 𝑓 ) + 𝜈( 𝑓 ))
0 𝐸 𝑀 (𝐸) ◦ i
− 𝐺 (𝑌𝑠 ( 𝑓 )) − 𝜈( 𝑓 )𝐺 ′ (𝑌𝑠 ( 𝑓 )) 𝐻 (𝑥, d𝜈)
∫ 𝑡 ∫ ∫ h
+ d𝑠 𝑌𝑠 (d𝑥) 𝐺 (𝑌𝑠 ( 𝑓 ) + 𝜈( 𝑓 ))
0 𝐸i 𝑀 (𝐸) ◦
− 𝐺 (𝑌𝑠 ( 𝑓 )) 𝐾 (𝑌𝑠 , 𝑥, d𝜈) + (𝒢¯ 𝑡+ )-local mart., (12.31)
where
𝜅(𝜇, 𝑥, d𝑦) = 𝜌(𝜇, 𝑥, 𝑦)𝜂0 (d𝑦), 𝐾 (𝜇, 𝑥, d𝜈) = 𝛽(𝜇, 𝑥, 𝜈)𝐻0 (d𝜈). (12.32)
Proof It is sufficient to show the functions 𝑞 and 𝑔 defined by (12.30) satisfy

conditions (12.20) and (12.21) so that Theorem 12.14 applies. By (12.30) and (12.32)
we have
∫ ∫
𝑞(𝜇, 𝑦)𝜂0 (d𝑦) = 𝜇(d𝑥) 𝜌(𝜇, 𝑥, 𝑦)𝜂0 (d𝑦) = 𝜇(d𝑥)𝜅(𝜇, 𝑥, d𝑦)
𝐸 𝐸
and
∫ ∫
𝑔(𝜇, 𝜈)𝐻0 (d𝜈) = 𝜇(d𝑥) 𝛽(𝜇, 𝑥, 𝜈)𝐻0 (d𝜈) = 𝜇(d𝑥)𝐾 (𝜇, 𝑥, d𝜈).
𝐸 𝐸
From (12.28) it follows that, for 𝜇 ∈ 𝑀 (𝐸),

∫
⟨𝜂0 , 𝑞(𝜇, ·)⟩ + 𝑔(𝜇, 𝜈)𝐻1 (d𝜈) ≤ 𝐶 ∥𝜇∥.
𝑀 (𝐸) ◦
For 𝜇1 , 𝜇2 ∈ 𝑀 (𝐸) we use both (12.28) and (12.29) to get

∫
⟨𝜂0 , |𝑞(𝜇1 , ·) − 𝑞(𝜇2 , ·)|⟩ + |𝑔(𝜇1 , 𝜈) − 𝑔(𝜇2 , 𝜈)|𝐻1 (d𝜈)
∫ 𝑀 (𝐸) ◦
= ⟨𝜇1 , 𝜌(𝜇1 , ·, 𝑦)⟩ − ⟨𝜇2 , 𝜌(𝜇2 , ·, 𝑦)⟩ 𝜂0 (d𝑦)

𝐸∫
+ ⟨𝜇1 , 𝛽(𝜇1 , ·, 𝜈)⟩ − ⟨𝜇2 , 𝛽(𝜇2 , ·, 𝜈)⟩ 𝐻1 (d𝜈)

∫ 𝑀 (𝐸) ◦

≤ |⟨𝜇1 − 𝜇2 , 𝜌(𝜇1 , ·, 𝑦)⟩| + ⟨𝜇2 , 𝜌(𝜇1 , ·, 𝑦) − 𝜌(𝜇2 , ·, 𝑦)⟩ 𝜂0 (d𝑦)
𝐸∫

+ |⟨𝜇1 − 𝜇2 , 𝛽(𝜇1 , ·, 𝜈)⟩|
𝑀 (𝐸) ◦

+ ⟨𝜇2 , 𝛽(𝜇1 , ·, 𝜈) − 𝛽(𝜇2 , ·, 𝜈)⟩ 𝐻1 (d𝜈)
≤ (𝐶 + 𝐾 ∥𝜇2 ∥) ∥𝜇1 − 𝜇2 ∥.
Then (12.20) and (12.21) are indeed satisfied. □
Clearly, the martingale problem (12.31) generalizes (7.23). We may regard the
process {𝑌𝑡 : 𝑡 ≥ 0} constructed in Theorem 12.20 as a superprocess with state-
dependent branching mechanism
∫
1 − e−𝜈 ( 𝑓 ) 𝐾 (𝑌𝑠− , 𝑥, d𝜈). (12.33)

(𝑥, 𝑓 ) ↦→ 𝜙(𝑥, 𝑓 ) − 𝜅(𝑌𝑠− , 𝑥, 𝑓 ) −
𝑀 (𝐸) ◦
This gives a change of the branching mechanism.

12.4 Changes of the Branching Mechanism 361
Example 12.1 If 𝜌(𝜇, 𝑥, 𝑦) = 𝜌(𝑥, 𝑦) and 𝛽(𝜇, 𝑥, 𝜈) = 𝛽(𝑥, 𝜈) are independent of

𝜇 ∈ 𝑀 (𝐸), then {𝑌𝑡 : 𝑡 ≥ 0} is a superprocess with decomposable branching
mechanism (𝑥, 𝑓 ) ↦→ 𝜙(𝑥, 𝑓 ) − 𝜓(𝑥, 𝑓 ), where
∫ ∫
1 − e−𝜈 ( 𝑓 ) 𝛽(𝑥, 𝜈)𝐻0 (d𝜈).

𝜓(𝑥, 𝑓 ) = 𝑓 (𝑦) 𝜌(𝑥, 𝑦)𝜂0 (d𝑦) +
𝐸 𝑀 (𝐸) ◦
Let 𝛽 ∈ 𝐵(𝐸 × 𝑀 (𝐸) ◦ ) + and let 𝐼 ∈ ℐ(𝐸) be given by (9.12) with 𝜈(1)𝐻 (d𝜈)
being a finite measure on 𝑀 (𝐸) ◦ . Suppose that 𝜂(d𝑦) is absolutely continuous with
respect to 𝜂0 (d𝑦) and 𝐻 (d𝜈) is absolutely continuous with respect to 𝐻0 (d𝜈). Choose
the Radon–Nikodym derivatives
𝜂(d𝑦) 𝐻 (d𝜈)
𝜂 ′ (𝑦) = , 𝐻 ′ (𝜈) = .
𝜂0 (d𝑦) 𝐻0 (d𝜈)
For 𝜇 ∈ 𝑀 (𝐸), 𝑦 ∈ 𝐸 and 𝜈 ∈ 𝑀 (𝐸) ◦ let
𝑞(𝜇, 𝑦) = 𝜂 ′ (𝑦), 𝑔(𝜇, 𝜈) = ⟨𝜇, 𝛽(·, 𝜈)⟩ + 𝐻 ′ (𝜈). (12.34)
Clearly, the functions (𝑞, 𝑔) satisfy conditions (12.20) and (12.21). As a consequence
of Theorems 9.30 and 12.14 we have the following:
Theorem 12.21 For the pair (𝑞, 𝑔) defined by (12.34), there is a pathwise unique
solution {𝑌𝑡 : 𝑡 ≥ 0} to (12.22) and the solution is an immigration superprocess
relative to (𝒢¯ 𝑡+ )𝑡 ≥0 with immigration mechanism 𝐼 and branching mechanism
∫
1 − e−𝜈 ( 𝑓 ) 𝛽(𝑥, 𝜈)𝐻0 (d𝜈).

(𝑥, 𝑓 ) ↦→ 𝜙(𝑥, 𝑓 ) − (12.35)
𝑀 (𝐸) ◦
We next briefly discuss the characterization of some jump times of the immigra-
tion superprocesses. For 𝐴 ∈ ℬ(𝑀 (𝐸) ◦ ) let us consider the conditions:
∫
sup 𝐻 (𝑥, 𝐴) + 𝛽(𝑥, 𝜈)𝐻0 (d𝜈) = 0, 𝐻 ( 𝐴) + sup ℎ 𝐴 (𝑥) < ∞, (12.36)
𝑥 ∈𝐸 𝐴𝑐 𝑥 ∈𝐸
where 𝐴𝑐 = 𝑀 (𝐸) ◦ \ 𝐴 and

∫
ℎ 𝐴 (𝑥) = 𝛽(𝑥, 𝜈)𝐻0 (d𝜈).
𝐴
Let 𝐼 𝐴 ∈ ℐ(𝐸) be defined by

∫
1 − e−𝜈 ( 𝑓 ) 𝐻 (d𝜈), 𝑓 ∈ 𝐵(𝐸) + .

𝐼 𝐴 ( 𝑓 ) = 𝜂( 𝑓 ) + (12.37)
𝐴𝑐
The next theorem generalizes Theorem 10.13 to the measure-valued setting:

Theorem 12.22 Let {𝑌𝑡 : 𝑡 ≥ 0} be a càdlàg immigration superprocess with initial

value 𝑌0 = 𝜇 ∈ 𝑀 (𝐸), immigration mechanism 𝐼 and branching mechanism given
by (12.35). Let 𝐴 ∈ ℬ(𝑀 (𝐸) ◦ ) be a set satisfying (12.36) and let 𝜏𝐴 = inf{𝑠 > 0 :
𝑌𝑠 − 𝑌𝑠− ∈ 𝐴}. Then we have
∫ 𝑡
P(𝜏𝐴 > 𝑡) = exp − ⟨𝜇, 𝑣 𝐴 (𝑡, ·)⟩ − 𝑡𝐻 ( 𝐴) − 𝐼 𝐴 (𝑣 𝐴 (𝑠, ·))d𝑠 , (12.38)
0
where 𝐼 𝐴 is given by (12.37) and (𝑡, 𝑥) ↦→ 𝑣 𝐴 (𝑡, 𝑥) is the unique locally bounded
∫ 𝑡 ∫ 𝑡 ∫
𝑣 𝐴 (𝑡, 𝑥) = 𝑃𝑠 ℎ 𝐴 (𝑥)d𝑠 − d𝑠 𝜙(𝑦, 𝑣 𝐴 (𝑠, ·))𝑃𝑡−𝑠 (𝑥, d𝑦). (12.39)
0 0 𝐸
Proof Let us consider the immigration superprocess {𝑌𝑡 : 𝑡 ≥ 0} provided by

Theorem 12.21 with 𝑌0 = 𝑋0 = 𝜇. By Theorem 12.14 there is also a pathwise unique
solution {𝑌 𝐴 (𝑡) : 𝑡 ≥ 0} to
∫ 𝑡 ∫ ∫ 𝑞 (𝑌𝐴 (𝑠−),𝑦) ∫
𝑌 𝐴 (𝑡) = 𝑋𝑡 + 𝑤 𝑡−𝑠 𝑁0 (d𝑠, d𝑦, d𝑢, d𝑤)
ˆ
∫ 𝑡 0 ∫𝐸 0 𝑊
+ d𝑠 𝑞(𝑌 𝐴 (𝑠−), 𝑦)𝜆 𝑡−𝑠 (𝑦, ·)𝜂0 (d𝑦)

∫0 𝑡 ∫ 𝐸∫ 𝑔 (𝑌𝐴 (𝑠−) ,𝜈) ∫
+ 𝑤 𝑡−𝑠 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤). (12.40)
0 𝐴𝑐 0 ˆ
𝑊
The solution {𝑌 𝐴 (𝑡) : 𝑡 ≥ 0} is an immigration superprocess with branching mech-

anism 𝜙 and immigration mechanism 𝐼 𝐴. Moreover, it is independent of the re-
stricted Poisson random measure 1 𝐴 (𝜈)𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤). By Theorem 12.4, the
sets {𝑠 > 0 : 𝑋𝑠 − 𝑋𝑠− ∈ 𝐴} and {𝑠 > 0 : 𝑌 𝐴 (𝑠) − 𝑌 𝐴 (𝑠−) ∈ 𝐴} are a.s. empty. Since
𝑌𝑠− = 𝑌 𝐴 (𝑠−) for 0 < 𝑠 ≤ 𝜏𝐴, from (12.22) and (12.40) it follows that
∫ 𝑡 ∫ ∫ 𝑔 (𝑌𝑠− ,𝜈) ∫
P(𝜏𝐴 > 𝑡) = P 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤) = 0
ˆ
∫0 𝑡 ∫𝐴 ∫0 𝑔 (𝑌𝐴 (𝑠−),𝜈)𝑊∫
=P 𝑁1 (d𝑠, d𝜈, d𝑢, d𝑤) = 0
0 𝐴∫ 0 ˆ
𝑊
𝑡 ∫
= P exp − d𝑠 𝑔(𝑌 𝐴 (𝑠−), 𝜈)𝐻0 (d𝜈)
0 𝐴∫ ∫
𝑡
= P exp − 𝑡𝐻 ( 𝐴) − d𝑠 ⟨𝑌 𝐴 (𝑠), 𝛽(·, 𝜈)⟩𝐻0 (d𝜈)
∫ 𝑡0 𝐴
−𝑡 𝐻 ( 𝐴)
=e P exp − ⟨𝑌 𝐴 (𝑠), ℎ 𝐴⟩d𝑠 .
0
Then we have (12.38) and (12.39) by Corollary 9.23. □

Example 12.2 Let {𝑦(𝑡) : 𝑡 ≥ 0} be a càdlàg 𝑑-dimensional CBI-process with initial

state 𝑦(0) = 𝑥 ∈ R+𝑑 and with transition semigroup (𝑄 𝑡𝑁 )𝑡 ≥0 defined in Example 9.1.
The branching and immigration mechanisms of the process are given by (2.44) and
(9.17), respectively. We assume that ⟨𝑢, 1⟩𝑛(d𝑢) is a finite measure on R+𝑑 \ {0}.
Suppose that 𝐴 ∈ ℬ(R+𝑑 \ {0}) and 𝜈( 𝐴) + 𝐻𝑖 ( 𝐴) < ∞ for 𝑖 = 1, · · · , 𝑑. Let
𝜏𝐴 = inf{𝑠 > 0 : 𝑦(𝑠) − 𝑦(𝑠−) ∈ 𝐴}. For 𝜆 ∈ R+𝑑 let
∫
1 − e− ⟨𝜆,𝑢⟩ 𝐻𝑖 (d𝑢),

𝜙𝑖𝐴 (𝜆) = 𝜙𝑖 (𝜆) +
𝐴
and
∫
1 − e− ⟨𝜆,𝑢⟩ 𝑛(d𝑢),

𝜓 𝐴 (𝜆) = ⟨𝛽, 𝜆⟩ +
𝐴𝑐
where 𝐴𝑐 = R+𝑑 \ 𝐴. The branching mechanism 𝜙 𝐴 = (𝜙1𝐴, · · · , 𝜙 𝑑𝐴) clearly satisfies

ConditionsÍ7.1 and 7.2. Let 𝜂0 be the counting measure on {1, · · · , 𝑑} and let
𝑑
𝐻0 = 𝑛 + 𝑖=1 𝐻𝑖 . The results of Theorems 12.21 and 12.22 apply to this finite-
dimensional situation. Then we have
∫ 𝑡
𝐴 𝐴 𝐴
P(𝜏𝐴 > 𝑡) = exp − ⟨𝑥, 𝑣 (𝑡)⟩ − 𝑡𝜈( 𝐴) − 𝜓 (𝑣 (𝑠))d𝑠 ,
0
where 𝑡 ↦→ 𝑣 𝐴 (𝑡) = (𝑣 1𝐴 (𝑡), · · · , 𝑣 𝑑𝐴 (𝑡)) ∈ R+𝑑 is the unique locally bounded vector-
valued solution to the differential equation system
d𝑣 𝑖𝐴
(𝑡) = 𝐻𝑖 ( 𝐴) − 𝜙𝑖𝐴 (𝑣 𝐴 (𝑡)), 𝑣 𝑖𝐴 (0) = 0, 𝑖 = 1, . . . , 𝑑.
d𝑡
The approach of stochastic integral equations in constructing interactive immigra-

tion superprocess was suggested by Shiga (1990), who studied a stochastic equation
involving Poisson point processes on the space of one-dimensional excursions. How-
ever, Shiga (1990) only considered the trivial spatial motion. A generalization of his
result to non-trivial spatial motions was given in Fu and Li (2004) for binary local
branching. The well-posedness of the martingale problem for a superprocess over R
with interactive immigration was established in Mytnik and Xiong (2015) by consid-
ering the uniqueness of solution to the corresponding stochastic partial differential
equation. The main results in this chapter generalize those in Fu and Li (2004) and
Shiga (1990). The local Lipschitz condition (12.21) can be replaced by a Yamada–
Watanabe type condition; see Li (2019b) for discussions in the one-dimensional set-
ting. Abraham and Delmas (2009) gave a different method of changing the branching
mechanism of a CB-process using immigration.
A class of immigration superprocess with dependent spatial motion were con-

structed in Li et al. (2005). Using the techniques developed in Kurtz and Xiong
(1999), they gave a characterization of the conditional cumulant semigroup of the
superprocess in terms of a stochastic partial differential equation driven by a time–
space Gaussian white noise. The approach was stimulated by Xiong (2004), who
established a similar characterization for the model of Skoulakis and Adler (2001).
Let 𝜎 ∈ 𝐶 2 (R) + and ℎ ∈ 𝐶 1 (R) and assume both ℎ and ℎ ′ are square-integrable.
Let 𝜂0 ∈ 𝑀 (R) and let 𝜌 be defined by (7.73). Suppose that (𝜈, 𝑥) ↦→ 𝑞(𝜈, 𝑥) is a
positive Borel function on 𝑀 (R) × R such that there is a constant 𝐾 > 0 such that
⟨𝜂0 , 𝑞(𝜈, ·)⟩ ≤ 𝐾 (1 + ⟨𝜈, 1⟩), 𝜈 ∈ 𝑀 (R),
and for each 𝑅 > 0 there is a constant 𝐾 𝑅 > 0 such that
⟨𝜂0 , |𝑞(𝜈2 , ·) − 𝑞(𝜈1 , ·)|⟩ ≤ 𝐾 𝑅 ∥𝜈2 − 𝜈1 ∥
for 𝜈1 , 𝜈2 ∈ 𝑀 (R) satisfying ⟨𝜈1 , 1⟩ ≤ 𝑅 and ⟨𝜈2 , 1⟩ ≤ 𝑅. By considering a stochas-

tic equation similar to (12.22) involving one-dimensional excursions carried by a
stochastic flow, Dawson and Li (2003) constructed an interactive immigration super-
process with dependent spatial motion, which is a diffusion process {𝑋𝑡 : 𝑡 ≥ 0} in
𝑀 (R) satisfying the martingale problem: For each 𝑓 ∈ 𝐶 2 (R),
∫ 𝑡
1
𝑀𝑡 ( 𝑓 ) = ⟨𝑋𝑡 , 𝑓 ⟩ − ⟨𝑋0 , 𝑓 ⟩ − 𝜌(0) ⟨𝑋𝑠 , 𝑓 ′′⟩d𝑠
∫ 𝑡 ∫ 2 0
− d𝑠 𝑞(𝑌𝑠 , 𝑥) 𝑓 (𝑥)𝜂0 (d𝑥)

0 R
is a continuous martingale with quadratic variation process

∫ 𝑡 ∫ 𝑡 ∫
⟨𝑀 ( 𝑓 )⟩𝑡 = ⟨𝑋𝑠 , 𝜎 𝑓 2 ⟩d𝑠 + d𝑠 ⟨𝑋𝑠 , ℎ(𝑧 − ·) 𝑓 ′⟩ 2 d𝑧.
0 0 R
Rescaling limits of the superprocess with dependent spatial motion were investigated
in Dawson et al. (2004c) and Li et al. (2004), which led to a superprocess with
coalescing spatial motion. Zhou (2007) gave a characterization of the conditional
Laplace functional of the latter. A lattice branching-coalescing particle system was
studied in Athreya and Swart (2005, 2009).
Chapter 13
Generalized Ornstein–Uhlenbeck Processes
Generalized Ornstein–Uhlenbeck processes constitute a large class of explicit ex-

amples of Markov processes in infinite-dimensional spaces with rich mathematical
structures. Those processes may have non-trivial invariant measures, which make
them better candidates for infinite-dimensional reference processes than Lévy pro-
cesses. In this chapter, we first give a formulation of generalized Ornstein–Uhlenbeck
processes in Hilbert spaces using the generalized Mehler semigroups introduced by
Bogachev and Röckner (1995) and Bogachev et al. (1996). Then we give a sys-
tematic exploration of the structures of the generalized Mehler semigroups. Since
such a semigroup can be defined by a linear semigroup and a skew convolution
semigroup, we mainly discuss the latter. We shall see that a skew convolution semi-
group is always formed with infinitely divisible probability measures. The key result
is a characterization of the skew convolution semigroups in terms of infinitely di-
visible probability entrance laws. For centered skew convolution semigroups with
finite second-moments, those entrance laws can be closed by probability measures
on an enlarged Hilbert space. We also give some constructions for the generalized
Ornstein–Uhlenbeck processes determined by closed entrance laws and study the
corresponding Langevin type equations.
13.1 Generalized Mehler Semigroups
Suppose that 𝐻 is a real separable Hilbert space with inner product ⟨·, ·⟩. We say
a bounded linear operator 𝑆 on this space is symmetric if ⟨𝑆𝑎, 𝑏⟩ = ⟨𝑎, 𝑆𝑏⟩ for all
𝑎, 𝑏 ∈ 𝐻, and say it is positive definite if ⟨𝑆𝑎, 𝑎⟩ ≥ 0 for all 𝑎 ∈ 𝐻. A bounded
linear operator 𝑆 on 𝐻 is called a trace class operator if there is an orthonormal
basis {𝑒 1 , 𝑒 2 , . . .} of 𝐻 such that
∑︁
Tr(𝑆) := ⟨𝑆𝑒 𝑖 , 𝑒 𝑖 ⟩ < ∞.
𝑖

366 13 Generalized Ornstein–Uhlenbeck Processes
The sum Tr(𝑆) is called the trace of 𝑆, which is independent of the choice of the
orthonormal basis {𝑒 1 , 𝑒 2 , . . .}. In most cases, we consider an infinite-dimensional
space 𝐻. Given a probability measure 𝜈 on 𝐻, let 𝜈ˆ denote its characteristic functional
defined by
∫
ˆ
𝜈(𝑎) = e𝑖 ⟨𝑥,𝑎⟩ 𝜈(d𝑥), 𝑎 ∈ 𝐻. (13.1)
𝐻
It is well known that 𝜈ˆ determines 𝜈 uniquely. The infinite divisibility of the probabil-
ity measure can be defined as in Section 1.4. If 𝜈 is an infinitely divisible probability
ˆ
measure on 𝐻, then 𝜈(𝑎) ≠ 0 for all 𝑎 ∈ 𝐻 and there is a unique continuous function
log 𝜈ˆ on 𝐻 such that log 𝜈(0)
ˆ = 0 and 𝜈(𝑎)
ˆ = exp{log 𝜈(𝑎)}
ˆ for 𝑎 ∈ 𝐻; see, e.g.,
Linde (1986, p. 20) and Parthasarathy (1967, p. 171). Let
𝐾0 (𝑥, 𝑎) = e𝑖 ⟨𝑥,𝑎⟩ − 1 − 𝑖⟨𝑥, 𝑎⟩1 { ∥ 𝑥 ∥ ≤1} , 𝑥, 𝑎 ∈ 𝐻.
Proposition 13.1 A probability measure 𝜈 on 𝐻 is infinitely divisible if and only if

𝜓 := − log 𝜈ˆ is uniquely represented by
∫
1
𝜓(𝑎) = −𝑖⟨𝑏, 𝑎⟩ + ⟨𝑅𝑎, 𝑎⟩ − 𝐾0 (𝑥, 𝑎) 𝑀 (d𝑥), (13.2)
2 𝐻◦
where 𝑏 ∈ 𝐻, 𝑅 is a symmetric positive definite trace class operator on 𝐻, and 𝑀 is

a 𝜎-finite (Lévy) measure on 𝐻 ◦ := 𝐻 \ {0} satisfying
∫
(1 ∧ ∥𝑥∥ 2 ) 𝑀 (d𝑥) < ∞. (13.3)
𝐻◦
Proof See, e.g., Linde (1986, p. 84) and Parthasarathy (1967, p. 181). □
We write 𝜈 = 𝐼 (𝑏, 𝑅, 𝑀) if 𝜈 is an infinitely divisible probability measure with

𝜓 = − log 𝜈ˆ given by (13.2). Under the stronger moment condition
∫
(∥𝑥∥ ∧ ∥𝑥∥ 2 ) 𝑀 (d𝑥) < ∞, (13.4)
𝐻◦
we can define
∫ ∫
𝛽= 𝑥𝜈(d𝑥) = 𝑏 + 𝑥1 { ∥ 𝑥 ∥>1} 𝑀 (d𝑥)
𝐻 𝐻◦
and rewrite (13.2) as

∫
1
𝜓(𝑎) = −𝑖⟨𝛽, 𝑎⟩ + ⟨𝑅𝑎, 𝑎⟩ − 𝐾1 (𝑥, 𝑎) 𝑀 (d𝑥), (13.5)
2 𝐻◦
where
𝐾1 (𝑥, 𝑎) = e𝑖 ⟨𝑥,𝑎⟩ − 1 − 𝑖⟨𝑥, 𝑎⟩, 𝑥, 𝑎 ∈ 𝐻.

13.1 Generalized Mehler Semigroups 367
In this case, we write 𝜈 = 𝐼1 (𝛽, 𝑅, 𝑀).

Let (𝑇𝑡 )𝑡 ≥0 be a strongly continuous semigroup of bounded linear operators on 𝐻.
Then the semigroup (𝑇𝑡∗ )𝑡 ≥0 of dual operators of (𝑇𝑡 )𝑡 ≥0 is also strongly continuous
on 𝐻; see, e.g., Pazy (1983, p. 41). A family of probability measures (𝛾𝑡 )𝑡 ≥0 on 𝐻 is
called a skew convolution semigroup (SC-semigroup) associated with (𝑇𝑡 )𝑡 ≥0 if the
following equation is satisfied:
𝛾𝑟+𝑡 = (𝛾𝑟 ◦ 𝑇𝑡−1 ) ∗ 𝛾𝑡 , 𝑟, 𝑡 ≥ 0. (13.6)

𝛾
In this case, we can define a transition semigroup (𝑄 𝑡 )𝑡 ≥0 on 𝐻 by
𝛾
𝑄 𝑡 (𝑥, ·) = 𝛿𝑇𝑡 𝑥 (·) ∗ 𝛾𝑡 (·), (13.7)
which is called a generalized Mehler semigroup associated with (𝑇𝑡 )𝑡 ≥0 . A Markov

process in 𝐻 is called a generalized Ornstein–Uhlenbeck process (generalized OU-
𝛾
process) if it has transition semigroup (𝑄 𝑡 )𝑡 ≥0 . Observe that (13.6) is equivalent
to
𝛾ˆ𝑟+𝑡 (𝑎) = 𝛾ˆ𝑟 (𝑇𝑡∗ 𝑎) 𝛾ˆ 𝑡 (𝑎), 𝑟, 𝑡 ≥ 0, 𝑎 ∈ 𝐻. (13.8)
Proposition 13.2 If (𝛾𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 , then each

probability measure 𝛾𝑡 is infinitely divisible.
Proof This proof is a simplification of that of Schmuland and Sun (2001). By (13.6)
we have 𝛾0 = 𝛾0 ∗ 𝛾0 and so 𝛾0 = 𝛿0 , which is certainly infinitely divisible. From
(13.8) it follows that
| 𝛾ˆ𝑟+𝑡 (𝑎)| = | 𝛾ˆ𝑟 (𝑇𝑡∗ 𝑎)|| 𝛾ˆ 𝑡 (𝑎)|, 𝑟, 𝑡 ≥ 0, 𝑎 ∈ 𝐻. (13.9)
Then 𝑡 ↦→ | 𝛾ˆ 𝑡 (𝑎)| is decreasing and hence the limit | 𝛾ˆ 0+ (𝑎)| := lim𝑡→0 | 𝛾ˆ 𝑡 (𝑎)| exists.
Observe also that lim𝑡→0 𝛾ˆ𝑟 (𝑇𝑡∗ 𝑎) = 𝛾ˆ𝑟 (𝑎). Then we may let 𝑡 → 0 and 𝑟 → 0 in
(13.9) to see that | 𝛾ˆ 0+ (𝑎)| = | 𝛾ˆ 0+ (𝑎)| 2 . It thus follows that | 𝛾ˆ 0+ (𝑎)| = 1 or 0. For any
𝑡 > 0 and any integer 𝑘 ≥ 1 we have
−1
(𝛾𝑡−𝑡/𝑘 ◦ 𝑇𝑡/𝑘 ) ∗ 𝛾𝑡/𝑘 = 𝛾𝑡 .
By Parthasarathy (1967, p. 72), there is a sequence {𝑥 𝑘 } ⊂ 𝐻 such that 𝛾𝑡/𝑘 ∗𝛿 𝑥𝑘 → 𝜈

weakly as 𝑘 → ∞, where 𝜈 is a probability measure on 𝐻. Consequently,
| 𝜈(𝑎)|
ˆ = lim | 𝛾ˆ 𝑡/𝑘 (𝑎)| = | 𝛾ˆ 0+ (𝑎)| = 1 or 0, 𝑎 ∈ 𝐻.
𝑘→∞
Since 𝛼 ↦→ | 𝜈(𝛼𝑎)|
ˆ is continuous and | 𝜈(0)|
ˆ = 1, we must have | 𝜈(𝑎)|
ˆ = 1. Then the
symmetrization of 𝜈 is the unit mass concentrated at zero. It follows that 𝜈 = 𝛿 𝑥 for
some 𝑥 ∈ 𝐻; see, e.g., Linde (1986, p. 23). Setting 𝑦 𝑘 = 𝑥 𝑘 −𝑥 we have 𝛾𝑡/𝑘 ∗𝛿 𝑦𝑘 → 𝛿0
as 𝑘 → ∞. Since 𝑡 ↦→ ∥𝑇𝑡 ∥ is a locally bounded function, the probability measures
−1
𝜈 𝑘, 𝑗 := (𝛾𝑡/𝑘 ∗ 𝛿 𝑦𝑘 ) ◦ 𝑇𝑡− 𝑗𝑡/𝑘 , 1 ≤ 𝑗 ≤ 𝑘, 𝑘 ≥ 1,
form a uniform infinitesimal triangular array. By applying (13.6) inductively we see

that
𝑘
Ö 𝑘
Ö
−1
𝛾𝑡 = ∗(𝛾𝑡/𝑘 ◦ 𝑇𝑡− 𝑗𝑡/𝑘 ) = ∗𝜈 𝑘, 𝑗 ∗ 𝛿 𝑧𝑘 ,
𝑗=1 𝑗=1
Í
where 𝑧 𝑘 = − 𝑘𝑗=1 𝑇𝑡− 𝑗𝑡/𝑘 𝑦 𝑘 . It then follows that each 𝛾𝑡 is infinitely divisible; see
de Acosta et al. (1978) and Parthasarathy (1967, p. 199). □
By Propositions 13.1 and 13.2, we may write 𝛾𝑡 = 𝐼 (𝑏 𝑡 , 𝑅𝑡 , 𝑀𝑡 ) for 𝑡 ≥ 0. It is

not hard to show that (13.8) is satisfied if and only if we have
𝑅𝑟+𝑡 = 𝑇𝑡 𝑅𝑟 𝑇𝑡∗ + 𝑅𝑡 , 𝑀𝑟+𝑡 = (𝑀𝑟 ◦ 𝑇𝑡−1 )| 𝐻 ◦ + 𝑀𝑡 , (13.10)
and
∫

𝑏𝑟+𝑡 = 𝑏 𝑡 + 𝑇𝑡 𝑏𝑟 + 1 { ∥𝑇𝑡 𝑥 ∥ ≤1} − 1 { ∥ 𝑥 ∥ ≤1} 𝑇𝑡 𝑥𝑀𝑟 (d𝑥) (13.11)
𝐻◦
for all 𝑟, 𝑡 ≥ 0. If the stronger moment condition (13.4) is satisfied for each 𝑀𝑡 , we
write 𝛾𝑡 = 𝐼1 (𝛽𝑡 , 𝑅𝑡 , 𝑀𝑡 ), where
∫ ∫
𝛽𝑡 = 𝑥𝜈𝑡 (d𝑥) = 𝑏 𝑡 + 𝑥1 { ∥ 𝑥 ∥>1} 𝑀𝑡 (d𝑥).
𝐻 𝐻◦
In this case, the property (13.8) holds if and only if we have (13.10) and
𝛽𝑟+𝑡 = 𝛽𝑡 + 𝑇𝑡 𝛽𝑟 , 𝑟, 𝑡 ≥ 0. (13.12)
Suppose that 𝜈0 is a probability measure on 𝐻 and let 𝜓0 := − log 𝜈ˆ0 . Since the
dual semigroup (𝑇𝑡∗ )𝑡 ≥0 is also strongly continuous, for each 𝑡 ≥ 0 we can define an
infinitely divisible probability measure 𝛾𝑡 on 𝐻 by
∫ 𝑡
∗
𝛾ˆ 𝑡 (𝑎) = exp − 𝜓0 (𝑇𝑠 𝑎)d𝑠 , 𝑎 ∈ 𝐻. (13.13)
0
It is easy to show that (𝛾𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 , which is

called a regular SC-semigroup. The corresponding generalized Mehler semigroup
is given by
∫ ∫ 𝑡
e𝑖 ⟨𝑦,𝑎⟩ 𝑄 𝑡 (𝑥, d𝑦) = exp 𝑖⟨𝑥, 𝑇𝑡∗ 𝑎⟩ − 𝜓0 (𝑇𝑠∗ 𝑎)d𝑠 .
𝛾
(13.14)
𝐻 0
Example 13.1 Let 𝑏 > 0 and 𝑐 > 0 be constants and let {𝐵(𝑡) : 𝑡 ≥ 0} be a standard
Brownian motion. A classical OU-process is the solution of the Langevin equation
d𝑋 (𝑡) = 𝑐d𝐵(𝑡) − 𝑏𝑋 (𝑡)d𝑡, 𝑡 ≥ 0.

13.2 Gaussian Type Semigroups 369
Given the initial value 𝑋 (0) = 𝑥, we have

∫ 𝑡
−𝑏𝑡
𝑋 (𝑡) = e 𝑥 + 𝑐 e−𝑏 (𝑡−𝑠) d𝐵(𝑠), 𝑡 ≥ 0.
0
The second term on the right-hand side has Gaussian distribution 𝛾𝑡 := 𝑁 (0, 𝜎𝑡2 )
with
𝑐2
∫ 𝑡
𝜎𝑡2 = 𝑐2 e−2𝑏 (𝑡−𝑠) d𝑠 = (1 − e−2𝑏𝑡 ).
0 2𝑏
𝛾
Then {𝑋 (𝑡) : 𝑡 ≥ 0} has transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by
∫
𝑓 (e−𝑏𝑡 𝑥 + 𝑦)𝛾𝑡 (d𝑦),
𝛾
𝑄 𝑡 𝑓 (𝑥) = 𝑡 ≥ 0, 𝑥 ∈ R.
R
Setting 𝜇 = 𝑁 (0, 𝑐2 /2𝑏) we obtain the classical Mehler formula

∫ √︁
𝑓 e−𝑏𝑡 𝑥 + 1 − e−2𝑏𝑡 𝑦 𝜇(d𝑦).
𝛾
𝑄 𝑡 𝑓 (𝑥) =
R
13.2 Gaussian Type Semigroups
We say an SC-semigroup (𝛾𝑡 )𝑡 ≥0 is of the Gaussian type if each 𝛾𝑡 is a centered

Gaussian probability measure. By the discussions of Section 13.1, a Gaussian type
SC-semigroup (𝛾𝑡 )𝑡 ≥0 associated with (𝑇𝑡 )𝑡 ≥0 is given by
1
log 𝛾ˆ 𝑡 (𝑎) = − ⟨𝑅𝑡 𝑎, 𝑎⟩, 𝑡 ≥ 0, 𝑎 ∈ 𝐻, (13.15)
2
where 𝑅𝑡 is a symmetric positive definite trace class operator on 𝐻 satisfying the
first equation in (13.10).
Theorem 13.3 A family of centered Gaussian probability measures (𝛾𝑡 )𝑡 ≥0 on 𝐻

given by (13.15) form an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 if and only if (𝑅𝑡 )𝑡 ≥0
is given by
∫ 𝑡
⟨𝑅𝑡 𝑎, 𝑎⟩ = ⟨𝑈𝑠 𝑎, 𝑎⟩d𝑠, 𝑡 ≥ 0, 𝑎 ∈ 𝐻, (13.16)
0
where (𝑈𝑠 ) 𝑠>0 is a family of symmetric positive definite trace class operators on 𝐻
satisfying 𝑈𝑠+𝑡 = 𝑇𝑡 𝑈𝑠 𝑇𝑡∗ for all 𝑠, 𝑡 > 0 and
∫ 𝑡
Tr 𝑈𝑠 d𝑠 < ∞, 𝑡 ≥ 0.
0
Lemma 13.4 If the family (𝛾𝑡 )𝑡 ≥0 given by (13.15) is an SC-semigroup associated

with (𝑇𝑡 )𝑡 ≥0 , then the function 𝑡 ↦→ ⟨𝑅𝑡 𝑎, 𝑏⟩ is absolutely continuous in 𝑡 ≥ 0 for all
𝑎, 𝑏 ∈ 𝐻.
Proof Since (𝑇𝑡 )𝑡 ≥0 is strongly continuous, there are constants 𝐵 ≥ 1 and 𝑐 ≥ 0
such that ∥𝑇𝑡 ∥ ≤ 𝐵e𝑐𝑡 . From (13.6) we have
∫ ∫ ∫
∥𝑥∥ 2 𝛾𝑟+𝑡 (d𝑥) = ∥𝑇𝑡 𝑥∥ 2 𝛾𝑟 (d𝑥) + ∥𝑥∥ 2 𝛾𝑡 (d𝑥). (13.17)
𝐻 𝐻 𝐻
It follows that
∫
𝑔(𝑡) := ∥𝑥∥ 2 𝛾𝑡 (d𝑥), 𝑡≥0 (13.18)
𝐻
is an increasing function. We claim

𝑛
∑︁
[𝑔(𝑡 𝑗 ) − 𝑔(𝑟 𝑗 )] ≤ 𝐵2 e2𝑐𝑙 𝑔(𝜎𝑛 ) (13.19)
𝑗=1
Í
for 0 < 𝑟 1 < 𝑡 1 < · · · < 𝑟 𝑛 < 𝑡 𝑛 ≤ 𝑙, where 𝜎𝑛 = 𝑛𝑗=1 (𝑡 𝑗 − 𝑟 𝑗 ). When 𝑛 = 1, this
follows from (13.17). Now let us assume (13.19) holds for 𝑛 − 1. By applying (13.17)
twice we have
𝑛
∑︁ ∫
2 2𝑐𝑙
[𝑔(𝑡 𝑗 ) − 𝑔(𝑟 𝑗 )] ≤ 𝐵 e ∥𝑥∥ 2 𝛾 𝜎𝑛−1 (d𝑥) + [𝑔(𝑡 𝑛 ) − 𝑔(𝑟 𝑛 )]
𝑗=1 𝐻
∫ ∫
2 2𝑐𝑙 2
=𝐵 e ∥𝑥∥ 𝛾 𝜎𝑛−1 (d𝑥) + ∥𝑇𝑟𝑛 𝑥∥ 2 𝛾𝑡𝑛 −𝑟𝑛 (d𝑥)
∫𝐻 𝐻
≤ 𝐵2 e2𝑐𝑙 ∥𝑥∥ 2 𝛾 𝜎𝑛−1 (d𝑥)

𝐻
∫
+ 𝐵2 e2𝑐𝑙 ∥𝑇𝜎𝑛−1 𝑥∥ 2 𝛾𝑡𝑛 −𝑟𝑛 (d𝑥)
∫ 𝐻
= 𝐵2 e2𝑐𝑙 ∥𝑥∥ 2 𝛾 𝜎𝑛 (d𝑥),
𝐻
which gives (13.19). Letting 𝑟 → 0 and 𝑡 → 0 in (13.17) and using the fact that 𝑔 is
an increasing function one sees that 𝑔(𝑡) → 0 as 𝑡 → 0. Then (13.19) implies that 𝑔
is absolutely continuous in 𝑡 ≥ 0. By the first equality in (13.10) we see 𝑡 ↦→ ⟨𝑅𝑡 𝑎, 𝑎⟩
is increasing for any 𝑎 ∈ 𝐻. For 𝑡 ≥ 𝑟 ≥ 0 we use (13.10) again to see
∫
∗ ∗
⟨𝑅𝑡 𝑎, 𝑎⟩ − ⟨𝑅𝑟 𝑎, 𝑎⟩ = ⟨𝑅𝑡−𝑟 𝑇𝑟 𝑎, 𝑇𝑟 𝑎⟩ = ⟨𝑥, 𝑇𝑟∗ 𝑎⟩ 2 𝛾𝑡−𝑟 (d𝑥)
∫ 𝐻
≤ ∥𝑎∥ 2 ∥𝑇𝑟 𝑥∥ 2 𝛾𝑡−𝑟 (d𝑥) = ∥𝑎∥ 2 [𝑔(𝑡) − 𝑔(𝑟)].

𝐻
Then ⟨𝑅𝑡 𝑎, 𝑎⟩ is absolutely continuous in 𝑡 ≥ 0. A polarization argument shows

⟨𝑅𝑡 𝑎, 𝑏⟩ is absolutely continuous in 𝑡 ≥ 0 for all 𝑎, 𝑏 ∈ 𝐻. □
13.2 Gaussian Type Semigroups 371
Lemma 13.5 If the family (𝛾𝑡 )𝑡 ≥0 given by (13.15) is an SC-semigroup associated

with (𝑇𝑡 )𝑡 ≥0 , then there is a family of symmetric positive definite trace class operators
(𝑈𝑠 ) 𝑠>0 on 𝐻 such that (13.16) holds.
Proof Let {𝑒 𝑛 : 𝑛 = 1, 2, . . . } be an orthonormal basis of the space 𝐻. By
Lemma 13.4, there are locally integrable Borel functions 𝐴𝑚,𝑛 on [0, ∞) such that
∫ 𝑡
⟨𝑅𝑡 𝑒 𝑚 , 𝑒 𝑛 ⟩ = 𝐴𝑚,𝑛 (𝑠)d𝑠, 𝑡 ≥ 0, 𝑚, 𝑛 ≥ 1. (13.20)
0
The symmetry of 𝑅𝑡 implies

∫ 𝑡 ∫ 𝑡
𝐴𝑚,𝑛 (𝑠)d𝑠 = 𝐴𝑛,𝑚 (𝑠)d𝑠. (13.21)
0 0
Since 𝑅𝑡 is positive definite, for any 𝑎 ∈ span{𝑒 1 , 𝑒 2 , . . . } we have

∫ 𝑡 ∞
∑︁
⟨𝑅𝑡 𝑎, 𝑎⟩ = 𝐴𝑚,𝑛 (𝑠)⟨𝑎, 𝑒 𝑚 ⟩⟨𝑎, 𝑒 𝑛 ⟩d𝑠 ≥ 0. (13.22)
0 𝑚,𝑛=1
(The sum only contains finitely many nontrivial terms!) In addition, since 𝑅𝑡 is a
trace class operator, we get
∫ 𝑡 ∞
∑︁ ∞
∑︁
𝐴𝑛,𝑛 (𝑠) d𝑠 = ⟨𝑅𝑡 𝑒 𝑛 , 𝑒 𝑛 ⟩ = Tr(𝑅𝑡 ) < ∞. (13.23)
0 𝑛=1 𝑛=1
Let 𝐹 be the subset of [0, ∞) consisting of all 𝑠 ≥ 0 such that 𝐴𝑚,𝑛 (𝑠) = 𝐴𝑛,𝑚 (𝑠)
for 𝑚, 𝑛 ≥ 1 and
∞
∑︁ ∞
∑︁
𝐴𝑛,𝑛 (𝑠) < ∞ and 𝐴𝑚,𝑛 (𝑠)⟨𝑎, 𝑒 𝑚 ⟩⟨𝑎, 𝑒 𝑛 ⟩ ≥ 0 (13.24)
𝑛=1 𝑚,𝑛=1
for 𝑎 ∈ span{𝑒 1 , 𝑒 2 , . . . } with rational coefficients. As observed in the proof of

Lemma 13.4, the function 𝑡 ↦→ ⟨𝑅𝑡 𝑎, 𝑎⟩ is increasing. From (13.21), (13.22) and
(13.23) we conclude that 𝐹 has full Lebesgue measure. For any 𝑠 ∈ 𝐹,
∞
∑︁
𝑈𝑠 𝑎 = 𝐴𝑚,𝑛 (𝑠)⟨𝑎, 𝑒 𝑚 ⟩𝑒 𝑛 (13.25)
𝑚,𝑛=1
defines a symmetric positive definite linear operator on span{𝑒 1 , 𝑒 2 , . . . }. Taking

𝑏 = 𝑥𝑒 𝑚 + 𝑦𝑒 𝑛 with rational 𝑥 and 𝑦, we get

𝐴𝑚,𝑚 (𝑠) 𝐴𝑚,𝑛 (𝑠) 𝑥
⟨𝑈𝑠 𝑏, 𝑏⟩ = (𝑥, 𝑦) ≥ 0,
𝐴𝑛,𝑚 (𝑠) 𝐴𝑛,𝑛 (𝑠) 𝑦
so that the 2 × 2 matrix above is positive definite. Therefore, its determinant is

positive, that is,
𝐴𝑚,𝑛 (𝑠) 2 ≤ 𝐴𝑚,𝑚 (𝑠) 𝐴𝑛,𝑛 (𝑠). (13.26)
This combined with Schwarz’s inequality gives

∞ ∑︁
∑︁ ∞ 2
2
∥𝑈𝑠 𝑎∥ = 𝐴𝑚,𝑛 (𝑠)⟨𝑎, 𝑒 𝑚 ⟩
𝑛=1 𝑚=1
∞ ∑︁
∑︁ ∞ ∞
∑︁
≤ 𝐴𝑚,𝑛 (𝑠) 2 ⟨𝑎, 𝑒 𝑚 ⟩ 2
𝑛=1 𝑚=1 𝑚=1
∞
∑︁ 2
≤ 𝐴𝑛,𝑛 (𝑠) ∥𝑎∥ 2
𝑛=1
for 𝑎 ∈ span{𝑒 1 , 𝑒 2 , . . . }. Then 𝑈𝑠 is a bounded operator and can be extended to the

entire space 𝐻. In fact, 𝑈𝑠 is a trace class operator since
∞
∑︁ ∞
∑︁
Tr(𝑈𝑠 ) = ⟨𝑈𝑠 𝑒 𝑛 , 𝑒 𝑛 ⟩ = 𝐴𝑛,𝑛 (𝑠) < ∞.
𝑛=1 𝑛=1
For 𝑠 ∉ 𝐹 we let 𝑈𝑠 = 0. By (13.22) and (13.25), for 𝑎 ∈ span{𝑒 1 , 𝑒 2 , . . . } we have

∫ 𝑡
⟨𝑅𝑡 𝑎, 𝑎⟩ = ⟨𝑈𝑠 𝑎, 𝑎⟩d𝑠. (13.27)
0
Since 𝑠 ↦→ Tr(𝑈𝑠 ) is locally integrable, by dominated convergence we see that

(13.27) holds for all 𝑎 ∈ 𝐻. □
Proof (of Theorem 13.3) If (𝛾𝑡 )𝑡 ≥0 is a family of probability measures given by

(13.15) and (13.16), it is clearly an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 . For
the converse, suppose the family (𝛾𝑡 )𝑡 ≥0 given by (13.15) form an SC-semigroup
associated with (𝑇𝑡 )𝑡 ≥0 . Let (𝑈𝑠 ) 𝑠>0 be provided by Lemma 13.5. Note that (13.16)
and the first equation of (13.10) imply
∫ 𝑟 ∫ 𝑟
⟨𝑈𝑠+𝑡 𝑎, 𝑎⟩d𝑠 = ⟨𝑈𝑠 𝑇𝑡∗ 𝑎, 𝑇𝑡∗ 𝑎⟩d𝑠, 𝑟, 𝑡 ≥ 0, 𝑎 ∈ 𝐻.
0 0
Since 𝐻 is separable, by Fubini’s theorem, there are subsets 𝐵 and 𝐵𝑠 of [0, ∞) with
full Lebesgue measure such that
𝑈𝑠+𝑡 = 𝑇𝑡 𝑈𝑠 𝑇𝑡∗ , 𝑠 ∈ 𝐵, 𝑡 ∈ 𝐵𝑠 .
As in the proof of Theorem 8.10, we can choose a decreasing sequence 𝑠 𝑛 ∈ 𝐵 with

𝑠 𝑛 → 0 and redefine (𝑈𝑡 )𝑡 >0 by
∗
𝑈𝑡 := 𝑇𝑡−𝑠𝑛 𝑈𝑠𝑛 𝑇𝑡−𝑠𝑛
, 𝑡 > 𝑠𝑛 .
With this modification, the family of operators (𝑈𝑡 )𝑡 >0 satisfy 𝑈𝑟+𝑡 = 𝑇𝑡 𝑈𝑟 𝑇𝑡∗ for all
𝑟, 𝑡 > 0 while (13.16) remains unchanged. □
13.3 Non-Gaussian Type Semigroups 373
13.3 Non-Gaussian Type Semigroups
Suppose that (𝛾𝑡 )𝑡 ≥0 is a family of infinitely divisible probability measures on 𝐻

such that 𝛾𝑡 = 𝐼 (𝑏 𝑡 , 𝑅𝑡 , 𝑀𝑡 ). We say the linear part (𝑏 𝑡 )𝑡 ≥0 is absolutely continuous
if there exists an 𝐻-valued path (𝑐 𝑠 ) 𝑠>0 such that
∫ 𝑡
⟨𝑏 𝑡 , 𝑎⟩ = ⟨𝑐 𝑠 , 𝑎⟩d𝑠, 𝑡 ≥ 0, 𝑎 ∈ 𝐻. (13.28)
0
Proposition 13.6 If (𝛾𝑡 )𝑡 ≥0 is an SC-semigroup given by 𝛾𝑡 = 𝐼 (𝑏 𝑡 , 𝑅𝑡 , 𝑀𝑡 ), we can

write
∫ ∫ 𝑡 ∫
𝐾0 (𝑥, 𝑎) 𝑀𝑡 (d𝑥) = d𝑠 𝐾0 (𝑥, 𝑎)𝐿 𝑠 (d𝑥), 𝑡 ≥ 0, 𝑎 ∈ 𝐻, (13.29)
𝐻◦ 0 𝐻◦
where 𝐿 𝑠 (d𝑥) is a 𝜎-finite kernel from (0, ∞) to 𝐻 ◦ satisfying 𝐿 𝑟+𝑡 = (𝐿 𝑟 ◦ 𝑇𝑡−1 )| 𝐻 ◦

for 𝑟, 𝑡 > 0 and
∫ 𝑡 ∫
d𝑠 (1 ∧ ∥𝑥∥ 2 )𝐿 𝑠 (d𝑥) < ∞, 𝑡 ≥ 0. (13.30)
0 𝐻
Proof Let 𝑐 ≥ 1 and 𝑏 ≥ 0 be as in the proof of Lemma 13.4. From the second
equation in (13.10) we see that 𝑡 ↦→ 𝑀𝑡 is increasing. Let
∫
ℎ(𝑡) = (1 ∧ ∥𝑥∥ 2 )𝑀𝑡 (d𝑥), 𝑡 ≥ 0.
𝐻◦
By (13.10) for 𝑟, 𝑡 ≥ 0 we have

∫
ℎ(𝑟 + 𝑡) − ℎ(𝑟) = (1 ∧ ∥𝑇𝑟 𝑥∥ 2 ) 𝑀𝑡 (d𝑥),
𝐻◦
which is bounded above by 𝑐2 e2𝑏𝑟 ℎ(𝑡). As in the proof of Lemma 13.4, one sees that
ℎ(𝑡) is absolutely continuous in 𝑡 ≥ 0. Observe that 𝑡 ↦→ 𝜈𝑡 (d𝑥) := (1∧ ∥𝑥∥ 2 )𝑀𝑡 (d𝑥)
defines an increasing family of finite measures, so 𝑡 ↦→ 𝜈𝑡 (𝐵) determines a Radon
measure 𝜈(d𝑠, 𝐵) on [0, ∞) for each 𝐵 ∈ ℬ(𝐻 ◦ ). A monotone class argument
shows that 𝜈( 𝐴, ·) is a Borel measure on 𝐻 ◦ for each 𝐴 ∈ ℬ[0, ∞), so that 𝜈(·, ·) is
a bimeasure. By Ethier and Kurtz (1986, p. 502), there is a probability kernel 𝐽𝑠 (d𝑥)
from [0, ∞) to 𝐻 ◦ such that
∫ ∫ ∫
◦
𝜈( 𝐴, 𝐵) = 𝐽𝑠 (𝐵)𝜈(d𝑠, 𝐻 ) = 𝐽𝑠 (𝐵)dℎ(𝑠) = 𝐽𝑠 (𝐵)ℎ ′ (𝑠)d𝑠,
𝐴 𝐴 𝐴
where ℎ ′ (𝑠) is a Radon–Nikodym derivative of dℎ(𝑠) relative to the Lebesgue

measure. Defining the 𝜎-finite kernel 𝐿 𝑠 (d𝑥) = (1 ∧ ∥𝑥∥ 2 ) −1 ℎ ′ (𝑠)𝐽𝑠 (d𝑥) we obtain
(13.29). By the second equation of (13.10) one can modify the definition of (𝐿 𝑡 )𝑡 >0
so that 𝐿 𝑟+𝑡 = (𝐿 𝑟 ◦ 𝑇𝑡−1 )| 𝐻 ◦ is satisfied for all 𝑟, 𝑡 > 0. □
We say a family of 𝜎-finite measures (𝜈𝑠 ) 𝑠>0 on 𝐻 is an entrance law for the
semigroup (𝑇𝑡 )𝑡 ≥0 if it satisfies 𝜈𝑟+𝑡 = 𝜈𝑟 ◦ 𝑇𝑡−1 for all 𝑟, 𝑡 > 0. In fact, this means
(𝜈𝑠 ) 𝑠>0 is an entrance law for the deterministic Markov process {𝑇𝑡 𝑥 : 𝑡 ≥ 0}
according to the standard definition.
Theorem 13.7 Let (𝛾𝑡 )𝑡 ≥0 be a family of infinitely divisible probability measures

on 𝐻 with absolutely continuous linear part. Then (𝛾𝑡 )𝑡 ≥0 is an SC-semigroup
associated with (𝑇𝑡 )𝑡 ≥0 if and only if there is an infinitely divisible probability
entrance law (𝜈𝑠 ) 𝑠>0 for (𝑇𝑡 )𝑡 ≥0 such that
∫ 𝑡
𝛾ˆ 𝑡 (𝑎) = exp log 𝜈ˆ 𝑠 (𝑎)d𝑠 , 𝑡 ≥ 0, 𝑎 ∈ 𝐻. (13.31)
0
Proof If (𝛾𝑡 )𝑡 ≥0 is given by (13.31), it is clearly an SC-semigroup associated with

(𝑇𝑡 )𝑡 ≥0 . Conversely, suppose that (𝛾𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0
and write 𝛾𝑡 = 𝐼 (𝑏 𝑡 , 𝑅𝑡 , 𝑀𝑡 ) for 𝑡 ≥ 0. It is easy to see that
𝑔 1
log 𝛾ˆ 𝑡 (𝑎) = − ⟨𝑅𝑡 𝑎, 𝑎⟩, 𝑡 ≥ 0, 𝑎 ∈ 𝐻, (13.32)
2
𝑔
defines a Gaussian type SC-semigroup (𝛾𝑡 )𝑡 ≥0 . Let (𝑈𝑠 ) 𝑠>0 and (𝐿 𝑠 ) 𝑠>0 be pro-
vided
∫𝑡 by Theorem 13.3 and Proposition 13.6, respectively. Suppose that ⟨𝑏 𝑡 , 𝑎⟩ =
0
⟨𝑐 𝑠 𝑎⟩d𝑠. By (13.11), we can modify the definition of (𝑐 𝑠 ) 𝑠>0 so that
,
∫

𝑐𝑟+𝑡 = 𝑇𝑡 𝑐𝑟 + 1 { ∥𝑇𝑡 𝑥 ∥ ≤1} − 1 { ∥ 𝑥 ∥ ≤1} 𝑇𝑡 𝑥𝐿 𝑟 (d𝑥), 𝑟, 𝑡 > 0.
𝐻◦
Then we have (13.31) with 𝜈𝑠 = 𝐼 (𝑐 𝑠 , 𝑈𝑠 , 𝐿 𝑠 ) for 𝑠 > 0. □
Example 13.2 Let 𝑡 ↦→ 𝑏 𝑡 be a real-valued discontinuous function satisfying 𝑏𝑟+𝑡 =

𝑏𝑟 + 𝑏 𝑡 for all 𝑟, 𝑡 ≥ 0; see, e.g., Sato (1999, p. 37). It is simple to check that
(𝛿 𝑏𝑡 )𝑡 ≥0 is a classical convolution semigroup, which cannot be represented in the
form (13.31). This example shows that some condition on the linear part 𝑡 ↦→ 𝑏 𝑡 has
to be imposed to get the representation (13.31) of the SC-semigroup.
Example 13.3 Let 𝜇 be the uniform distribution on [0, 2𝜋) and consider the Hilbert
space 𝐿 2 ( [0, 2𝜋), 𝜇) equipped with the inner product ⟨·, ·⟩ defined by
∫ 2𝜋
1
⟨ 𝑓 , ℎ⟩ = 𝑓 (𝑥)ℎ(𝑥)d𝑥.
2𝜋 0
For 𝑡 ≥ 0 and 𝑓 ∈ 𝐿 2 ( [0, 2𝜋), 𝜇) let 𝑇𝑡 𝑓 (𝑥) = 𝑓 (𝑥 + 𝑡) (mod 2𝜋). By using

approximation by continuous functions it is not hard to show that
∫ 2𝜋
lim | 𝑓 (𝑥 + 𝑡) − 𝑓 (𝑥)| 2 d𝑥 = 0.
𝑡→0 0
13.3 Non-Gaussian Type Semigroups 375
Then (𝑇𝑡 )𝑡 ≥0 is a strongly continuous semigroup on 𝐿 2 ( [0, 2𝜋), 𝜇). Set 𝑏 𝑡 = 𝑓 −𝑇𝑡 𝑓 .
It is easy to show that (𝛿 𝑏𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 . For any
𝑓 ∈ 𝐿 2 ( [0, 2𝜋), 𝜇) we have the Fourier expansion
∞
∑︁
𝑓 (𝑥) = 𝑓ˆ(𝑛)e𝑖𝑛𝑥 , 𝑥 ∈ [0, 2𝜋), (13.33)
𝑛=−∞
where
∫ 2𝜋
1
𝑓ˆ(𝑛) = 𝑓 (𝑥)e−𝑖𝑛𝑥 d𝑥, 𝑛 = 0, ±1, ±2, . . . ; (13.34)
2𝜋 0
see, e.g., Conway (1990, p. 21). Clearly, the 𝑛-th Fourier coefficient of 𝑇𝑡 𝑓 is 𝑓ˆ(𝑛)e𝑖𝑛𝑡 .
Since both 𝑓 and 𝑇𝑡 𝑓 are real functions, from (13.33) and (13.34) we obtain
∫ 2𝜋
2 1
⟨ 𝑓 , 𝑏𝑡 ⟩ = ∥ 𝑓 ∥ − 𝑓 (𝑥)𝑇𝑡 𝑓 (𝑥)d𝑥
2𝜋 0
∑︁∞
= ∥ 𝑓 ∥2 − 𝑓ˆ(𝑛) 𝑓ˆ(−𝑛)e−𝑖𝑛𝑡
𝑛=−∞
∞
∑︁
= ∥ 𝑓 ∥ − | 𝑓ˆ(0)| 2 − 2
2
| 𝑓ˆ(𝑛)| 2 cos(𝑛𝑡).
𝑛=1
Now let us take the particular function 𝑓 ∈ 𝐿 2 ( [0, 2𝜋), 𝜇) given by (13.33) with
n −𝑘/2
2 if |𝑛| = 2 𝑘 and 𝑘 ≥ 1,
𝑓ˆ(𝑛) =
0 otherwise.
Then we have
∞
∑︁ 1
𝑓 (𝑥) = 2 cos(2 𝑘 𝑥), 𝑥 ∈ [0, 2𝜋).
𝑘=1
2 𝑘/2
It follows that
∞ ∫ 2𝜋
2 2 ∑︁ 1
∥𝑓∥ = cos2 (2 𝑘 𝑥)d𝑥 = 2
𝜋 𝑘=1 2 𝑘 0
and
∞
∑︁
⟨ 𝑓 , 𝑏𝑡 ⟩ = 2 − 2 2−𝑘 cos(2 𝑘 𝑡),
𝑘=1
which is Weierstrass’s nowhere differentiable continuous function; see, e.g., Hewitt

and Stromberg (1965, p. 258). Therefore (𝛿 𝑏𝑡 )𝑡 ≥0 cannot be represented in the form
(13.31).
13.4 Extensions of Centered Semigroups
In this section, we give some characterizations of centered SC-semigroups with finite

second-moments. In particular, we shall see any SC-semigroup of this type can be
extended to a regular SC-semigroup on an enlarged Hilbert space. Since (𝑇𝑡 )𝑡 ≥0 is
strongly continuous, there are constants 𝐵 ≥ 0 and 𝑐 0 ≥ 0 such that ∥𝑇𝑡 ∥ ≤ 𝐵e𝑐0 𝑡
for every 𝑡 ≥ 0. Let (𝑈 𝛼 ) 𝛼>𝑐0 denote the resolvent of (𝑇𝑡 )𝑡 ≥0 and let 𝐴 denote its
generator with domain 𝒟( 𝐴) = 𝑈 𝛼 𝐻 ⊂ 𝐻.
A path 𝑥˜ = {𝑥(𝑠)
˜ : 𝑠 > 0} taking values in 𝐻 is called an entrance path for the
semigroup (𝑇𝑡 )𝑡 ≥0 if it satisfies 𝑥(𝑟
˜ + 𝑡) = 𝑇𝑡 𝑥(𝑟)
˜ for all 𝑟, 𝑡 > 0. Let 𝐸 denote the
set of all entrance paths for (𝑇𝑡 )𝑡 ≥0 . We say 𝑥˜ ∈ 𝐸 is closable if there is an element
˜
𝑥(0) ∈ 𝐻 such that 𝑥(𝑠)
˜ ˜
= 𝑇𝑠 𝑥(0) for all 𝑠 > 0, and say it is locally square integrable
if
∫ 𝑡
˜ ∥ 2 d𝑠 < ∞,
∥ 𝑥(𝑠) 𝑡 ≥ 0. (13.35)
0
Lemma 13.8 Let 𝑥˜ ∈ 𝐸. Then (13.35) holds if and only if

∫ ∞
e−2𝑏𝑠 ∥ 𝑥(𝑠)
˜ ∥ 2 d𝑠 < ∞, 𝑏 > 𝑐0 . (13.36)
0
Proof It is easy to see that (13.36) implies (13.35). For the converse, assume (13.35)
holds. Then we have
∫ ∞ ∞
∑︁ ∫ 1
˜ ∥ 2 d𝑠 = e−2𝑘𝑏 e−2𝑏𝑠 ∥𝑇𝑘 𝑥(𝑠)
˜ ∥ 2 d𝑠
0 𝑘=0 0
∞
∑︁ ∫ 1
2 −2𝑘 (𝑏−𝑐0 )
≤ 𝐵 e e−2𝑏𝑠 ∥ 𝑥(𝑠)
˜ ∥ 2 d𝑠.
𝑘=0 0
The right-hand side is finite for every 𝑏 > 𝑐 0 . □
Let 𝐻˜ denote the set of all locally square integrable entrance paths for (𝑇𝑡 )𝑡 ≥0 .
We call 𝐻˜ the entrance space for (𝑇𝑡 )𝑡 ≥0 . For any fixed 𝑏 > 𝑐 0 we can define an
inner product on 𝐻˜ by
∫ ∞
⟨𝑥,
˜ 𝑦˜ ⟩∼ = e−2𝑏𝑠 ⟨𝑥(𝑠),
˜ 𝑦˜ (𝑠)⟩d𝑠, 𝑥, ˜
˜ 𝑦˜ ∈ 𝐻. (13.37)
0
Let ∥ · ∥ ∼ be the norm induced by this inner product.
˜ from 𝐻˜ to 𝐻 is a bounded
Lemma 13.9 For every 𝑡 > 0 the projection 𝜋𝑡 : 𝑥˜ ↦→ 𝑥(𝑡)
linear operator.
13.4 Extensions of Centered Semigroups 377
Proof The linearity of 𝜋𝑡 is obvious. For any 𝑥˜ ∈ 𝐻˜ we have

∫ 𝑡 ∫ 𝑡
2 −1 2 −1
∥𝜋𝑡 𝑥∥
˜ =𝑡 ∥ 𝑥(𝑡)
˜ ∥ d𝑠 = 𝑡 ˜ ∥ 2 d𝑠
∥𝑇𝑡−𝑠 𝑥(𝑠)
0 ∫ 𝑡 0
≤ 𝐵2 𝑡 −1 e2𝑏𝑡 ˜ ∥ 2 d𝑠 ≤ 𝐵2 𝑡 −1 e2𝑏𝑡 ∥ 𝑥∥
e−2𝑏𝑠 ∥ 𝑥(𝑠) ˜ 2∼ .
0
Then 𝜋𝑡 is a bounded operator. □

˜ ⟨·, ·⟩∼ ) is a Hilbert space.
Lemma 13.10 The norm ∥ · ∥ ∼ is complete and ( 𝐻,
Proof Suppose {𝑥˜ 𝑛 } ⊂ 𝐻˜ is a Cauchy sequence under the norm ∥ · ∥ ∼ , that is,
∫ ∞
2
∥ 𝑥˜ 𝑛 − 𝑥˜ 𝑚 ∥ ∼ = e−2𝑏𝑠 ∥ 𝑥˜ 𝑛 (𝑠) − 𝑥˜ 𝑚 (𝑠) ∥ 2 d𝑠 → 0
0
as 𝑚, 𝑛 → ∞. By Lemma 13.9, for each 𝑡 > 0 the limit 𝑥(𝑡)˜ = lim𝑛→∞ 𝑥˜ 𝑛 (𝑡) exists
in 𝐻. Since 𝑇𝑠 is a bounded linear operator on 𝐻, for 𝑠 > 0 we have
˜ = lim 𝑇𝑠 𝑥˜ 𝑛 (𝑡) = lim 𝑥˜ 𝑛 (𝑡 + 𝑠) = 𝑥(𝑡

𝑇𝑠 𝑥(𝑡) ˜ + 𝑠).
𝑛→∞ 𝑛→∞
Then 𝑥˜ = {𝑥(𝑡)
˜ : 𝑡 > 0} is an entrance path for (𝑇𝑡 )𝑡 ≥0 . For 𝜀 > 0 choose 𝑁 ≥ 1
such that
∫ ∞
e−2𝑏𝑠 ∥ 𝑥˜ 𝑛 (𝑠) − 𝑥˜ 𝑚 (𝑠) ∥ 2 d𝑠 < 𝜀, 𝑚, 𝑛 ≥ 𝑁.
0
By Fatou’s lemma we get

∫ ∞
e−2𝑏𝑠 ∥ 𝑥˜ 𝑛 (𝑠) − 𝑥(𝑠)
˜ ∥ 2 d𝑠 ≤ 𝜀, 𝑛 ≥ 𝑁.
0
It follows that
∫ ∞ ∫ ∞
˜ ∥ 2 d𝑠 ≤ e−2𝑏𝑠 ∥ 𝑥(𝑠)
˜ − 𝑥˜ 𝑛 (𝑠) ∥ 2 d𝑠
0 0∫
∞
+ e−2𝑏𝑠 ∥ 𝑥˜ 𝑛 (𝑠) ∥ 2 d𝑠 < ∞.
0
Then 𝑥˜ ∈ 𝐻˜ and lim𝑛→∞ ∥𝑥 𝑛 − 𝑥∥ 2∼ = 0. □

Lemma 13.11 The linear operator 𝐽 : 𝑥 ↦→ {𝑇𝑠 𝑥 : 𝑠 > 0} from 𝐻 to 𝐻˜ is a
˜ ∥ · ∥ ∼ ) is separable.
continuous dense embedding and ( 𝐻,
Proof Since 𝑥 = lim𝑡→0 𝑇𝑡 𝑥, the map 𝐽 is injective. For any 𝑥 ∈ 𝐻,
∫ ∞ ∫ ∞
∥𝐽𝑥∥ ∼2 = e−2𝑏𝑠 ∥𝑇𝑠 𝑥∥ 2 d𝑠 ≤ 𝐵2 ∥𝑥∥ 2 e−2(𝑏−𝑐0 )𝑠 d𝑠.
0 0
Thus 𝐽 is a continuous embedding. For an arbitrary 𝑥˜ ∈ 𝐻˜ we have

∫ ∞
˜ 2∼ =
˜ − 𝑥∥
∥𝐽 𝑥(𝑡) e−2𝑏𝑠 ∥𝑇𝑡 𝑥(𝑠)
˜ ˜ ∥ 2 d𝑠
− 𝑥(𝑠)
∫0 𝑟
= e−2𝑏𝑠 ∥𝑇𝑡 𝑥(𝑠)
˜ ˜ ∥ 2 d𝑠
− 𝑥(𝑠)
0∫
∞
+ e−2𝑏𝑠 ∥𝑇𝑠−𝑟 [𝑇𝑡 𝑥(𝑟)
˜ − 𝑥(𝑟)]
˜ ∥ 2 d𝑠
𝑟 ∫ 𝑟
≤ 2(𝐵 e 2 2𝑐0 𝑡
+ 1) e−2𝑏𝑠 ∥ 𝑥(𝑠)
˜ ∥ 2 d𝑠
0 ∫ ∞
+ 𝐵2 e−2𝑐0 𝑟 ∥𝑇𝑡 𝑥(𝑟)
˜ ˜ ∥2
− 𝑥(𝑟) e−2(𝑏−𝑐0 )𝑠 d𝑠.
𝑟
Observe that the first integral on the right-hand side goes to zero as 𝑟 → 0 and for
fixed 𝑟 > 0 the second term goes to zero as 𝑡 → 0. Then we have ∥𝐽 𝑥(𝑡)˜ − 𝑥∥
˜ ∼→0
as 𝑡 → 0, and hence 𝐽𝐻 is dense in 𝐻. ˜ Since 𝐻 is separable, so is 𝐻.
˜ □
Lemma 13.12 The Borel 𝜎-algebra ℬ( 𝐻) ˜ on ( 𝐻,

˜ ∥ · ∥ ∼ ) is also generated by the
˜
projections {𝜋𝑡 : 𝑡 > 0} from 𝐻 to 𝐻.
˜ On
Proof By Lemma 13.9, each 𝜋𝑡 is continuous. Then 𝜎({𝜋𝑡 : 𝑡 > 0}) ⊂ ℬ( 𝐻).
the other hand, we have
𝑛2
1 ∑︁ −2𝑏𝑖/𝑛
∥ 𝑥˜ − 𝑧˜ ∥ 2∼ = lim e ∥ 𝑥(𝑖/𝑛)
˜ − 𝑧˜ (𝑖/𝑛) ∥ 2 , ˜
˜ 𝑧˜ ∈ 𝐻.
𝑥,
𝑛→∞ 𝑛
𝑖=1
˜ the function 𝑥˜ ↦→ ∥ 𝑥˜ − 𝑧˜ ∥ ∼ on 𝐻˜ is measurable with respect

Then for any fixed 𝑧˜ ∈ 𝐻,
to 𝜎({𝜋𝑡 : 𝑡 > 0}). Consequently, every open ball 𝐵( 𝑧˜, 𝜀) := {𝑥˜ ∈ 𝐻˜ : ∥ 𝑥˜ − 𝑧˜ ∥ ∼ < 𝜀}
belongs to 𝜎({𝜋𝑡 : 𝑡 > 0}). Since 𝐻˜ is separable, all open sets in 𝐻˜ are contained in
𝜎({𝜋𝑡 : 𝑡 > 0}) and hence ℬ( 𝐻) ˜ ⊂ 𝜎({𝜋𝑡 : 𝑡 > 0}). □
Theorem 13.13 A family (𝛾𝑡 )𝑡 ≥0 of centered probability measures on 𝐻 satisfying

the second-moment condition
∫
∥𝑥∥ 2 𝛾𝑡 (d𝑥) < ∞, 𝑡 ≥ 0 (13.38)
𝐻◦
is an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 if and only if its characteristic functionals

are given by (13.31) with (𝜈𝑠 ) 𝑠>0 being a centered infinitely divisible probability
entrance law for (𝑇𝑡 )𝑡 ≥0 satisfying
∫ 𝑡 ∫
d𝑠 ∥𝑥∥ 2 𝜈𝑠 (d𝑥) < ∞, 𝑡 ≥ 0. (13.39)
0 𝐻◦
Proof It is well known that the second-moment of a centered infinitely divisible

probability measure only involves the Gaussian covariance operator and the Lévy
measure. If the centered infinitely divisible probability measures (𝛾𝑡 )𝑡 ≥0 and (𝜈𝑠 ) 𝑠>0
are related by (13.31), the Gaussian covariance operators and Lévy measures of
(𝛾𝑡 )𝑡 ≥0 can be represented as integrals of those of (𝜈𝑠 ) 𝑠>0 . This observation yields
∫ ∫ 𝑡 ∫
⟨𝑥, 𝑎⟩ 2 𝛾𝑡 (d𝑥) = d𝑠 ⟨𝑥, 𝑎⟩ 2 𝜈𝑠 (d𝑥), 𝑡 ≥ 0, 𝑎 ∈ 𝐻.
𝐻◦ 0 𝐻◦
Let {𝑒 𝑛 : 𝑛 = 1, 2, . . . } be an orthonormal basis of 𝐻. Applying the above equation

to each 𝑒 𝑛 and taking the summation we see
∫ ∫ 𝑡 ∫
∥𝑥∥ 2 𝛾𝑡 (d𝑥) = d𝑠 ∥𝑥∥ 2 𝜈𝑠 (d𝑥), 𝑡 ≥ 0. (13.40)
𝐻◦ 0 𝐻◦
In particular, conditions (13.38) and (13.39) are equivalent for the infinitely divisible
probability measures (𝛾𝑡 )𝑡 ≥0 and (𝜈𝑠 ) 𝑠>0 related by (13.31). Then the desired result
follows by Theorem 13.7. □
Theorem 13.14 A family (𝛾𝑡 )𝑡 ≥0 of centered probability measures on 𝐻 satisfying

(13.38) is an SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 if and only if its characteristic
functionals are given by
∫ 𝑡 ∫
𝛾ˆ 𝑡 (𝑎) = exp log e𝑖 ⟨ 𝑥˜ (𝑠),𝑎⟩ 𝜆0 (d𝑥)
˜ d𝑠 , 𝑎 ∈ 𝐻, (13.41)
0 𝐻˜
where 𝜆0 is a centered infinitely divisible probability measure on 𝐻˜ satisfying

∫
˜ ∼2 𝜆0 (d𝑥)
∥ 𝑥∥ ˜ < ∞. (13.42)
𝐻˜
Proof Suppose that (𝛾𝑡 )𝑡 ≥0 is a family of centered probability measures on 𝐻 defined

by (13.41) and (13.42). Let 𝜈𝑠 be the image of 𝜆0 induced by the projection 𝜋 𝑠 from
𝐻˜ to 𝐻. Then (𝜈𝑠 ) 𝑠>0 is a centered infinitely divisible probability entrance law for
(𝑇𝑡 )𝑡 ≥0 satisfying (13.39) and the relation (13.31) holds. By Theorem 13.13, (𝛾𝑡 )𝑡 ≥0
is a centered SC-semigroup satisfying (13.38). Conversely, suppose that (𝛾𝑡 )𝑡 ≥0 is
a centered SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0 satisfying (13.38). Let (𝜈𝑠 ) 𝑠>0 be
the entrance law given by Theorem 13.13. Then (𝜈𝑠 ) 𝑠>0 is a probability entrance
law for the continuous Markov process {𝑇𝑡 𝑥 : 𝑡 ≥ 0} with deterministic motion. Let
𝐸 0 be the set of continuous paths {𝑤(𝑡) : 𝑡 > 0} from (0, ∞) to 𝐻. We endow 𝐸 0
with the 𝜎-algebra ℰ0 generated by the coordinate process. Then there is a unique
probability measure 𝜆0 on (𝐸 0 , ℰ0 ) under which {𝑤(𝑡) : 𝑡 > 0} is a Markov process
with the same transition semigroup as the process {𝑇𝑡 𝑥 : 𝑡 ≥ 0} and 𝜈𝑠 is the image
of 𝜆0 under 𝑤 ↦→ 𝑤(𝑠). It follows that
∫ 𝑡 ∫
𝑖 ⟨𝑤 (𝑠),𝑎⟩
𝛾ˆ 𝑡 (𝑎) = exp log e 𝜆0 (d𝑤) d𝑠 , 𝑎 ∈ 𝐻. (13.43)
0 𝐸0
Because of the special deterministic motion mechanism of the process {𝑇𝑡 𝑥 : 𝑡 ≥ 0}

we may assume that 𝜆0 is supported by the space 𝐸 of the entrance paths. Let ℰ0 (𝐸)
˜ denote respectively the traces of ℰ0 on 𝐸 and 𝐻.
and ℰ0 ( 𝐻) ˜ Since 𝑤 ↦→ ∥𝑤(𝑠) ∥ 2 is
clearly a non-negative ℰ0 (𝐸)-measurable function on 𝐸,
∫ ∞
𝑤 ↦→ ∥𝑤∥ 2∼ := e−2𝑏𝑠 ∥𝑤(𝑠) ∥ 2 d𝑠
0
is an ℰ0 (𝐸)-measurable function on 𝐸 taking values in [0, ∞]. Since (𝜈𝑠 ) 𝑠>0 satisfies
(13.39), we have
∫ ∫ ∫ ∞
∥𝑤∥ 2∼ 𝜆0 (d𝑤) = 𝜆 0 (d𝑤) e−2𝑏𝑠 ∥𝑤(𝑠) ∥ 2 d𝑠
𝐸 𝐸
∫ ∞ ∫ 0
= d𝑠 e−2𝑏𝑠 ∥𝑥∥ 2 𝜈𝑠 (d𝑥)

0 𝐻
∞ ∫ 1
∑︁ ∫
= d𝑠 e−2𝑏 (𝑛+𝑠) ∥𝑇𝑛 𝑥∥ 2 𝜈𝑠 (d𝑥)
𝑛=0 0 𝐻
∞
∑︁ ∫ 1 ∫
≤ 𝐵2 e−2(𝑏−𝑐0 )𝑛 d𝑠 e−2𝑏𝑠 ∥𝑥∥ 2 𝜈𝑠 (d𝑥) < ∞.
𝑛=0 0 𝐻
Then 𝜆0 is actually supported by 𝐻˜ and (13.42) holds. By Lemma 13.12 we have

ℬ( 𝐻) ˜ so we can regard 𝜆0 as a probability measure on ( 𝐻,
˜ = ℰ0 ( 𝐻), ˜
˜ ℬ( 𝐻)).
Now we get (13.41) from (13.43). Because each 𝜈𝑠 is a centered infinitely divisible
probability measure, so is 𝜆0 . □
Theorem 13.15 All centered SC-semigroups associated with (𝑇𝑡 )𝑡 ≥0 satisfying

(13.38) are regular if and only if all of its locally square integrable entrance paths
are closable.
Proof Suppose that all entrance paths 𝑥˜ ∈ 𝐻˜ are closable and (𝛾𝑡 )𝑡 ≥0 is an SC-
semigroup given by (13.41). To each 𝑥˜ ∈ 𝐻˜ there corresponds some 𝑥(0) ˜ ∈ 𝐻 such
that 𝑥(𝑠)
˜ ˜
= 𝑇𝑠 𝑥(0) for all 𝑠 > 0. This element is apparently determined by 𝑥˜ uniquely.
Letting 𝜈0 be the image of 𝜆0 under the map 𝑥˜ ↦→ 𝑥(0), ˜ we get (13.31). Conversely,
if 𝑥˜ = {𝑥(𝑠)
˜ : 𝑠 > 0} ∈ 𝐻˜ is not closable, then
∫
1 𝑡 2
𝛾ˆ 𝑡 (𝑎) = exp − ⟨𝑥(𝑠),
˜ 𝑎⟩ d𝑠 , 𝑡 ≥ 0, 𝑎 ∈ 𝐻,
2 0
defines an irregular SC-semigroup for (𝑇𝑡 )𝑡 ≥0 . □
We now discuss how to extend a centered SC-semigroup on 𝐻 to a regular one

on the entrance space 𝐻. ˜ Given the semigroup (𝑇𝑡 )𝑡 ≥0 , we can define a semigroup
of linear operators (𝑇𝑡 )𝑡 ≥0 on 𝐻˜ by 𝑇˜0 𝑥˜ = 𝑥˜ and 𝑇˜𝑡 𝑥˜ = 𝐽 𝑥(𝑡)
˜ ˜ It
˜ for 𝑡 > 0 and 𝑥˜ ∈ 𝐻.
follows that
(𝑇˜𝑡 𝑥)
˜ (𝑠) = 𝑥(𝑡
˜ + 𝑠) = 𝑇𝑡 ( 𝑥(𝑠)),
˜ 𝑠, 𝑡 > 0. (13.44)
In view of (13.37) we have

∫ ∞ ∫ ∞
−2𝑏𝑠
˜
∥𝑇𝑡 𝑥∥ 2
˜ ∼= e ∥ 𝑥(𝑡 2
˜ + 𝑠) ∥ d𝑠 ≤ ∥𝑇𝑡 ∥ 2
˜ ∥ 2 d𝑠.
0 0
Then ∥𝑇˜𝑡 ∥ ∼ ≤ ∥𝑇𝑡 ∥ for every 𝑡 ≥ 0. Let (𝑈˜ 𝛼 ) 𝛼>𝑐0 denote the resolvent of (𝑇˜𝑡 )𝑡 ≥0
and let 𝐴˜ denote its generator with domain 𝒟( 𝐴) ˜ = 𝑈˜ 𝛼 𝐻˜ ⊂ 𝐻.
˜
Lemma 13.16 Let 𝐽 be defined as in Lemma 13.11. Then 𝐽𝑇𝑡 𝑥 = 𝑇˜𝑡 𝐽𝑥 for all 𝑡 ≥ 0
and 𝑥 ∈ 𝐻 and (𝑇˜𝑡 )𝑡 ≥0 is a strongly continuous semigroup of linear operators on 𝐻.
˜
Proof For 𝑡 ≥ 0 and 𝑥 ∈ 𝐻 we have
𝐽𝑇𝑡 𝑥 = {𝑇𝑠 𝑇𝑡 𝑥 : 𝑠 > 0} = {𝑇𝑡 𝑇𝑠 𝑥 : 𝑠 > 0} = 𝑇˜𝑡 𝐽𝑥,
giving the first assertion. By the proof of Lemma 13.11 we have
lim ∥𝑇˜𝑡 𝑥˜ − 𝑥∥ ˜ − 𝑥∥
˜ ∼ = lim ∥𝐽 𝑥(𝑡) ˜ ∼ = 0.
𝑡→0 𝑡→0
Then (𝑇˜𝑡 )𝑡 ≥0 is strongly continuous. □

Lemma 13.17 We have 𝑈˜ 𝛼 𝑥˜ = {𝑈 𝛼 𝑥(𝑠)
˜ : 𝑠 > 0} and 𝐴˜ 𝑈˜ 𝛼 𝑥˜ = {𝐴𝑈 𝛼 𝑥(𝑠)
˜ : 𝑠 > 0}
˜
for all 𝑥˜ ∈ 𝐻.
Proof The first assertion follows as we observe that, for 𝛼 > 𝑐 0 ,
∫ ∞ ∫ ∞
𝑈˜ 𝛼 𝑥(𝑠)
˜ = e−𝛼𝑠 𝑇˜𝑡 𝑥(𝑠)d𝑡
˜ = e−𝛼𝑠 𝑇𝑡 𝑥(𝑠)d𝑡
˜ ˜
= 𝑈 𝛼 𝑥(𝑠).
0 0
The second follows from the equality 𝐴˜ 𝑈˜ 𝛼 𝑥˜ = 𝛼𝑈˜ 𝛼 𝑥˜ − 𝑥.

˜ □
Theorem 13.18 All entrance paths for (𝑇˜𝑡 )𝑡 ≥0 are closable.
Proof Suppose that 𝑥¯ = {𝑥˜𝑢 : 𝑢 > 0} is an entrance path for (𝑇˜𝑡 )𝑡 ≥0 , where each
𝑥˜𝑢 = {𝑥˜𝑢 (𝑠) : 𝑠 > 0} ∈ 𝐻˜ is an entrance path for (𝑇𝑡 )𝑡 ≥0 . In view of (13.44) we have
{𝑥˜𝑡+𝑢 (𝑠) : 𝑠 > 0} = 𝑥˜𝑡+𝑢 = 𝑇˜𝑡 𝑥˜𝑢 = {𝑥˜𝑢 (𝑡 + 𝑠) : 𝑠 > 0}. (13.45)
Set 𝑥˜0 = {𝑥˜ 𝑠/2 (𝑠/2) : 𝑠 > 0}. By (13.45) we have
𝑇𝑡 ( 𝑥˜ 𝑠/2 (𝑠/2)) = 𝑥˜ 𝑠/2 (𝑡 + 𝑠/2) = 𝑥˜ (𝑠+𝑡)/2 ((𝑠 + 𝑡)/2).
Then 𝑥˜0 is an entrance path for (𝑇𝑡 )𝑡 ≥0 . Moreover,
(𝑇˜𝑢 𝑥˜0 ) (𝑠) = 𝑇𝑢 ( 𝑥˜ 𝑠/2 (𝑠/2)) = 𝑥˜ 𝑠/2 (𝑢 + 𝑠/2) = 𝑥˜𝑢 (𝑠),
and hence 𝑇˜𝑢 𝑥˜0 = 𝑥˜𝑢 . Thus 𝑥¯ = {𝑥˜𝑢 : 𝑢 > 0} is closed by 𝑥˜0 . □
Theorem 13.19 Let (𝛾𝑡 )𝑡 ≥0 be a centered SC-semigroup given by (13.41) and
(13.42). Let 𝛾˜ 𝑡 = 𝛾𝑡 ◦ 𝐽 −1 for 𝑡 ≥ 0. Then ( 𝛾˜ 𝑡 )𝑡 ≥0 is a regular centered SC-semigroup
associated with (𝑇˜𝑡 )𝑡 ≥0 and
∫ ∫ 𝑡 h ∫ i
˜ 𝑇˜𝑠∗ 𝑎⟩
e𝑖 ⟨ 𝑥,
˜ 𝑎⟩
˜ ∼
𝛾˜ 𝑡 (d𝑥)
˜ = exp log e𝑖 ⟨ 𝑥, ˜ ∼
𝜆0 (d𝑥)
˜ d𝑠 (13.46)
𝐻˜ 0 𝐻˜
˜
for every 𝑡 ≥ 0 and 𝑎˜ ∈ 𝐻.
Proof It is not hard to show ( 𝛾˜ 𝑡 )𝑡 ≥0 is an SC-semigroup associated with (𝑇˜𝑡 )𝑡 ≥0 .

Since (𝑇𝑡 )𝑡 ≥0 is a strongly continuous semigroup, for any 𝑎˜ = { 𝑎(𝑠) ˜ : 𝑠 > 0} ∈ 𝐻˜
we can use the dominated convergence theorem and (13.41) to see
∫ ∫ ∞
−2𝑏𝑠
exp 𝑖 e ⟨𝑇𝑠 𝑥, 𝑎(𝑠)⟩d𝑠
˜ 𝛾𝑡 (d𝑥)
𝐻 0
∫ ∑︁ ∞
= lim exp 𝑖 𝑛−1 e−2𝑏𝑘/𝑛 ⟨𝑇𝑘/𝑛 𝑥, 𝑎(𝑘/𝑛)⟩
˜ 𝛾𝑡 (d𝑥)
𝑛→∞ 𝐻
∫ 𝑘=1
= lim e𝑖 ⟨𝑥,𝑎𝑛 ⟩ 𝛾𝑡 (d𝑥)

𝑛→∞ 𝐻
∫ 𝑡 ∫
= lim exp log e𝑖 ⟨ 𝑥˜ (𝑠),𝑎𝑛 ⟩ 𝜆0 (d𝑥)
˜ d𝑠 ,
𝑛→∞ 0 𝐻˜
where
∞
∑︁
𝑎𝑛 = ∗
𝑛−1 e−2𝑏𝑘/𝑛𝑇𝑘/𝑛 ˜
𝑎(𝑘/𝑛).
𝑘=1
By the strong continuity of (𝑇𝑡∗ )𝑡 ≥0 we have

∫ ∞
lim ⟨𝑥(𝑠),
˜ 𝑎𝑛⟩ = e−2𝑏𝑟 ⟨𝑥(𝑠),
˜ 𝑇𝑟∗ 𝑎(𝑟)⟩d𝑟
˜
𝑛→∞
∫0 ∞
= e−2𝑏𝑟 ⟨𝑥(𝑟),
˜ 𝑇𝑠∗ 𝑎(𝑟)⟩d𝑟.
˜
0
Then another application of the dominated convergence theorem gives

∫ ∫ ∞
exp 𝑖 e−2𝑏𝑠 ⟨𝑇𝑠 𝑥, 𝑎(𝑠)⟩d𝑠
˜ 𝛾𝑡 (d𝑥)
𝐻 ∫0 𝑡 ∫ n ∫ ∞ o
= exp log exp 𝑖 e−2𝑏𝑟 ⟨𝑥(𝑟),
˜ 𝑇𝑠∗ 𝑎(𝑟)⟩d𝑟
˜ 𝜆0 (d𝑥)
˜ d𝑠
∫0 𝑡 h ∫𝐻˜ 0
i
˜ 𝑇˜𝑠∗ 𝑎⟩
𝑖 ⟨ 𝑥, ˜ ∼
= exp log e 𝜆0 (d𝑥)˜ d𝑠 .
0 𝐻˜
Theorem 13.20 Let ( 𝛾˜ 𝑡 )𝑡 ≥0 be a centered SC-semigroup associated with (𝑇˜𝑡 )𝑡 ≥0

satisfying
∫
˜ 2 𝛾˜ 𝑡 (d𝑥)
∥ 𝑥∥ ˜ < ∞, 𝑡 ≥ 0. (13.47)
𝐻˜ ◦
Then there is a centered SC-semigroup (𝛾𝑡 )𝑡 ≥0 associated with (𝑇𝑡 )𝑡 ≥0 satisfying

(13.38) and 𝛾˜ 𝑡 = 𝛾𝑡 ◦ 𝐽 −1 for each 𝑡 ≥ 0.
13.5 Construction of the Processes 383
Proof By Theorems 13.15 and 13.18, any centered SC-semigroup associated with
(𝑇˜𝑡 )𝑡 ≥0 is regular, so ( 𝛾˜ 𝑡 )𝑡 ≥0 has the expression (13.46) for an infinitely divisible
probability 𝜆0 on 𝐻. ˜ Then we get (𝛾𝑡 )𝑡 ≥0 by Theorem 13.14, which clearly satisfies
the requirements. □
By Theorems 13.19 and 13.20, centered SC-semigroups associated with (𝑇𝑡 )𝑡 ≥0

are in one-to-one correspondence with centered regular SC-semigroups associated
with (𝑇˜𝑡 )𝑡 ≥0 . Therefore we may reduce some analysis of irregular SC-semigroups to
those of regular ones. The consideration of centered SC-semigroups is not a serious
restriction. In fact, if (𝛾𝑡 )𝑡 ≥0 is an arbitrary SC-semigroup satisfying condition
(13.38), we can define
∫
𝑏𝑡 = 𝑥𝛾𝑡 (d𝑥)
𝐻◦
and 𝛾𝑡𝑐 = 𝛿−𝑏𝑡 ∗ 𝛾𝑡 for 𝑡 ≥ 0. It is easy to check that both (𝛿 𝑏𝑡 )𝑡 ≥0 and (𝛾𝑡𝑐 )𝑡 ≥0 are SC-
semigroups associated with (𝑇𝑡 )𝑡 ≥0 . Therefore (𝛾𝑡 )𝑡 ≥0 can always be decomposed
as the convolution of a degenerate SC-semigroup and a centered one.
13.5 Construction of the Processes
In this section, we prove that the generalized OU-processes corresponding to a

regular SC-semigroup has a càdlàg realization in a suitable extension of the space.
Let (𝑇𝑡 )𝑡 ≥0 be a strongly continuous semigroup on 𝐻 with generator ( 𝐴, 𝒟( 𝐴)).
Then 𝒟( 𝐴) with the inner product norm ∥ · ∥ 𝐴 defined by
∥𝑥∥ 2𝐴 = ∥𝑥∥ 2 + ∥ 𝐴𝑥∥ 2 , 𝑥 ∈ 𝒟( 𝐴) (13.48)
is a Hilbert space and 𝒟( 𝐴) ⊂ 𝐻 is a continuous embedding.
Proposition 13.21 There is a Hilbert space ( 𝐻, ¯ ∥ · ∥ − ) and a strongly continuous

¯ 𝒟( 𝐴))
¯ ∥ · ∥ − ) with generator ( 𝐴,
semigroup (𝑇¯𝑡 )𝑡 ≥0 on ( 𝐻, ¯ such that:
(1) 𝐻 ⊂ 𝐻¯ with dense continuous embedding;

(2) each 𝑇𝑡 is the restriction of 𝑇¯𝑡 to 𝐻;
(3) 𝐻 ⊂ 𝒟( 𝐴) ¯ with continuous embedding.
Proof Recall that there are constants 𝐵 ≥ 0 and 𝑐 0 ≥ 0 such that ∥𝑇𝑡 ∥ ≤ 𝐵e𝑐0 𝑡 for
every 𝑡 ≥ 0. Let (𝑈 𝛼 ) 𝛼>𝑐0 denote the resolvent of (𝑇𝑡 )𝑡 ≥0 . Fix 𝑏 > 𝑐 0 and define an
inner product on 𝐻 by
⟨𝑥, 𝑦⟩− = ⟨𝑈 𝑏 𝑥, 𝑈 𝑏 𝑦⟩, 𝑥, 𝑦 ∈ 𝐻. (13.49)
Let ∥ · ∥ − be the corresponding norm and let 𝐻¯ be the completion of 𝐻 with respect
to this norm. From (13.49) we get
∥𝑥∥ − ≤ ∥𝑈 𝑏 ∥ ∥𝑥∥, 𝑥 ∈ 𝐻, (13.50)
so the identity mapping 𝐼 from (𝐻, ∥ · ∥) to ( 𝐻, ¯ ∥ · ∥ − ) is a continuous dense

embedding. Consequently, the linear semigroup (𝑇𝑡 )𝑡 ≥0 can be uniquely extended
to a strongly continuous semigroup (𝑇¯𝑡 )𝑡 ≥0 on 𝐻,
¯ which satisfies ∥𝑇¯𝑡 ∥ ≤ 𝐵e𝑏𝑡 for
¯ ⊂ 𝐻¯ with continuous embedding. For any
every 𝑡 ≥ 0. In addition, we have 𝒟( 𝐴)
𝑥 ∈ 𝒟( 𝐴) ⊂ 𝒟( 𝐴)¯ we have 𝑥 = 𝑈 𝑏 𝑦 for some 𝑦 ∈ 𝐻. By (13.49) we have
¯ − = ∥ 𝐴𝑈 𝑏 𝑈 𝑏 𝑦∥ = ∥ (𝑏𝑈 𝑏 − 1)𝑈 𝑏 𝑦∥ ≤ (𝑏∥𝑈 𝑏 ∥ + 1) ∥𝑥∥.

∥ 𝐴𝑥∥ (13.51)
Since 𝒟( 𝐴) is a dense subset of (𝐻, ∥ · ∥), for 𝑥 ∈ 𝐻 we can find {𝑥 𝑛 } ⊂ 𝒟( 𝐴) such

that lim𝑛→∞ 𝑥 𝑛 = 𝑥 in 𝐻 and hence in 𝐻. ¯ Then {𝑥 𝑛 } is a Cauchy sequence in both
¯
𝐻 and 𝐻. From (13.48), (13.50) and (13.51) we see {𝑥 𝑛 } is also a Cauchy sequence
¯ Since 𝒟( 𝐴)
in 𝒟( 𝐴). ¯ is complete and 𝒟( 𝐴) ¯ ⊂ 𝐻¯ is a continuous embedding, we
¯
also have lim𝑛→∞ 𝑥 𝑛 = 𝑥 in 𝒟( 𝐴). This proves 𝐻 ⊂ 𝒟( 𝐴). ¯ Since 𝒟( 𝐴) is dense in
¯
𝐻, from (13.51) we have ∥ 𝐴𝑥∥ − ≤ (𝑏∥𝑈 ∥ + 1) ∥𝑥∥ for all 𝑥 ∈ 𝐻. Then 𝐻 ⊂ 𝒟( 𝐴)
𝑏 ¯
is a continuous embedding. □
Now let 𝜈0 be an infinitely divisible probability measure on 𝐻 and let 𝜓0 (𝑎) =

− log 𝜈ˆ0 (𝑎) for 𝑎 ∈ 𝐻. A convolution semigroup (𝜇𝑡 )𝑡 ≥0 on 𝐻 is given by
𝜇ˆ 𝑡 (𝑎) = exp{−𝑡𝜓0 (𝑎)}, 𝑎 ∈ 𝐻. (13.52)
Let (𝑃𝑡 )𝑡 ≥0 be the transition semigroup on 𝐻 defined by

∫
𝑃𝑡 𝑓 (𝑥) = 𝑓 (𝑥 + 𝑦)𝜇𝑡 (d𝑦), 𝑥 ∈ 𝐻, 𝑓 ∈ 𝐶 (𝐻). (13.53)
𝐻
A càdlàg Markov process in 𝐻 with transition semigroup (𝑃𝑡 )𝑡 ≥0 is called a Lévy pro-
cess. In view of (13.53), a Lévy process is translation invariant and has independent
increments. The existence of such a process is given by the following:
Proposition 13.22 There is a Lévy process in 𝐻 with transition semigroup (𝑃𝑡 )𝑡 ≥0

defined by (13.53).
Proof By (13.52) and Parthasarathy (1967, p. 189) it is easy to see that lim𝑡→0 𝜇𝑡 =
𝛿0 by the weak convergence. In particular, we have
lim sup 𝑃𝑡 (𝑥, 𝐵(𝑥, 𝜀) 𝑐 ) = lim 𝜇𝑡 (𝐵(0, 𝜀) 𝑐 ) = 0, (13.54)

𝑡→0 𝑥 ∈𝐻 𝑡→0
where 𝐵(𝑥, 𝜀) 𝑐 denotes the complement of the open ball centered at 𝑥 ∈ 𝐻 with
radius 𝜀 > 0. Then the result follows by the general theory of stochastic processes;
see, e.g., Wentzell (1981, p. 170). □
¯ ∥ · ∥ − ) is an extension of (𝐻, ∥ · ∥) with the three properties in

Suppose that ( 𝐻,
Proposition 13.21. Let (𝛾𝑡 )𝑡 ≥0 be the regular SC-semigroup associated with (𝑇𝑡 )𝑡 ≥0
defined by (13.13). We can certainly regard 𝜈0 and 𝛾𝑡 as infinitely divisible probability
measures on the enlarged space 𝐻. ¯ Then (𝛾𝑡 )𝑡 ≥0 is also an SC-semigroup associated

¯
with (𝑇𝑡 )𝑡 ≥0 . Let
∫
𝜓¯ 0 ( 𝑎)
¯ = − log e𝑖 ⟨ 𝑥,
¯ 𝑎⟩
¯ −
𝜈0 (d𝑥),
¯ 𝑎¯ ∈ 𝐻¯ ∗ ⊂ 𝐻. (13.55)
𝐻¯
From (13.13) it is not hard to show that

∫ ∫ 𝑡
𝑖 ⟨ 𝑥, ∗
e ¯ 𝑎⟩
¯ −
𝛾𝑡 (d𝑥)
¯ = exp − ¯ ¯
𝜓0 (𝑇𝑠 𝑎)d𝑠
¯ , 𝑎¯ ∈ 𝐻¯ ∗ , (13.56)
𝐻¯ 0
where (𝑇¯𝑡∗ )𝑡 ≥0 denotes the dual semigroup of (𝑇¯𝑡 )𝑡 ≥0 . Let (𝑄¯ 𝑡 )𝑡 ≥0 be the generalized
𝛾
¯
Mehler semigroup defined by (13.14) from (𝑇𝑡 )𝑡 ≥0 and (𝛾𝑡 )𝑡 ≥0 .
By Proposition 13.22, the transition semigroup (𝑃𝑡 )𝑡 ≥0 defined by (13.53) has a
càdlàg realization {𝑌𝑡 : 𝑡 ≥ 0} in 𝐻 ⊂ 𝒟( 𝐴) ¯ with 𝑌0 = 0. Since 𝑠 ↦→ 𝐴𝑌 ¯ 𝑠 is right
continuous, for any 𝑥¯ ∈ 𝐻, ¯
∫ 𝑡
𝑍¯ 𝑡 = 𝑇¯𝑡 𝑥¯ + 𝑌𝑡 + ¯ 𝑠 d𝑠
𝑇¯𝑡−𝑠 𝐴𝑌 (13.57)
0
defines a càdlàg process { 𝑍¯ 𝑡 : 𝑡 ≥ 0} in 𝐻.

¯
Lemma 13.23 For any 𝑡 ≥ 0 the random variable 𝑍¯ 𝑡 defined by (13.57) has distri-
bution 𝑄¯ 𝑡 ( 𝑥, ¯
𝛾
¯ ·) on 𝐻.
¯ 𝑠
Proof By the dominated convergence theorem and the right continuity of 𝑠 ↦→ 𝐴𝑌
we get
𝑛 ∫
∑︁ 𝑘𝑡/𝑛
𝑍¯ 𝑛 (𝑡) := 𝑇¯𝑡 𝑥¯ + 𝑌𝑡 + ¯ 𝑘𝑡/𝑛 d𝑠 → 𝑍¯ 𝑡
𝑇¯𝑡−𝑠 𝐴𝑌 (13.58)
𝑘=1 (𝑘−1)𝑡/𝑛
in 𝐻¯ as 𝑛 → ∞. Observe that
𝑛
∑︁
𝑍¯ 𝑛 (𝑡) = 𝑇¯𝑡 𝑥¯ + 𝑌𝑡 + (𝑇¯(𝑛−𝑘+1)𝑡/𝑛 − 𝑇¯(𝑛−𝑘)𝑡/𝑛 )𝑌𝑘𝑡/𝑛
𝑘=1
𝑛
∑︁
= 𝑇¯𝑡 𝑥¯ + 𝑇¯(𝑛−𝑘+1)𝑡/𝑛 (𝑌𝑘𝑡/𝑛 − 𝑌 (𝑘−1)𝑡/𝑛 ),
𝑘=1
and hence
𝑛

¯ ¯ ∗ 𝑡 ∑︁ ¯ ∗
E exp 𝑖⟨ 𝑍 𝑛 (𝑡), 𝑎⟩
¯ − = exp 𝑖⟨𝑥,
¯ 𝑇𝑡 𝑎⟩¯ − 𝜓0 𝑇(𝑛−𝑘+1)𝑡/𝑛 𝑎¯ .
𝑛 𝑘=1
Since (𝑇¯𝑡 )𝑡 ≥0 is strongly continuous, so is (𝑇¯𝑡∗ )𝑡 ≥0 . Then 𝑠 ↦→ 𝜓0 (𝑇¯𝑠∗ 𝑎)

¯ is continuous
on [0, ∞) for each 𝑎¯ ∈ 𝐻. ¯ By letting 𝑛 → ∞ in the equality above we obtain
∫ 𝑡
E exp 𝑖⟨ 𝑍¯ 𝑡 , 𝑎⟩ ¯ 𝑇¯𝑡∗ 𝑎⟩ ¯ ∗

¯ − = exp 𝑖⟨𝑥, ¯ − 𝜓0 𝑇𝑡−𝑠 𝑎¯ d𝑠 .
0
Theorem 13.24 The process { 𝑍¯ 𝑡 : 𝑡 ≥ 0} defined by (13.57) is a càdlàg strong

Markov process in 𝐻¯ with transition semigroup (𝑄¯ 𝑡 )𝑡 ≥0 .
𝛾
Proof In view of (13.57), the process { 𝑍¯ 𝑡 : 𝑡 ≥ 0} is adapted to the filtration (ℱ𝑡 )𝑡 ≥0

generated by {𝑌𝑡 : 𝑡 ≥ 0}. For 𝑟, 𝑡 ≥ 0 we have
∫ 𝑟+𝑡
¯ ¯ ¯ ¯
𝑍𝑟+𝑡 − 𝑇𝑡 𝑍𝑟 = 𝑌𝑟+𝑡 − 𝑇𝑡 𝑌𝑟 + ¯ 𝑠 d𝑠
𝑇¯𝑟+𝑡−𝑠 𝐴𝑌
∫𝑟 𝑟+𝑡
= (𝑌𝑟+𝑡 − 𝑌𝑟 ) + ¯ 𝑠 − 𝑌𝑟 )d𝑠.
𝑇¯𝑟+𝑡−𝑠 𝐴(𝑌
𝑟
Since {𝑌𝑟+𝑡 −𝑌𝑟 : 𝑡 ≥ 0} given ℱ𝑟 is a process with independent increments and has
the same law as {𝑌𝑡 : 𝑡 ≥ 0}, an application of Lemma 13.23 shows that
h i ∫ 𝑡
¯ − ℱ𝑟 = exp 𝑖⟨ 𝑍¯ 𝑟 , 𝑇¯𝑡∗ 𝑎⟩
E exp 𝑖⟨ 𝑍¯ 𝑟+𝑡 , 𝑎⟩ 𝜓0 (𝑇¯𝑠∗ 𝑎)d𝑠

¯ −− ¯ .
0
Therefore { 𝑍¯ 𝑡 : 𝑡 ≥ 0} is a Markov process with transition semigroup (𝑄¯ 𝑡 )𝑡 ≥0 .

𝛾
Since (𝑄¯ 𝑡 )𝑡 ≥0 preserves 𝐶 (𝐻), the strong Markov property follows by a standard
𝛾
argument. □
From the theorem above we easily obtain a construction of the generalized OU-
𝛾
process corresponding to the generalized Mehler semigroup (𝑄 𝑡 )𝑡 ≥0 . Indeed, for
¯ ¯
any 𝑥 ∈ 𝐻 we have 𝑇𝑡 𝑥 = 𝑇𝑡 𝑥 ∈ 𝐻 and hence 𝑍𝑡 ∈ 𝐻 a.s. for every 𝑡 ≥ 0. Then
{ 𝑍¯ 𝑡 : 𝑡 ≥ 0} is also a Markov process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . However,
𝛾
this process usually does not have a càdlàg version in 𝐻. In other words, to get the
sample path regularity, we need to observe the process in the enlarged state space 𝐻¯
with a weaker topology. A similar phenomenon has been observed in Example 9.3.
Suppose that 𝐸 is a real separable Hilbert space containing 𝐻 as a subspace and
𝐴 is the generator of a semigroup of bounded linear operators (𝑇𝑡 )𝑡 ≥0 on 𝐸 with
domain 𝒟( 𝐴) ⊃ 𝐻. Let {𝑌𝑡 : 𝑡 ≥ 0} be a Lévy process in 𝐻. We say a stochastic
process {𝑋𝑡 : 𝑡 ≥ 0} in 𝐻 solves a Langevin type equation provided
∫ 𝑡
𝑋𝑡 = 𝑋0 + 𝐴𝑋𝑠 d𝑠 + 𝑌𝑡 , 𝑡 ≥ 0. (13.59)
0
As usual, we may write the equation in the differential form
d𝑋𝑡 = 𝐴𝑋𝑡 d𝑡 + d𝑌𝑡 , 𝑡 ≥ 0. (13.60)

Theorem 13.25 Let {𝑌𝑡 : 𝑡 ≥ 0} be a Lévy process in 𝐻 with transition semigroup

(𝑃𝑡 )𝑡 ≥0 defined by (13.53). Then the generalized OU-process { 𝑍¯ 𝑡 : 𝑡 ≥ 0} defined
by (13.57) satisfies the stochastic equation
∫ 𝑡
¯ ¯
𝑍𝑡 = 𝑥¯ + 𝑌𝑡 + 𝐴 𝑍¯ 𝑠 d𝑠 , 𝑡 ≥ 0. (13.61)
0
Proof From (13.57) we have

∫ 𝑡 ∫ 𝑡 ∫ 𝑡 ∫ 𝑡 ∫ 𝑢
𝑍¯ 𝑠 d𝑠 = 𝑇¯𝑠 𝑥d𝑠
¯ + 𝑌𝑠 d𝑠 + d𝑢 ¯ 𝑠 d𝑠
𝑇¯𝑢−𝑠 𝐴𝑌
0 ∫0 𝑡 ∫0 𝑡 ∫0 𝑡 0
= 𝑇¯𝑠 𝑥d𝑠
¯ + 𝑌𝑠 d𝑠 + (𝑇¯𝑡−𝑠𝑌𝑠 − 𝑌𝑠 )d𝑠
∫0 𝑡 ∫0 𝑡 0
= 𝑇¯𝑠 𝑥d𝑠
¯ + 𝑇¯𝑡−𝑠𝑌𝑠 d𝑠.
0 0
¯ → 𝐻¯ is a bounded operator, so the above

From (13.48) we see that 𝐴¯ : 𝒟( 𝐴)
equation implies
∫ 𝑡 ∫ 𝑡 𝑛
∑︁ ∫ 𝑘𝑡/𝑛
𝐴¯ 𝑍¯ 𝑠 d𝑠 = 𝐴¯ 𝑇¯𝑠 𝑥d𝑠
¯ + lim 𝐴¯ 𝑇¯𝑡−𝑠𝑌𝑘𝑡/𝑛 d𝑠
0 0 𝑛→∞ (𝑘−1)𝑡/𝑛
𝑘=1
∑︁𝑛 ∫ 𝑘𝑡/𝑛
¯
= 𝑇𝑡 𝑥¯ − 𝑥¯ + lim 𝐴¯ 𝑇¯𝑡−𝑠𝑌𝑘𝑡/𝑛 d𝑠
𝑛→∞ (𝑘−1)𝑡/𝑛
∫ 𝑡 𝑘=1
¯
= 𝑇𝑡 𝑥¯ − 𝑥¯ + ¯ 𝑠 d𝑠
𝑇¯𝑡−𝑠 𝐴𝑌
0
= 𝑍¯ 𝑡 − 𝑥¯ − 𝑌𝑡 .
One naturally wishes to exchange the order of the integral and the operation of
the generator in (13.61). To do so, we need a further extension of the domain of
˜ ∥ · ∥ ∼ ) be an extension of ( 𝐻,
the generator. Let ( 𝐻, ¯ ∥ · ∥ − ) with the properties in
Proposition 13.21. Let (𝑇˜𝑡 )𝑡 ≥0 and 𝐴˜ be the corresponding extensions of (𝑇¯𝑡 )𝑡 ≥0 and
¯ respectively.
𝐴,
Theorem 13.26 The generalized OU-process { 𝑍¯ 𝑡 : 𝑡 ≥ 0} defined by (13.57) is

˜ and satisfies the Langevin type equation
càdlàg in 𝒟( 𝐴)
∫ 𝑡
𝑍¯ 𝑡 = 𝑥¯ + 𝑌𝑡 + 𝐴˜ 𝑍¯ 𝑠 d𝑠, 𝑡 ≥ 0. (13.62)
0
Proof By Proposition 13.21, we have 𝐻 ⊂ 𝒟( 𝐴) ¯ with continuous embedding.

¯ ¯ ¯ ¯ 𝑠 is càdlàg in 𝐻.
Since 𝐴 is a bounded operator from 𝒟( 𝐴) to 𝐻, the process 𝑠 ↦→ 𝐴𝑌 ¯
Similarly we find 𝑠 ↦→ 𝐴˜ 𝐴𝑌¯ 𝑠 is càdlàg in 𝐻.
˜ By Theorem 13.24 the process 𝑡 ↦→ 𝑍¯ 𝑡
˜ and
¯ so it is càdlàg in 𝒟( 𝐴)
is càdlàg in 𝐻,
∫ 𝑡
𝐴˜ 𝑍¯ 𝑡 = 𝐴˜ 𝑇¯𝑡 𝑥¯ + 𝐴𝑌
¯ 𝑡+ ¯ 𝑠 d𝑠.
𝑇˜𝑡−𝑠 𝐴˜ 𝐴𝑌
0
Moreover, we have
∫ 𝑡 ∫ 𝑡 ∫ 𝑡
𝐴¯ 𝑍¯ 𝑠 d𝑠 = 𝐴˜ 𝑍¯ 𝑠 d𝑠 = 𝐴˜ 𝑍¯ 𝑠 d𝑠.
0 0 0
Then (13.62) follows from (13.61). □
˜ satisfying (13.62), then

Theorem 13.27 If { 𝑍¯ 𝑡 : 𝑡 ≥ 0} is a càdlàg process in 𝒟( 𝐴)
it is given by (13.57). Consequently, the pathwise uniqueness holds for the equation
(13.62).
Proof From (13.62) we have

∫ 𝑡 ∫ 𝑡 ∫ 𝑡 ∫ 𝑡 ∫ 𝑢
𝑇˜𝑡−𝑠 𝑍¯ 𝑠 d𝑠 = 𝑇¯𝑡−𝑠 𝑥d𝑠
¯ + 𝑇¯𝑡−𝑠𝑌𝑠 d𝑠 + d𝑢 𝑇˜𝑡−𝑢 𝐴˜ 𝑍¯ 𝑠 d𝑠
0 ∫0 𝑡 ∫0 𝑡 ∫0 𝑡 0
= 𝑇¯𝑡−𝑠 𝑥d𝑠
¯ + 𝑇¯𝑡−𝑠𝑌𝑠 d𝑠 + (𝑇˜𝑡−𝑠 𝑍¯ 𝑠 − 𝑍¯ 𝑠 )d𝑠,
0 0 0
and hence
∫ 𝑡 ∫ 𝑡 ∫ 𝑡
𝑍¯ 𝑠 d𝑠 = 𝑇¯𝑡−𝑠 𝑥d𝑠
¯ + 𝑇¯𝑡−𝑠𝑌𝑠 d𝑠.
0 0 0
It follows that
∫ 𝑡 ∫ 𝑡 ∫ 𝑡
𝐴˜ 𝑍¯ 𝑠 d𝑠 = 𝐴¯ ¯ ¯
𝑇𝑡−𝑠 𝑥d𝑠 + ¯ 𝑠 d𝑠
0 0 ∫ 𝑡 0
= 𝑇¯𝑡 𝑥¯ − 𝑥¯ + ¯ 𝑠 d𝑠.
0
By using (13.62) again we obtain (13.57). □
The concept of the generalized Mehler semigroup was introduced by Bogachev and
Röckner (1995) and Bogachev et al. (1996) as a generalization of the classical Mehler
formula; see, e.g., Malliavin (1997, p. 25). The subject has become a very interesting
field of research.
Proposition 13.2 was first proved by Schmuland and Sun (2001). The current
form of Theorem 13.3 is due to Dawson et al. (2004b), which extends an earlier
result of Bogachev et al. (1996) in the setting of cylindrical measures. By a theorem
of Keller-Ressel et al. (2011), every stochastically continuous Ornstein–Uhlenbeck
process in a finite-dimensional space is regular. Theorem 13.7 was first proved in

Dawson et al. (2004b). The main reference of Sections 13.4 and 13.5 is Dawson and
Li (2004). See also Fuhrman and Röckner (2000) for the construction of the process.
A set of generalized Ornstein–Uhlenbeck processes were defined using Langevin
type equations in Chojnowska-Michalik (1987), where the following mild form of
(13.59) was considered:
∫ 𝑡
𝑋𝑡 = 𝑇𝑡 𝑋0 + 𝑇𝑡−𝑠 d𝑌𝑠 , 𝑡 ≥ 0. (13.63)
0
If the Lévy process {𝑌𝑡 : 𝑡 ≥ 0} has transition semigroup given by (13.52) and
𝛾
(13.53), then {𝑋𝑡 : 𝑡 ≥ 0} has transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by (13.14); see,
e.g., Applebaum (2007).
Let us consider the regular SC-semigroup defined by (13.13) with 𝑎 ↦→ 𝜓0 (𝑎)
given by the right-hand side of (13.2). It was proved in Fuhrman and Röckner
𝛾
(2000) that the corresponding generalized Mehler semigroup (𝑄 𝑡 )𝑡 ≥0 is weakly
continuous on the space of uniformly continuous bounded functions. The notion
of weak continuity was introduced in Cerrai (1994), where it was shown that the
𝛾
strong continuity fails even in the Gaussian case. The generator of (𝑄 𝑡 )𝑡 ≥0 was
defined in Fuhrman and Röckner (2000) by the resolvent. Lescot and Röckner (2002)
characterized the generator as a pseudo-differential operator. The existence and
uniqueness of invariant measures for generalized OU-processes were studied in
Chojnowska-Michalik (1987) and Fuhrman and Röckner (2000).
The mixed topology on 𝐶 (𝐻) is by definition the finest locally convex topology
that agrees on bounded sets with the uniform convergence on compact sets in 𝐻. The
𝛾
semigroup (𝑄 𝑡 )𝑡 ≥0 is strongly continuous on 𝐶 (𝐻) with this topology. Applebaum
𝛾
(2007) gave an explicit representation of the generator of (𝑄 𝑡 )𝑡 ≥0 as a semigroup on
𝐶 (𝐻), which is closable and has a convenient invariant core of cylinder functions.
The mixed topology was already used to study Gaussian type Mehler semigroups in
Goldys and Kocan (2001) and Goldys and van Neerven (2003).
The mild form (13.63) of the Langevin type equation makes sense even when
{𝑌𝑡 : 𝑡 ≥ 0} is a Lévy process in some larger space 𝐸 ⊃ 𝐻. Priola and Zabczyk
(2011) considered the case where {𝑌𝑡 : 𝑡 ≥ 0} is a cylindrical stable process. Suppose
that 𝐴 : 𝒟( 𝐴) → 𝐻 is a self-adjoint operator and {𝑒 1 , 𝑒 2 , . . .} is an orthonormal
basis of 𝐻 such that 𝐴𝑒 𝑛 = 𝛾𝑛 𝑒 𝑛 for every 𝑛 ≥ 1 with 𝛾𝑛 > 0 and 𝛾𝑛 → ∞ as
𝑛 → ∞. Then each 𝑒 𝑛 is an eigenvector of 𝐴. Let {𝑌𝑡 : 𝑡 ≥ 0} be a cylindrical stable
process given by
∞
∑︁
𝑌𝑡 = 𝛽𝑛 𝑦 𝑛 (𝑡)𝑒 𝑛 ,
𝑛=1
where {𝑦 𝑛 (𝑡) : 𝑡 ≥ 0}, 𝑛 = 1, 2, . . . are i.i.d. one-dimensional 𝛼-stable processes

with 0 < 𝛼 < 2 and 𝛽1 , 𝛽2 , . . . are strictly positive constants. It was proved in
Priola and Zabczyk (2011) that for any 𝑋0 = 𝑥 ∈ 𝐻 the generalized OU-process
{𝑋𝑡 : 𝑡 ≥ 0} defined by (13.63) takes values in 𝐻 if and only if
∞
∑︁ 𝛽𝑛𝛼
< ∞,
𝛾
𝑛=1 𝑛
and in this case {𝑋𝑡 : 𝑡 ≥ 0} is a stochastically continuous Markov process.

Suppose that {𝑌𝑡 : 𝑡 ≥ 0} is a Lévy process in 𝐻 and 𝑥 ↦→ 𝑏(𝑥) is an operator on
𝐻. A generalization of the Langevin type equation (13.59) is the following:
d𝑋𝑡 = 𝐴𝑋𝑡 d𝑡 + 𝑏(𝑋𝑡 )d𝑡 + d𝑌𝑡 , 𝑡 ≥ 0. (13.64)
This equation was studied in Lescot and Röckner (2004) under certain regularity
conditions. Their approach was to construct the transition semigroup of the solution
by applying the perturbation theory to the generalized Mehler semigroup in the
space 𝐿 2 (𝐻, 𝜇), where 𝜇 is the invariant measure for the solution of the equation
with 𝑏 = 0. Priola and Zabczyk (2011) studied the Markov property, irreducibility
and strong Feller property of the solution to (13.64) for a cylindrical stable noise.
Some powerful Harnack type and functional inequalities for generalized Mehler
semigroups were established in Röckner and Wang (2003) and Wang (2005). The
reader may refer to Applebaum (2015) for a review of probabilistic properties of
generalized Ornstein–Uhlenbeck processes. A systematical study of time inhomoge-
neous generalized Mehler semigroups and skew convolution semigroups on Hilbert
spaces was carried out in Ouyang and Röckner (2016).
Chapter 14
Small-Branching Fluctuation Limits
A typical class of generalized OU-processes arise as small-branching fluctuation

limits of subcritical immigration superprocesses around their equilibrium means.
In this chapter, we first establish such a fluctuation limit theorem in the space of
Schwartz distributions. A stronger result is then proved which shows that the con-
vergence actually holds in a suitable weighted Sobolev space. To avoid complicated
regularity assumptions, we only consider the case where the spatial motion is a
Brownian motion with killing.
14.1 The Brownian Immigration Superprocess
We first introduce the Brownian immigration superprocess to be considered. Let

𝑏 > 0 be a constant and let 𝜉 be a killed Brownian motion in R𝑑 with generator
𝐴 := Δ/2 − 𝑏 and transition semigroup (𝑃𝑡𝑏 )𝑡 ≥0 . Then 𝜉 has finite potential operator
𝑈 given by
∫ ∞ ∫ ∞
𝑈 𝑓 (𝑥) = 𝑏
𝑃𝑡 𝑓 (𝑥)d𝑡 = e−𝑏𝑡 𝑃𝑡 𝑓 (𝑥)d𝑡, 𝑓 ∈ 𝐵(R𝑑 ),
0 0
where (𝑃𝑡 )𝑡 ≥0 is the transition semigroup of the standard Brownian motion in R𝑑 .

Let 𝜙 be a critical local branching mechanism on R𝑑 given by
∫ ∞
𝜙(𝑥, 𝜆) = 𝑐(𝑥)𝜆2 + (e−𝑢𝜆 − 1 + 𝑢𝜆)𝑚(𝑥, d𝑢), (14.1)
0
where 𝑐 ∈ 𝐶 (R𝑑 ) + and 𝑢 2 𝑚(𝑥, d𝑢) is a bounded kernel from R𝑑 to (0, ∞). We
assume 𝑥 ↦→ 𝑢 2 𝑚(𝑥, d𝑢) is continuous by weak convergence on (0, ∞). The cumulant
semigroup (𝑉𝑡 )𝑡 ≥0 of the (𝜉, 𝜙)-superprocess is defined by
∫ 𝑡
𝑏 𝑏
𝑉𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − 𝑃𝑡−𝑠 𝜙(𝑉𝑠 𝑓 ) (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ R𝑑 . (14.2)
0

392 14 Small-Branching Fluctuation Limits
Clearly, the actual branching mechanism of the (𝜉, 𝜙)-superprocess is strictly sub-
critical because of the killing rate 𝑏 > 0 in the underlying spatial motion.
We fix a constant 𝑝 > 𝑑 and let ℎ 𝑝 (𝑥) = (1 + |𝑥| 2 ) − 𝑝/2 for 𝑥 ∈ R𝑑 , where | · |
denotes the Euclidean norm. It is easy to find a constant 𝛼 > 0 such that ℎ 𝑝 is
𝛼-excessive relative to (𝑃𝑡𝑏 )𝑡 ≥0 . Let 𝐶 𝑝 (R𝑑 ) denote the set of continuous functions
𝑓 ∈ 𝐶0 (R𝑑 ) satisfying | 𝑓 | ≤ const. · ℎ 𝑝 . Let 𝑀 𝑝 (R𝑑 ) be the space of 𝜎-finite
measures 𝜇 on R𝑑 satisfying ⟨𝜇, ℎ 𝑝 ⟩ < ∞. We endow 𝑀 𝑝 (R𝑑 ) with the topology
defined by the convention:
𝜇 𝑛 → 𝜇 in 𝑀 𝑝 (R𝑑 ) if and only if ⟨𝜇 𝑛 , 𝑓 ⟩ → ⟨𝜇, 𝑓 ⟩ for all 𝑓 ∈ 𝐶 𝑝 (R𝑑 ).
In this chapter, we denote the Lebesgue measure on R𝑑 by 𝜆, which clearly belongs

𝜂
to 𝑀 𝑝 (R𝑑 ). Given 𝜂 ∈ 𝑀 𝑝 (R𝑑 ) we define the transition semigroup (𝑄 𝑡 )𝑡 ≥0 on
𝑀 𝑝 (R𝑑 ) by
∫ ∫ 𝑡
− ⟨𝜈, 𝑓 ⟩ 𝜂
e 𝑄 𝑡 (𝜇, d𝜈) = exp − ⟨𝜇, 𝑉𝑡 𝑓 ⟩ − ⟨𝜂, 𝑉𝑠 𝑓 ⟩d𝑠 . (14.3)
𝑀 𝑝 (R𝑑 ) 0
𝜂
By Theorem 9.39 there is a càdlàg realization 𝑌 = (𝑊, 𝒢, 𝒢𝑡 , 𝑌𝑡 , Q 𝜇 ) of the immi-
𝜂
gration superprocess in 𝑀 𝑝 (R𝑑 ) with transition semigroup (𝑄 𝑡 )𝑡 ≥0 . The results of
Propositions 9.15 and 9.20 extend immediately to the present case. Then for 𝑡 ≥ 0
and 𝑓 ∈ 𝐶 𝑝 (R𝑑 ) we have
∫ 𝑡
𝜂
Q 𝜇 [⟨𝑌𝑡 , 𝑓 ⟩] = ⟨𝜇, 𝑃𝑡𝑏 𝑓 ⟩ + ⟨𝜂, 𝑃𝑠𝑏 𝑓 ⟩d𝑠, (14.4)
0
and
∫ 𝑡 2
𝜂 2
Q 𝜇 [⟨𝑌𝑡 , 𝑓⟩ ] = ⟨𝜇, 𝑃𝑡𝑏 𝑓⟩ + ⟨𝜂, 𝑃𝑠𝑏 𝑓 ⟩d𝑠
∫ 0
𝑡
+ 𝑏
⟨𝜇, 𝑃𝑡−𝑠 [𝜙 ′′ (·, 0) (𝑃𝑠𝑏 𝑓 ) 2 ]⟩d𝑠
∫0 𝑡 ∫ 𝑢
+ d𝑢 𝑏
⟨𝜂, 𝑃𝑢−𝑠 [𝜙 ′′ (·, 0) (𝑃𝑠𝑏 𝑓 ) 2 ]⟩d𝑠, (14.5)
0 0
where 𝜙 ′′ (𝑥, 0) is defined by (2.69).
Proposition 14.1 Suppose that 𝜂(d𝑥) is absolutely continuous with respect to the
Lebesgue measure 𝜆(d𝑥) with bounded density 𝑥 ↦→ 𝜂 ′ (𝑥). Then (𝑄 𝑡 )𝑡 ≥0 has a
𝜂
stationary distribution 𝐹 𝜂 defined by

∫ ∫ ∞
e− ⟨𝜈, 𝑓 ⟩ 𝐹 𝜂 (d𝜈) = exp − ⟨𝜂, 𝑉𝑠 𝑓 ⟩d𝑠 , (14.6)
𝑀 𝑝 (R𝑑 ) 0
where 𝑓 ∈ 𝐶 𝑝 (R𝑑 ) + . Moreover, we have 𝑄 𝑡 (0, ·) → 𝐹 𝜂 by weak convergence as

𝜂
𝑡 → ∞.
14.2 Stochastic Processes in Nuclear Spaces 393
Proof Clearly, the mapping 𝜈(d𝑥) ↦→ ℎ 𝑝 (𝑥)𝜈(d𝑥) induces a homeomorphism be-

𝜂 𝜂
tween 𝑀 𝑝 (R𝑑 ) and 𝑀 (R𝑑 ). Let 𝐺 𝑡 (d𝜈) denote the image of 𝑄 𝑡 (0, d𝜈) under the
above mapping. For any 𝑓 ∈ 𝐵(R𝑑 ) + we have
𝑉𝑡 ( 𝑓 ℎ 𝑝 ) (𝑥) ≤ 𝑃𝑡𝑏 ( 𝑓 ℎ 𝑝 ) (𝑥) ≤ ∥ 𝑓 ∥𝑃𝑡𝑏 ℎ 𝑝 (𝑥), 𝑡 ≥ 0, 𝑥 ∈ R𝑑 ,
where ∥ · ∥ denotes the supremum norm. Since 𝜆(d𝑥) is an invariant measure for the
Brownian motion, we have
∫ ∞ ∫ ∞
⟨𝜂, 𝑉𝑠 ( 𝑓 ℎ 𝑝 )⟩d𝑠 ≤ ∥ 𝑓 ∥ ⟨𝜂, 𝑃𝑠𝑏 ℎ 𝑝 ⟩d𝑠
0 0∫
∞
≤ ∥ 𝑓 𝜂′ ∥ e−𝑏𝑠 ⟨𝜆, ℎ 𝑝 ⟩d𝑠 < ∞.
0
It follows that
∫ ∫
e− ⟨𝜈, 𝑓 ⟩ 𝐺 𝑡 (d𝜈) = lim e− ⟨𝜈, 𝑓 ℎ 𝑝 ⟩ 𝑄 𝑡 (0, d𝜈)
𝜂 𝜂
lim
𝑡→∞ 𝑀 (R𝑑 ) 𝑡→∞ 𝑀 𝑝 (R𝑑 )
∫ ∞
= exp − ⟨𝜂, 𝑉𝑠 ( 𝑓 ℎ 𝑝 )⟩d𝑠 , (14.7)
0
and the right-hand side is continuous in 𝑓 ∈ 𝐵(R𝑑 ) + with respect to bounded

pointwise convergence. By Theorem 1.21, it is the Laplace functional of a probability
𝜂
measure 𝐺 𝜂 on 𝑀 (R𝑑 ) and 𝐺 𝑡 → 𝐺 𝜂 weakly as 𝑡 → ∞. Then (14.6) defines a
𝜂
probability measure 𝐹 on 𝑀 𝑝 (R𝑑 ) and 𝑄 𝑡 (0, ·) → 𝐹 𝜂 weakly as 𝑡 → ∞. It is
𝜂
𝜂
easily seen that 𝐹 is a stationary distribution of (𝑄 𝑡 )𝑡 ≥0 .
𝜂 □
Under the condition of Proposition 14.1, the measure potential 𝜁 := 𝜂𝑈 is the
mean of 𝐹 𝜂 . In fact, from (14.6) we have
∫ ∫ ∞
⟨𝜈, 𝑓 ⟩𝐹 𝜂 (d𝜈) = ⟨𝜂, 𝑃𝑠𝑏 𝑓 ⟩d𝑠 = ⟨𝜁, 𝑓 ⟩.
𝑀 𝑝 (R𝑑 ) 0
Observe also that

∫ 𝑡
⟨𝜁, 𝑓 ⟩ = ⟨𝜁, 𝑃𝑡𝑏 𝑓⟩ + ⟨𝜂, 𝑃𝑠𝑏 𝑓 ⟩d𝑠, 𝑡 ≥ 0. (14.8)
0
14.2 Stochastic Processes in Nuclear Spaces
Suppose that 𝐸 is an infinite-dimensional real linear space and ∥ · ∥ 0 ≤ ∥ · ∥ 1 ≤

∥ · ∥ 2 ≤ · · · is a sequence of Hilbertian norms on 𝐸. Let 𝐸 𝑛 be the completion
of 𝐸 relative to ∥ · ∥ 𝑛 and let ⟨·, ·⟩𝑛 denote the inner product in 𝐸 𝑛 . Then we have
𝐸 0 ⊃ 𝐸 1 ⊃ 𝐸 2 ⊃ · · · . The sequence of norms ∥ · ∥ 0 ≤ ∥ · ∥ 1 ≤ ∥ · ∥ 2 ≤ · · · induces a
topology on the set 𝐸 ∞ := ∞
Ñ
𝑛=0 𝐸 𝑛 , which is compatible with the metric 𝜌 defined
by
∞
∑︁ ∥𝑦 − 𝑥∥ 𝑘
𝜌(𝑥, 𝑦) = , 𝑥, 𝑦 ∈ 𝐸 ∞ . (14.9)
𝑘=0
2 𝑘 (1 + ∥𝑦 − 𝑥∥ 𝑘 )
Proposition 14.2 The metric space (𝐸, 𝜌) is complete if and only if 𝐸 = 𝐸 ∞ .
Proof Suppose that (𝐸, 𝜌) is complete. If 𝑥 ∈ 𝐸 ∞ , then for each 𝑛 ≥ 0 there is an

𝑥 𝑛 ∈ 𝐸 such that ∥𝑥 𝑛 − 𝑥∥ 𝑛 < 1/2𝑛+1 implying ∥𝑥 𝑛 − 𝑥∥ 𝑘 < 1/2𝑛+1 for 0 ≤ 𝑘 ≤ 𝑛.
It follows that
𝑛 ∞
∑︁ 1 ∑︁ 1 2 1 1
𝜌(𝑥 𝑛 , 𝑥) ≤ ∥𝑥 𝑛 − 𝑥∥ 𝑘 + < 𝑛+1 + 𝑛 = 𝑛−1 .
𝑘=0
2 𝑘
𝑘=𝑛+1
2 𝑘 2 2 2
Then we have 𝑥 ∈ 𝐸, proving 𝐸 = 𝐸 ∞ . For the converse, suppose that 𝐸 = 𝐸 ∞ .

If {𝑥 𝑘 } is a Cauchy sequence in (𝐸, 𝜌), it is a Cauchy sequence relative to each
norm ∥ · ∥ 𝑛 . Then there is a 𝑦 𝑛 ∈ 𝐸 𝑛 such that ∥𝑥 𝑘 − 𝑦 𝑛 ∥ 𝑛 → 0 as 𝑘 → ∞. By the
relations ∥ · ∥ 0 ≤ ∥ · ∥ 1 ≤ ∥ · ∥ 2 ≤ · · · , we must have 𝑦 𝑛 = 𝑦 0 for every 𝑛 ≥ 0. Then
∥𝑥 𝑘 − 𝑦 0 ∥ 𝑛 → 0 as 𝑘 → ∞ for every 𝑛 ≥ 0. From (14.9) it follows that 𝜌(𝑥 𝑘 , 𝑦 0 ) → 0
as 𝑘 → ∞. Thus (𝐸, 𝜌) is complete. □
Proposition 14.3 Let 𝑓 be a linear map of 𝐸 into a normed linear space (𝐹, ||| · |||).
Then 𝑓 is continuous relative to the metric defined by (14.9) if and only if it is
continuous relative to one of the norms ∥ · ∥ 𝑛 .
Proof If 𝑓 is continuous relative to one of the norms ∥ · ∥ 𝑛 , it is clearly continuous

relative to the metric 𝜌 defined by (14.9). Conversely, suppose that 𝑓 is a continuous
linear map of (𝐸, 𝜌) into (𝐹, ||| · |||). Then there is a neighborhood 𝐺 of zero such
that ||| 𝑓 (𝑦)||| < 1 for all 𝑦 ∈ 𝐺. Consequently, there exists 𝑛 ≥ 0 and 𝛿 > 0 such
that {𝑥 ∈ 𝐸 : ∥𝑥∥ 𝑛 < 𝛿} ⊂ 𝐺. Therefore ∥𝑥∥ 𝑛 < 𝛿 implies ||| 𝑓 (𝑥)||| < 1, and so
∥𝑥∥ 𝑛 < 𝛿𝜀 implies ||| 𝑓 (𝑥)||| < 𝜀 for every 𝜀 > 0. This gives the continuity of 𝑓
relative to ∥ · ∥ 𝑛 . □
By Proposition 14.3 the space 𝐸 has dual 𝐸 ′ := ∞

Ð
𝑛=0 𝐸 −𝑛 , where 𝐸 −𝑛 denotes
the dual space of 𝐸 𝑛 . Let ⟨·, ·⟩ denote the duality between 𝐸 and 𝐸 ′. A subset 𝐵 of 𝐸
is said to be bounded if it is bounded in each norm ∥ · ∥ 𝑛 , that is, sup 𝑥 ∈𝐵 ∥𝑥∥ 𝑛 < ∞
for each 𝑛 ≥ 0. For any bounded set 𝐵 ⊂ 𝐸 define the semi-norm 𝑝 𝐵 on 𝐸 ′ by
𝑝 𝐵 ( 𝑓 ) = sup{| 𝑓 (𝑥)| : 𝑥 ∈ 𝐵}, 𝑓 ∈ 𝐸 ′. (14.10)
We endow 𝐸 ′ with the topology generated by the collection of semi-norms

{𝑝 𝐵 : 𝐵 ⊂ 𝐸 is bounded}, which is called the strong topology.
For every 𝑛 ≥ 0 let {𝑒 1𝑛 , 𝑒 2𝑛 , . . .} be an orthonormal basis of 𝐸 𝑛 and let ∥ · ∥ −𝑛 be

the norm of 𝐸 −𝑛 defined by
∞
∑︁
∥ 𝑓 ∥ 2−𝑛 = ⟨ 𝑓 , 𝑒 𝑛𝑘 ⟩ 2 , 𝑓 ∈ 𝐸 −𝑛 .
𝑘=1
We identify 𝐸 −0 with 𝐸 0 , but not 𝐸 −𝑛 with 𝐸 𝑛 for 𝑛 ≥ 1. We call 𝐸 or (𝐸, 𝜌) a

countably Hilbert nuclear space or simply a nuclear space if the following conditions
are satisfied:
(1) 𝐸 is separable with respect to ∥ · ∥ 𝑛 for every 𝑛 ≥ 0;

(2) for every 𝑚 ≥ 0 there exists 𝑛 > 𝑚 and an orthonormal basis {𝑒 1𝑛 , 𝑒 2𝑛 , . . .} of 𝐸 𝑛
such that
∞
∑︁
∥𝑒 𝑛𝑘 ∥ 2𝑚 < ∞; (14.11)
𝑘=1
(3) the metric space (𝐸, 𝜌) is complete.
It is well known that the above property (2) is equivalent to the embedding operator
𝜋 𝑛,𝑚 of 𝐸 𝑛 into 𝐸 𝑚 being Hilbert–Schmidt; see, e.g., Kallianpur and Xiong (1995,
p. 18). For any orthonormal basis { 𝑓1𝑚 , 𝑓2𝑚 , . . .} of 𝐸 𝑚 we have
∞
∑︁ ∞ ∑︁
∑︁ ∞
∥𝑒 𝑛𝑘 ∥ 2𝑚 = 2
⟨𝜋 𝑛,𝑚 𝑒 𝑛𝑘 , 𝑓𝑖𝑚 ⟩𝑚
𝑘=1 𝑘=1 𝑖=1
∞ ∑︁
∑︁ ∞
= ⟨𝑒 𝑛𝑘 , 𝜋−𝑚,−𝑛 𝑓𝑖𝑚 ⟩𝑛2
𝑖=1 𝑘=1
∞
∑︁
2
= ∥ 𝑓𝑖𝑚 ∥ −𝑛 .
𝑖=1
Then the value on the left-hand side of (14.11) does not depend on the choice of the
orthonormal basis {𝑒 1𝑛 , 𝑒 2𝑛 , . . .}. If 𝐸 is a nuclear space, we have
∞
Ø ∞
Ù
𝐸′ = 𝐸 −𝑛 ⊃ · · · ⊃ 𝐸 −2 ⊃ 𝐸 −1 ⊃ 𝐸 0 ⊃ 𝐸 1 ⊃ 𝐸 2 ⊃ · · · ⊃ 𝐸𝑛 = 𝐸 .
𝑛=0 𝑛=0
The following two theorems were established in Mitoma (1983); see also Walsh
(1986, pp. 361–365).
Theorem 14.4 Let 𝐸 be a nuclear space with strong dual 𝐸 ′. Let {(𝑌𝑘 (𝑡))𝑡 ≥0 :
𝑘 ≥ 1} be a sequence of processes with sample paths in the space 𝐷 ( [0, ∞), 𝐸 ′). If
for each 𝑥 ∈ 𝐸 the sequence of real processes {(⟨𝑌𝑘 (𝑡), 𝑥⟩)𝑡 ≥0 : 𝑘 ≥ 1} is tight in
𝐷 ( [0, ∞), R), then {(𝑌𝑘 (𝑡))𝑡 ≥0 : 𝑘 ≥ 1} is tight in 𝐷 ( [0, ∞), 𝐸 ′).
Theorem 14.5 Let {(𝑌𝑘 (𝑡))𝑡 ≥0 : 𝑘 ≥ 1} be a sequence of processes satisfying the

conditions of Theorem 14.4. Suppose that 𝑛 > 𝑚 ≥ 0 and 𝐸 𝑛 ⊂ 𝐸 𝑚 is a Hilbert–
Schmidt embedding. If for every 𝑡 ≥ 0, 𝜌 > 0 and 𝜀 > 0 there exists a 𝛿 > 0 such
that 𝑥 ∈ 𝐸 and ∥𝑥∥ 𝑚 ≤ 𝛿 imply
n o
sup P sup |⟨𝑌𝑘 (𝑠), 𝑥⟩| ≥ 𝜌 ≤ 𝜀,
𝑘 ≥1 0≤𝑠 ≤𝑡
then each process (𝑌𝑘 (𝑡))𝑡 ≥0 has sample paths a.s. in 𝐷 ( [0, ∞), 𝐸 −𝑛 ) and the se-
quence {(𝑌𝑘 (𝑡))𝑡 ≥0 : 𝑘 ≥ 1} is tight in 𝐷 ( [0, ∞), 𝐸 −𝑛 ).
We next consider a typical example of the nuclear space. Let N = {0, 1, 2, . . .}.
Let 𝐶 ∞ (R𝑑 ) be the set of bounded infinitely differentiable functions on R𝑑 with
bounded derivatives. Let 𝒮(R𝑑 ) ⊂ 𝐶 ∞ (R𝑑 ) denote the Schwartz space of rapidly
decreasing functions. That is, a function 𝑓 ∈ 𝒮(R𝑑 ) is infinitely differentiable and
for every 𝑘 ≥ 0 and every 𝛼 = (𝛼1 , . . . , 𝛼𝑑 ) ∈ N𝑑 we have
lim |𝑥| 𝑘 |𝜕 𝛼 𝑓 (𝑥)| = 0, (14.12)

| 𝑥 |→∞
where | · | denotes the Euclidean norm and
𝜕 𝛼1 +···+𝛼𝑑
𝜕 𝛼 𝑓 (𝑥) = 𝑓 (𝑥1 , . . . , 𝑥 𝑑 ).
𝜕𝑥1𝛼1 · · · 𝜕𝑥 𝑑𝛼𝑑
We first define an increasing sequence of norms {𝑝 0 , 𝑝 1 , 𝑝 2 , . . .} on 𝒮(R𝑑 ) by

∑︁
𝑝𝑛 ( 𝑓 ) = sup (1 + |𝑥| 2 ) 𝑛/2 |𝜕 𝛼 𝑓 (𝑥)|, (14.13)
0≤ 𝛼¯ ≤𝑛 𝑥 ∈R
𝑑
where 𝛼¯ = 𝛼1 + · · · + 𝛼𝑑 . The norms {𝑝 0 , 𝑝 1 , 𝑝 2 , . . .} are not Hilbertian. We also

define the Hilbertian norms {𝑞 0 , 𝑞 1 , 𝑞 2 , . . .} on 𝒮(R𝑑 ) by
∑︁ ∫
𝑞𝑛 ( 𝑓 )2 = (1 + |𝑥| 2 ) 𝑛 |𝜕 𝛼 𝑓 (𝑥)| 2 d𝑥. (14.14)
0≤ 𝛼¯ ≤𝑛 R𝑑
Proposition 14.6 For every 𝑛 ≥ 0 there is a constant 𝑏(𝑛) > 0 such that
𝑞 𝑛 ( 𝑓 ) ≤ 𝑏(𝑛) 𝑝 𝑛+𝑑 ( 𝑓 ) and 𝑝 𝑛 ( 𝑓 ) ≤ 𝑏(𝑛)𝑞 𝑛+𝑑 ( 𝑓 ), 𝑓 ∈ 𝒮(R𝑑 ).
Proof For any 𝑛 ≥ 0 and 𝛼 ∈ N𝑑 satisfying 0 ≤ 𝛼¯ ≤ 𝑛 we have

1
(1 + |𝑥| 2 ) 𝑛 |𝜕 𝛼 𝑓 (𝑥)| 2 ≤ sup (1 + |𝑦| 2 ) 𝑛+𝑑 |𝜕 𝛼 𝑓 (𝑦)| 2

𝑦 ∈R𝑑 (1 + |𝑥| 2 ) 𝑑
1
≤ 𝑝 𝑛+𝑑 ( 𝑓 ) 2 .
(1 + |𝑥| 2 ) 𝑑
It follows that 𝑞 𝑛 ( 𝑓 ) ≤ 𝑏 1 (𝑛) 𝑝 𝑛+𝑑 ( 𝑓 ) for a constant 𝑏 1 (𝑛) > 0. On the other hand,
for 𝑑 = 1 and 0 ≤ 𝑘 ≤ 𝑛 we have
∫ 𝑥
′
(1 + 𝑥 2 ) 𝑛/2 | 𝑓 (𝑘) (𝑥)| = (1 + 𝑦 2 ) 𝑛/2 𝑓 (𝑘) (𝑦) d𝑦

∫ −∞
≤ (1 + 𝑦 2 ) 𝑛/2 𝑓 (𝑘+1) (𝑦) d𝑦
R ∫
𝑛
+ (1 + 𝑦 2 ) 𝑛/2 𝑓 (𝑘) (𝑦) d𝑦
2 R
∫ 1 ∫ 21
d𝑦 2 2 𝑛+1 (𝑘+1) 2
≤ 2
(1 + 𝑦 ) 𝑓 (𝑦) d𝑦
R 1+𝑦 R
∫ 12
𝑛
+ (1 + 𝑦 2 ) 𝑛+1 𝑓 (𝑘) (𝑦) 2 d𝑦
2 R
√ 𝑛
≤ 𝜋 1 + 𝑞 𝑛+1 ( 𝑓 ).
2
Then there is a constant 𝑏 2 (𝑛) > 0 such that 𝑝 𝑛 ( 𝑓 ) ≤ 𝑏 2 (𝑛)𝑞 𝑛+1 ( 𝑓 ). The inequality
for higher dimensions follows similarly. □
By Proposition 14.6 the sequences of norms {𝑝 𝑛 } and {𝑞 𝑛 } induce the same

topology on 𝒮(R𝑑 ). To show this is a nuclear space let us introduce another sequence
of Hilbertian norms. The Hermite polynomials on R are given by
2 d 𝑘 −𝑥 2
𝑔 𝑘 (𝑥) = (−1) 𝑘 e 𝑥 e , 𝑘 = 0, 1, 2, . . . .
d𝑥 𝑘
Based on those we define the Hermite functions
1 2
ℎ 𝑘 (𝑥) = √ √ e−𝑥 /2 𝑔 𝑘 (𝑥), 𝑘 = 0, 1, 2, . . . .
4
𝜋 2 𝑘!
𝑘
For 𝑥 ∈ R𝑑 and 𝛼 ∈ N𝑑 let ℎ 𝛼 (𝑥) = ℎ 𝛼1 (𝑥 1 ) · · · ℎ 𝛼𝑑 (𝑥 𝑑 ). Then ℎ 𝛼 ∈ 𝒮(R𝑑 ) and

{ℎ 𝛼 : 𝛼 ∈ N𝑑 } is an orthonormal basis of 𝐿 2 (R𝑑 ). Let ⟨·, ·⟩ denote the inner product
of 𝐿 2 (R𝑑 ). For 𝑓 ∈ 𝒮(R𝑑 ) we write
∑︁
𝑓 (𝑥) = ⟨ 𝑓 , ℎ 𝛼 ⟩ℎ 𝛼 (𝑥), 𝑥 ∈ R𝑑 (14.15)
𝛼∈N𝑑
and define
∑︁
∥ 𝑓 ∥ 2𝑛 = (2𝛼¯ + 𝑑) 2𝑛 ⟨ 𝑓 , ℎ 𝛼 ⟩ 2 (14.16)
𝛼∈N𝑑
for 𝑛 = 0, ±1, ±2, . . .. For any 𝑔, 𝑓 ∈ 𝒮(R𝑑 ) we have

∑︁
⟨𝑔, 𝑓 ⟩ = ⟨𝑔, ℎ 𝛼 ⟩⟨ 𝑓 , ℎ 𝛼 ⟩,
𝛼∈N𝑑
and ⟨𝑔, 𝑓 ⟩ ≤ ∥𝑔∥ −𝑛 ∥ 𝑓 ∥ 𝑛 by Schwarz’s inequality. Let 𝐻𝑛 (R𝑑 ) be the completion

of 𝒮(R𝑑 ) with respect to ∥ · ∥ 𝑛 , which we refer to as a weighted Sobolev space. By
approximation we can extend ⟨·, ·⟩ to a bilinear form between 𝐻−𝑛 (R𝑑 ) and 𝐻𝑛 (R𝑑 ).
Let ⟨·, ·⟩𝑛 denote the inner product of 𝐻𝑛 (R𝑑 ). For 𝑔, 𝑓 ∈ 𝐻𝑛 (R𝑑 ) we have
∑︁
⟨𝑔, 𝑓 ⟩𝑛 = (2𝛼¯ + 𝑑) 2𝑛 ⟨𝑔, ℎ 𝛼 ⟩⟨ 𝑓 , ℎ 𝛼 ⟩ = ⟨𝜋 𝑛 𝑔, 𝑓 ⟩,
𝛼∈N𝑑
where
∑︁
𝜋𝑛 𝑔 = (2𝛼¯ + 𝑑) 2𝑛 ⟨𝑔, ℎ 𝛼 ⟩ℎ 𝛼 ∈ 𝐻−𝑛 (R𝑑 ).
𝛼∈N𝑑
Then 𝐻−𝑛 (R𝑑 ) and 𝐻𝑛 (R𝑑 ) are dual spaces with the duality ⟨·, ·⟩.
Proposition 14.7 For every 𝑛 ≥ 0 there is a constant 𝑐(𝑛) > 0 such that
𝑞 𝑛 ( 𝑓 ) ≤ 𝑐(𝑛) ∥ 𝑓 ∥ 𝑛 and ∥ 𝑓 ∥ 𝑛 ≤ 𝑐(𝑛)𝑞 2𝑛 ( 𝑓 ), 𝑓 ∈ 𝒮(R𝑑 ).
Proof We only give the proof for the case 𝑑 = 1. The proof in the general case is
based on similar ideas with more complicated calculations. It is easy to show that
√︂ √︂
′ 𝑘 𝑘 +1
ℎ 𝑘 (𝑥) = ℎ 𝑘−1 (𝑥) − ℎ 𝑘+1 (𝑥) (14.17)
2 2
and
√︂ √︂
𝑘 𝑘 +1
𝑥ℎ 𝑘 (𝑥) = ℎ 𝑘−1 (𝑥) + ℎ 𝑘+1 (𝑥) (14.18)
2 2
with ℎ−1 (𝑥) = 0 by convention. For 𝑓 ∈ 𝒮(R) we have
∞
∑︁
𝑓 (𝑥) = ⟨ 𝑓 , ℎ 𝑘 ⟩ℎ 𝑘 (𝑥), 𝑥 ∈ R. (14.19)
𝑘=0
For 0 ≤ 𝑘, 𝑙 ≤ 𝑛 one can use (14.17) and (14.18) to see

∞
∑︁ 𝑖+2𝑛
∑︁
𝑥 𝑙 𝑓 (𝑘) (𝑥) = 𝑎 𝑛 (𝑖, 𝑗, 𝑘, 𝑙) (𝑖 + 2𝑛) 𝑛 ⟨ 𝑓 , ℎ 𝑗 ⟩ℎ𝑖 (𝑥),
𝑖=0 𝑗=(𝑖−2𝑛) +
where (𝑖 − 2𝑛) + = 0 ∨ (𝑖 − 2𝑛) and {𝑎 𝑛 (𝑖, 𝑗, 𝑘, 𝑙) : 𝑖, 𝑗, 𝑘, 𝑙 ≥ 0} is a countable set

bounded by some 𝑏 0 (𝑛) > 0. Then there are constants 𝑏 𝑖 (𝑛) > 0 such that
∫ ∞
∑︁ 𝑖+2𝑛
∑︁
(1 + 𝑥 2 ) 𝑛 𝑓 (𝑘) (𝑥) 2 d𝑥 ≤ 𝑏 1 (𝑛) (𝑖 + 2𝑛) 2𝑛 ⟨ 𝑓 , ℎ 𝑗 ⟩ 2
R 𝑖=0 𝑗=(𝑖−2𝑛) +
∞
∑︁ 𝑗+2𝑛
∑︁
= 𝑏 1 (𝑛) (𝑖 + 2𝑛) 2𝑛 ⟨ 𝑓 , ℎ 𝑗 ⟩ 2
𝑗=0 𝑖=( 𝑗−2𝑛) +
∞
∑︁
≤ 𝑏 2 (𝑛) ( 𝑗 + 4𝑛) 2𝑛 ⟨ 𝑓 , ℎ 𝑗 ⟩ 2
𝑗=0
∞
∑︁
≤ 𝑏 3 (𝑛) (2 𝑗 + 1) 2𝑛 ⟨ 𝑓 , ℎ 𝑗 ⟩ 2 .
𝑗=0
This gives the first inequality. Using (14.17) and (14.18) one can show
𝑥 2 ℎ 𝑘 (𝑥) − ℎ ′′
𝑘 (𝑥) = (2𝑘 + 1)ℎ 𝑘 (𝑥). (14.20)
For 𝑓 ∈ 𝒮(R) given by (14.19) we have

∞
∑︁
𝑥 2 𝑓 (𝑥) − 𝑓 ′′ (𝑥) = (2𝑘 + 1)⟨ 𝑓 , ℎ 𝑘 ⟩ℎ 𝑘 (𝑥).
𝑘=0
′′ (𝑥)
Let us denote the above function by 𝑓1 (𝑥) and define 𝑓𝑛 (𝑥) = 𝑥 2 𝑓𝑛−1 (𝑥) − 𝑓𝑛−1
for 𝑛 ≥ 2 inductively. It is easy to see that
∞
∑︁
𝑓𝑛 (𝑥) = (2𝑘 + 1) 𝑛 ⟨ 𝑓 , ℎ 𝑘 ⟩ℎ 𝑘 (𝑥).
𝑘=0
Then there is a constant 𝑐(𝑛) > 0 such that

∫ 21
2
∥ 𝑓 ∥𝑛 = 𝑓𝑛 (𝑥) d𝑥 ≤ 𝑐(𝑛)𝑞 2𝑛 ( 𝑓 ).
R
This gives the second inequality. □
Proposition 14.8 For 𝑛 > 𝑚 + 𝑑/2 the embedding 𝐻𝑛 (R𝑑 ) ⊂ 𝐻𝑚 (R𝑑 ) is Hilbert–
Schmidt.
Proof It is easy to see that {(2𝛼¯ + 𝑑) −𝑛 ℎ 𝛼 : 𝛼 ∈ N𝑑 } is an orthonormal basis of

𝒮(R𝑑 ) with respect to the norm ∥ · ∥ 𝑛 and
∑︁ ∑︁
∥ (2𝛼¯ + 𝑑) −𝑛 ℎ 𝛼 ∥ 2𝑚 = (2𝛼¯ + 𝑑) 2(𝑚−𝑛) < ∞
𝛼∈N𝑑 𝛼∈N𝑑
for any 𝑛 > 𝑚 + 𝑑/2. □
Let 𝒮(R𝑑 ) be endowed with the metric 𝜌 defined by (14.9) and let 𝒮 ′ (R𝑑 ) denote
its dual endowed with the strong topology. The elements of 𝒮 ′ (R𝑑 ) are called
Schwartz distributions.
Theorem 14.9 Both 𝒮(R𝑑 ) and 𝒮 ′ (R𝑑 ) are nuclear spaces.

Proof By Propositions 14.6 and 14.7 the two families of norms {𝑝 0 , 𝑝 1 , 𝑝 2 , . . .} and
{∥ · ∥ 0 , ∥ · ∥ 1 , ∥ · ∥ 2 , . . .} are equivalent. Then it is easily seen that 𝒮(R𝑑 ) is complete
under the metric 𝜌 defined by (14.9). Let 𝒢 be the collection of functions 𝑓 ∈ 𝒮(R𝑑 )
having the decomposition
∑︁
𝑓 (𝑥) = 𝑟 𝛼 ℎ 𝛼 (𝑥), 𝑥 ∈ R𝑑
𝛼¯ ≤𝑛
for all possible finite sets of rational coefficients {𝑟 𝛼 : 𝛼¯ ≤ 𝑛}. Clearly, 𝒢 is dense
in 𝐻𝑛 for every 𝑛 ≥ 0. In other words, each 𝐻𝑛 is separable. By Proposition 14.8 the
embedding 𝐻𝑛 (R𝑑 ) ⊂ 𝐻𝑚 (R𝑑 ) is Hilbert–Schmidt for 𝑛 > 𝑚 + 𝑑/2, so 𝒮(R𝑑 ) is a
nuclear space. Since 𝒮(R𝑑 ) is clearly a Fréchet space, its strong dual 𝒮 ′ (R𝑑 ) is also
a nuclear space; see, e.g., Treves (1967, p. 523). □
14.3 Fluctuation Limits in the Schwartz Space
Let (𝜉, 𝜙, 𝜂) be the parameters given as in Section 14.1 and assume 𝜂(d𝑥) is absolutely
continuous with respect to the Lebesgue measure 𝜆(d𝑥) with a bounded density. For
any integer 𝑘 ≥ 1 let 𝜙 𝑘 (𝑥, 𝑧) = 𝜙(𝑥, 𝑧/𝑘) and suppose that {𝑌𝑘 (𝑡) : 𝑡 ≥ 0} is a
càdlàg immigration superprocess in 𝑀 𝑝 (R𝑑 ) with parameters (𝜉, 𝜙 𝑘 , 𝜂). Then each
{𝑌𝑘 (𝑡) : 𝑡 ≥ 0} has equilibrium mean 𝜁 := 𝜂𝑈. We are interested in the asymptotic
fluctuating behavior of the immigration processes around this mean. For simplicity,
we assume 𝑌𝑘 (0) = 𝜁, so (14.4) and (14.8) imply
E⟨𝑌𝑘 (𝑡), 𝑓 ⟩ = ⟨𝜁, 𝑓 ⟩, 𝑡 ≥ 0, 𝑓 ∈ 𝐶 𝑝 (R𝑑 ).
Then we define the centered 𝒮 ′ (R𝑑 )-valued process {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0} by
𝑍 𝑘 (𝑡) = 𝑘 [𝑌𝑘 (𝑡) − 𝜁], 𝑡 ≥ 0. (14.21)
Since 𝑡 ↦→ ⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ is càdlàg for every 𝑓 ∈ 𝒮(R𝑑 ), the process 𝑡 ↦→ 𝑍 𝑘 (𝑡) is càdlàg
in the strong topology of 𝒮 ′ (R𝑑 ); see, e.g., Treves (1967, p. 358). Recall that 𝐶 2 (R)
denotes the set of bounded continuous real functions on R with bounded continuous
derivatives up to the second order.
Lemma 14.10 For any 𝐺 ∈ 𝐶 2 (R) and 𝑓 ∈ 𝒮(R𝑑 ) we have

∫ 𝑡
𝐺 (⟨𝑍 𝑘 (𝑡), 𝑓 ⟩) = 𝐺 ′ (⟨𝑍 𝑘 (𝑠), 𝑓 ⟩)⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩d𝑠
0∫
𝑡
+ 𝐺 ′′ (⟨𝑍 𝑘 (𝑠), 𝑓 ⟩)⟨𝑌𝑘 (𝑠), 𝑐 𝑓 2 ⟩d𝑠
∫0 𝑡 ∫
+ d𝑠 𝑙 (𝑥, 𝑍 𝑘 (𝑠))𝑌𝑘 (𝑠, d𝑥) + mart.,
0 R𝑑
14.3 Fluctuation Limits in the Schwartz Space 401
where
∫ ∞ h
𝑙 (𝑥, 𝜇) = 𝐺 ⟨𝜇, 𝑓 ⟩ + 𝑢 𝑓 (𝑥) − 𝐺 (⟨𝜇, 𝑓 ⟩)
0 i
− 𝐺 ′ (⟨𝜇, 𝑓 ⟩)𝑢 𝑓 (𝑥) 𝑚(𝑥, d𝑢).
Proof Let 𝐹𝑘 (𝜈) = 𝐺 (⟨𝜈, 𝑘 𝑓 ⟩ − ⟨𝜁, 𝑘 𝑓 ⟩) for 𝜈 ∈ 𝑀 𝑝 (R𝑑 ). Then 𝐺 (⟨𝑍 𝑘 (𝑡), 𝑓 ⟩) =
𝐹𝑘 (𝑌𝑘 (𝑡)). By Theorem 9.38,
∫ 𝑡
𝐺 (⟨𝑍 𝑘 (𝑡), 𝑓 ⟩) = 𝐺 ′ (⟨𝑌𝑘 (𝑠), 𝑘 𝑓 ⟩ − ⟨𝜁, 𝑘 𝑓 ⟩)⟨𝑌𝑘 (𝑠), 𝑘 𝐴 𝑓 ⟩d𝑠
0∫
𝑡
+ 𝐺 ′ (⟨𝑌𝑘 (𝑠), 𝑘 𝑓 ⟩ − ⟨𝜁, 𝑘 𝑓 ⟩)⟨𝜂, 𝑘 𝑓 ⟩d𝑠
0
∫ 𝑡
+ 𝐺 ′′ (⟨𝑌𝑘 (𝑠), 𝑘 𝑓 ⟩ − ⟨𝜁, 𝑘 𝑓 ⟩)⟨𝑌𝑘 (𝑠), 𝑐 𝑓 2 ⟩d𝑠
0
∫ 𝑡 ∫
+ d𝑠 𝑙 (𝑥, 𝑍 𝑘 (𝑠))𝑌𝑘 (𝑠, d𝑥) + local mart.
0 R𝑑
Using (14.5) one can see the local martingale above is actually a square-integrable
martingale. Observe that
⟨𝜂, 𝑓 ⟩ = −⟨𝜂, 𝑈 𝐴 𝑓 ⟩ = −⟨𝜁, 𝐴 𝑓 ⟩. (14.22)
Then we obtain the desired equality. □
Lemma 14.11 Let 𝜙 ′′ (𝑥, 0) be given by (2.69). Then for any 𝑡 ≥ 0 and 𝑓 ∈ 𝐶 𝑝 (R𝑑 )
we have
∫ 𝑡
E[⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ 2 ] = ⟨𝜁, 𝜙 ′′ (·, 0) (𝑃𝑠𝑏 𝑓 ) 2 ⟩d𝑠. (14.23)
0
Proof In view of (14.4) and (14.5) we have

∫ 𝑡 2
E ⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ 2 = E ⟨𝑌𝑘 (𝑡), 𝑘 𝑓 ⟩ − ⟨𝜁, 𝑘 𝑃𝑡𝑏 𝑓 ⟩ −

⟨𝜂, 𝑘 𝑃𝑠𝑏 𝑓 ⟩d𝑠
∫ 𝑡 0
𝑏 ′′ 𝑏 2
= ⟨𝜁, 𝑃𝑡−𝑠 [𝜙 (·, 0) (𝑃𝑠 𝑓 ) ]⟩d𝑠
0∫ ∫ 𝑡−𝑠
𝑡
+ d𝑠 ⟨𝜂, 𝑃𝑢𝑏 [𝜙 ′′ (·, 0) (𝑃𝑠𝑏 𝑓 ) 2 ]⟩d𝑢
∫ 𝑡 0 0
= ⟨𝜁, 𝜙 ′′ (·, 0) (𝑃𝑠𝑏 𝑓 ) 2 ⟩d𝑠,

0
where for the last equality we also used (14.8) to the function 𝜙 ′′ (·, 0) (𝑃𝑠𝑏 𝑓 ) 2 . □
Lemma 14.12 Let 𝜁 ′ be a bounded density of 𝜁 (d𝑥) with respect to the Lebesgue
measure. Then for any 𝑡 ≥ 0 and 𝑓 ∈ 𝒮(R𝑑 ) we have
h i h i
sup E sup ⟨𝑍 𝑘 (𝑠), 𝑓 ⟩ 2 ≤ 𝑡 ∥𝜁 ′ ∥ ∥𝜙 ′′ (·, 0) ∥ 8⟨𝜆, 𝑓 2 ⟩ + 𝑡 2 ⟨𝜆, ( 𝐴 𝑓 ) 2 ⟩ .
𝑘 ≥1 0≤𝑠 ≤𝑡
Proof By Theorem 9.38 we have

∫ 𝑡
⟨𝑌𝑘 (𝑡), 𝑓 ⟩ = ⟨𝜁, 𝑓 ⟩ + 𝑀𝑘 (𝑡, 𝑓 ) + ⟨𝑌𝑘 (𝑠), 𝐴 𝑓 ⟩ + ⟨𝜂, 𝑓 ⟩ d𝑠, (14.24)
0
where {𝑀𝑘 (𝑡, 𝑓 ) : 𝑡 ≥ 0} is a càdlàg martingale with quadratic variation process

∫ 𝑡
1
⟨𝑀𝑘 ( 𝑓 )⟩𝑡 = 2 ⟨𝑌𝑘 (𝑠), 𝜙 ′′ (·, 0) 𝑓 2 ⟩d𝑠.
𝑘 0
From (14.22) and (14.24) we get
∫ 𝑡
⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ = 𝑘 𝑀𝑘 (𝑡, 𝑓 ) + ⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩d𝑠.
0
Then by (14.5) and (14.23),

h i
E sup ⟨𝑍 𝑘 (𝑠), 𝑓 ⟩ 2
0≤𝑠 ≤𝑡
∫ 𝑡 2
2 2
≤ 2𝑘 E sup |𝑀𝑘 (𝑠, 𝑓 )| + 2E |⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩|d𝑠
∫ 𝑡 0≤𝑠 ≤𝑡 0∫
𝑡
E[⟨𝑌𝑘 (𝑠), 𝜙 ′′ (·, 0) 𝑓 2 ⟩]d𝑠 + 2𝑡 E ⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩ 2 d𝑠

≤ 8
0 ∫ 0𝑡 ∫ 𝑠
′′ 2 ′′
≤ 8𝑡 ∥𝜙 (·, 0) ∥⟨𝜁, 𝑓 ⟩ + 2𝑡 ∥𝜙 (·, 0) ∥ d𝑠 ⟨𝜁, (𝑃𝑢𝑏 𝐴 𝑓 ) 2 ⟩d𝑢
0 0∫ ∫ 𝑠
𝑡
≤ 8𝑡 ∥𝜁 ′ ∥ ∥𝜙 ′′ (·, 0) ∥⟨𝜆, 𝑓 2 ⟩ + 2𝑡 ∥𝜁 ′ ∥ ∥𝜙 ′′ (·, 0) ∥ d𝑠 ⟨𝜆, (𝑃𝑢𝑏 𝐴 𝑓 ) 2 ⟩d𝑢
h i 0 0
≤ 𝑡 ∥𝜁 ′ ∥ ∥𝜙 ′′ (·, 0) ∥ 8⟨𝜆, 𝑓 2 ⟩ + 𝑡 2 ⟨𝜆, ( 𝐴 𝑓 ) 2 ⟩ .
This gives the desired estimate. □
Lemma 14.13 The sequence {(𝑍 𝑘 (𝑡))𝑡 ≥0 : 𝑘 ≥ 1} is tight in 𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )).
Proof By Theorem 14.4 we only need to prove the sequence {⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ : 𝑡 ≥ 0; 𝑘 ≥
1} is tight in 𝐷 ( [0, ∞), R) for every 𝑓 ∈ 𝒮(R𝑑 ). By Lemma 14.12 and Chebyshev’s
inequality we have
h i
sup P sup |⟨𝑍 𝑘 (𝑠), 𝑓 ⟩| ≥ 𝛼 → 0
𝑘 ≥1 0≤𝑠 ≤𝑡
as 𝛼 → ∞. Then {⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ : 𝑡 ≥ 0} satisfies the compact containment condition

of Ethier and Kurtz (1986, p. 142). Let 𝐺 ∈ 𝐶 ∞ (R) and let 𝑙 (𝑥, 𝜇) be defined as in
Lemma 14.10. By Taylor’s expansion we have
∫ ∞
|𝑙 (𝑥, 𝜇)| ≤ ∥𝐺 ′′ ∥ 𝑢 2 𝑚(𝑥, d𝑢)| 𝑓 (𝑥)| 2 .
0
Then it is easy to show

∫ 𝑡
sup E 𝐺 ′ (⟨𝑍 𝑘 (𝑠), 𝑓 ⟩)⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩ + 𝐺 ′′ (⟨𝑍 𝑘 (𝑠), 𝑓 ⟩)⟨𝑌𝑘 (𝑠), 𝑐 𝑓 2 ⟩
𝑘 ≥1 0 ∫
2
+ 𝑙 (𝑥, 𝑍 𝑘 (𝑠))𝑌𝑘 (𝑠, d𝑥) d𝑠 < ∞.
R𝑑
By Lemma 14.10 and Ethier and Kurtz (1986, p. 145) we infer that {𝐺 (⟨𝑍 𝑘 (𝑡), 𝑓 ⟩) :
𝑡 ≥ 0; 𝑘 ≥ 1} is tight. The tightness of {⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ : 𝑡 ≥ 0; 𝑘 ≥ 1} then follows by
Ethier and Kurtz (1986, p. 142). □
Lemma 14.14 Let {𝑍0 (𝑡) : 𝑡 ≥ 0} be any limit point of {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0; 𝑘 ≥ 1} in the
sense of distributions on 𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )). Then for 𝐺 ∈ 𝐶 ∞ (R) and 𝑓 ∈ 𝒮(R𝑑 )
we have
∫ 𝑡h
𝐺 (⟨𝑍0 (𝑡), 𝑓 ⟩) = 𝐺 ′ (⟨𝑍0 (𝑠), 𝑓 ⟩)⟨𝑍0 (𝑠), 𝐴 𝑓 ⟩ + 𝐺 ′′ (⟨𝑍0 (𝑠), 𝑓 ⟩)⟨𝜁, 𝑐 𝑓 2 ⟩
0∫
i
+ 𝑙 (𝑥, 𝑍0 (𝑠))𝜁 (d𝑥) d𝑠 + mart.
R𝑑
Proof By passing to a subsequence and using the Skorokhod representation, we may

assume {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0} and {𝑍0 (𝑡) : 𝑡 ≥ 0} are defined on the same probability
space and {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0} converges a.s. to {𝑍0 (𝑡) : 𝑡 ≥ 0} in the topology of
𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )). Then {⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ : 𝑡 ≥ 0} converges a.s. to {⟨𝑍0 (𝑡), 𝑓 ⟩ : 𝑡 ≥ 0}
in the topology of 𝐷 ( [0, ∞), R). Consequently, we have a.s. ⟨𝑍 𝑘 (𝑡), 𝑓 ⟩ → ⟨𝑍0 (𝑡), 𝑓 ⟩
for a.e. 𝑡 ≥ 0; see, e.g., Ethier and Kurtz (1986, p. 118). Note also that {𝑌𝑘 (𝑡) : 𝑡 ≥ 0}
converges a.s. to the deterministic constant process {𝑌0 (𝑡) = 𝜁 : 𝑡 ≥ 0} in the
topology of 𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )). From Lemma 14.10 we have
∫ 𝑡
𝐺 (⟨𝑍 𝑘 (𝑡), 𝑓 ⟩) = 𝐺 ′ (⟨𝑍 𝑘 (𝑠), 𝑓 ⟩)⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩d𝑠
0∫
𝑡
+ 𝐺 ′′ (⟨𝑍 𝑘 (𝑠), 𝑓 ⟩)⟨𝑌𝑘 (𝑠), 𝑐 𝑓 2 ⟩d𝑠
0
∫ 𝑡
+ ⟨𝑌𝑘 (𝑠), 𝑙 (·, 𝑍0 (𝑠)) + 𝑙 𝑘 (𝑠, ·)⟩d𝑠 + mart., (14.25)
0
where 𝑙 𝑘 (𝑠, 𝑥) = 𝑙 (𝑥, 𝑍 𝑘 (𝑠)) − 𝑙 (𝑥, 𝑍0 (𝑠)). By applying the mean-value theorem to
the function
𝑧 ↦→ 𝐻 (𝑥, 𝑢, 𝑧) := 𝐺 (𝑧 + 𝑢 𝑓 (𝑥)) − 𝐺 (𝑧) − 𝐺 ′ (𝑧)𝑢 𝑓 (𝑥)

we get
∫ ∞
𝑙 𝑘 (𝑠, 𝑥) = ⟨𝑍 𝑘 (𝑠) − 𝑍0 (𝑠), 𝑓 ⟩ 𝐻 𝑧′ (𝑥, 𝑢, 𝜃 𝑠 )𝑚(𝑥, d𝑢),
0
where
⟨𝑍 𝑘 (𝑠), 𝑓 ⟩ ∧ ⟨𝑍0 (𝑠), 𝑓 ⟩ ≤ 𝜃 𝑠 ≤ ⟨𝑍 𝑘 (𝑠), 𝑓 ⟩ ∨ ⟨𝑍0 (𝑠), 𝑓 ⟩.
By Taylor’s expansion,
|𝐻 𝑧′ (𝑥, 𝑢, 𝜃 𝑠 )| = |𝐺 ′ (𝜃 𝑠 + 𝑢 𝑓 (𝑥)) − 𝐺 ′ (𝜃 𝑠 ) − 𝐺 ′′ (𝜃 𝑠 )𝑢 𝑓 (𝑥)|

1
≤ ∥𝐺 (3) ∥𝑢 2 𝑓 (𝑥) 2 .
2
It follows that
∫ ∞
1 (3)
|𝑙 𝑘 (𝑠, 𝑥)| ≤ ∥𝐺 ∥ 𝑓 (𝑥) 2 |⟨𝑍 𝑘 (𝑠) − 𝑍0 (𝑠), 𝑓 ⟩| 𝑢 2 𝑚(𝑥, d𝑢).
2 0
Then we have
⟨|𝑙 𝑘 (𝑠, ·)|, 𝑌𝑘 (𝑠)⟩ ≤ 𝐶 |⟨𝑍 𝑘 (𝑠) − 𝑍0 (𝑠), 𝑓 ⟩|⟨𝑌𝑘 (𝑠), 𝑓 2 ⟩, (14.26)
where
∫ ∞
1 (3)
𝐶= ∥𝐺 ∥ sup 𝑢 2 𝑚(𝑥, d𝑢).
2 𝑥 ∈R𝑑 0
For 𝑛 ≥ 1 let
n ∫ 𝑡 o
𝜏𝑛 = inf 𝑡 ≥ 0 : sup ⟨𝑍 𝑘 (𝑠) − 𝑍0 (𝑠), 𝑓 ⟩ 2 d𝑠 ≥ 𝑛 .
𝑘 ≥1 0
Then 𝜏𝑛 → ∞ as 𝑛 → ∞. By (14.26) and Schwarz’s inequality,

h∫ 𝑡∧𝜏𝑛 i 2
E ⟨|𝑙 𝑘 (𝑠, ·)|, 𝑌𝑘 (𝑠)⟩d𝑠
0
h ∫ 𝑡∧𝜏𝑛 i
≤ 𝐶 𝑘 (𝑡)E ⟨𝑍 𝑘 (𝑠) − 𝑍0 (𝑠), 𝑓 ⟩ 2 d𝑠 , (14.27)
0
where
∫ 𝑡
2
𝐶 𝑘 (𝑡) = 𝐶 E[⟨𝑌𝑘 (𝑠), 𝑓 2 ⟩ 2 ]d𝑠.
0
By (14.5) it is easy to show sup 𝑘 ≥1 𝐶 𝑘 (𝑡) < ∞. Now (14.27) implies

∫ 𝑡∧𝜏𝑛
lim E ⟨|𝑙 𝑘 (𝑠, ·)|, 𝑌𝑘 (𝑠)⟩d𝑠 = 0.
𝑘→∞ 0
From (14.5) and (14.23) it is easy to show that the sequences
{⟨𝑍 𝑘 (𝑠), 𝐴 𝑓 ⟩}, {⟨𝑌𝑘 (𝑠), 𝑐 𝑓 2 ⟩}, {⟨𝑌𝑘 (𝑠), 𝑙 (·, 𝑍0 (𝑠))⟩}
are all uniformly integrable on Ω × [0, 𝑡] relative to the product measure P(d𝜔)d𝑠.
Then letting 𝑘 → ∞ in (14.25) we obtain
∫ 𝑡h
𝐺 (⟨𝑍0 (𝑡), 𝑓 ⟩) = 𝐺 ′ (⟨𝑍0 (𝑠), 𝑓 ⟩)⟨𝑍0 (𝑠), 𝐴 𝑓 ⟩ + 𝐺 ′′ (⟨𝑍0 (𝑠), 𝑓 ⟩)⟨𝜁, 𝑐 𝑓 2 ⟩
0∫
i
+ 𝑙 (𝑥, 𝑍0 (𝑠))𝜁 (d𝑥) d𝑠 + local mart.
R𝑑
Here the local martingale is clearly a square-integrable martingale. □
Proposition 14.15 For every 𝜇 ∈ 𝒮 ′ (R𝑑 ) there is a process {𝑍 (𝑡) : 𝑡 ≥ 0} with

sample paths in 𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )) such that for 𝐺 ∈ 𝐶 ∞ (R) and 𝑓 ∈ 𝒮(R𝑑 ) we
have
∫ 𝑡
𝐺 (⟨𝑍 (𝑡), 𝑓 ⟩) = 𝐺 (⟨𝜇, 𝑓 ⟩) + 𝐺 ′ (⟨𝑍 (𝑠), 𝑓 ⟩)⟨𝑍 (𝑠), 𝐴 𝑓 ⟩d𝑠
∫ 𝑡 0
′′
+ 𝐺 (⟨𝑍 (𝑠), 𝑓 ⟩)⟨𝜁, 𝑐 𝑓 2 ⟩d𝑠
∫0 𝑡 ∫
+ d𝑠 𝑙 (𝑥, 𝑍 (𝑠))𝜁 (d𝑥) + mart. (14.28)
0 R𝑑
Proof Let {𝑍0 (𝑡) : 𝑡 ≥ 0} be as in Lemma 14.14 and let 𝑍 (𝑡) = 𝑃𝑡𝑏 𝜇 + 𝑍0 (𝑡). Then
(14.28) clearly holds. □
Proposition 14.16 Suppose that {𝑍 (𝑡) : 𝑡 ≥ 0} is a process that has sample paths
in 𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )) and solves the martingale problem given by (14.28). Then
𝜁
{𝑍 (𝑡) : 𝑡 ≥ 0} is a Markov process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by
∫
e𝑖 ⟨𝜈, 𝑓 ⟩ 𝑄 𝑡 (𝜇, d𝜈)
𝜁
𝒮′ (R𝑑 ) ∫ 𝑡
= exp 𝑖⟨𝜇, 𝑃𝑡𝑏 𝑓 ⟩ + ⟨𝜁, 𝜙(−𝑖𝑃𝑠𝑏 𝑓 )⟩d𝑠 , (14.29)
0
where 𝑓 ∈ 𝒮(R𝑑 ).
Proof Let (𝑡, 𝑧) ↦→ 𝐺 (𝑡, 𝑧) be a function on [0, ∞) ×R such that 𝑧 ↦→ 𝐺 (𝑡, 𝑧) belongs
to 𝐶 ∞ (R) for every 𝑡 ≥ 0 and 𝑡 ↦→ 𝐺 (𝑡, 𝑧) is continuously differentiable for every
𝑧 ∈ R. Let (𝑡, 𝑥) ↦→ 𝑓𝑡 (𝑥) be a function on [0, ∞) × R𝑑 such that 𝑥 ↦→ 𝑓𝑡 (𝑥) belongs
to 𝒮(R𝑑 ) for every 𝑡 ≥ 0 and 𝑡 ↦→ 𝑓𝑡 (𝑥) is continuously differentiable for every
𝑥 ∈ R𝑑 . Using Proposition 14.15 one can show as in the proof of Theorem 7.16 that
∫ 𝑡
𝐺 (𝑡, ⟨𝑍 (𝑡), 𝑓𝑡 ⟩) = 𝐺 (0, ⟨𝜇, 𝑓0 ⟩) + 𝐺 ′𝑧 (𝑠, ⟨𝑍 (𝑠), 𝑓𝑠 ⟩)⟨𝑍 (𝑠), 𝐴 𝑓𝑠 ⟩d𝑠
∫ 𝑡 0
′′
+ 𝐺 𝑧𝑧 (𝑠, ⟨𝑍 (𝑠), 𝑓𝑠 ⟩)⟨𝜁, 𝑐 𝑓𝑠2 ⟩d𝑠
0
∫ 𝑡h i
+ 𝐺 ′𝑧 (𝑠, ⟨𝑍 (𝑠), 𝑓𝑠 ⟩)⟨𝑍 (𝑠), 𝑓𝑠′⟩ + 𝐺 𝑠′ (𝑠, ⟨𝑍 (𝑠), 𝑓𝑠 ⟩) d𝑠
∫0 𝑡 ∫
+ d𝑠 𝑙 𝑠 (𝑥, 𝑍 (𝑠))𝜁 (d𝑥) + mart.,
0 𝐸
where 𝑓𝑠′ (𝑥) = (d/d𝑠) 𝑓𝑠 (𝑥) and 𝑙 𝑠 (𝑥, 𝜇) is defined as in Lemma 14.10 with 𝑓 and
𝐺 replaced by 𝑓𝑠 and 𝐺 (𝑠, ·), respectively. Clearly, the equality above remains valid
when (𝑡, 𝑧) ↦→ 𝐺 (𝑡, 𝑧) is a complex function. By applying this to 𝑓𝑡 = 𝑃𝑇−𝑡
𝑏 𝑓 and
∫ 𝑇−𝑡
𝐺 (𝑡, 𝑧) = exp 𝑖𝑧 + ⟨𝜁, 𝜙(−𝑖𝑃𝑠𝑏 𝑓 )⟩d𝑠
0
one sees that

∫ 𝑇−𝑡
𝑏
𝑡 ↦→ exp 𝑖⟨𝑍 (𝑡), 𝑃𝑇−𝑡 𝑓 ⟩ + ⟨𝜁, 𝜙(−𝑖𝑃𝑠𝑏 𝑓 )⟩d𝑠
0
is a complex martingale on [0, 𝑇]. Then {𝑍 (𝑡) : 𝑡 ≥ 0} is a Markov process with

𝜁
transition semigroup (𝑄 𝑡 )𝑡 ≥0 defined by (14.29). □
By Propositions 14.15 and 14.16 there is a unique solution to the martingale

problem given by (14.28) and the solution is a Markov process with transition
𝜁
semigroup (𝑄 𝑡 )𝑡 ≥0 . This process gives a description of the asymptotic fluctuations
of the immigration superprocesses as the branching mechanisms are small. More
precisely, we have the following:
Theorem 14.17 As 𝑘 → ∞, the process {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0} converges weakly in

𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )) to the unique solution {𝑍 (𝑡) : 𝑡 ≥ 0} of the martingale problem
given by (14.28) with 𝑍 (0) = 0.
Proof By Lemma 14.13 the sequence {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0; 𝑘 ≥ 1} is tight in the space

𝐷 ( [0, ∞), 𝒮 ′ (R𝑑 )). Then we get the result by Lemma 14.14 and Proposition 14.16.□
Example 14.1 Suppose that 𝜂 ∈ 𝑀 (R𝑑 ) is a finite measure with 𝜂(R𝑑 ) = 𝑏 and
𝜙(𝑧) is a local branching mechanism given by (14.1) with (𝑐, 𝑚) independent of
𝑥 ∈ R𝑑 . Let 𝑧 𝑘 (𝑡) = 𝑘 [⟨𝑌𝑘 (𝑡), 1⟩ − 1] for 𝑡 ≥ 0. A modification of the arguments in
this section shows {𝑧 𝑘 (𝑡) : 𝑡 ≥ 0} converges weakly in 𝐷 ( [0, ∞), R) to a Markov
process {𝑧(𝑡) : 𝑡 ≥ 0} with transition semigroup (𝑄 𝑡𝑏 )𝑡 ≥0 defined by
∫ ∫ 𝑡
𝑖𝑢𝑦 𝑏 −𝑏𝑡 −𝑏𝑡
e 𝑄 𝑡 (𝑥, d𝑦) = exp e 𝑖𝑢𝑥 + 𝜙(−e 𝑖𝑢)d𝑠 , 𝑢 ∈ R.
R 0
This is a one-dimensional OU-type process; see, e.g., Sato (1999, pp. 106–108).
14.4 Fluctuation Limits in Sobolev Spaces 407
14.4 Fluctuation Limits in Sobolev Spaces
In this section, we show the fluctuation limit theorem actually holds in a suitable
weighted Sobolev space. Recall that the weighted Sobolev space 𝐻𝑛 (R𝑑 ) with index
𝑛 ≥ 0 is the completion of 𝒮(R𝑑 ) with respect to the norm ∥·∥ 𝑛 defined in (14.16) and
𝐻−𝑛 (R𝑑 ) denotes the dual space of 𝐻𝑛 (R𝑑 ) with duality ⟨·, ·⟩. Let {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0}
and {𝑍 (𝑡) : 𝑡 ≥ 0} be defined as in Section 14.3.
Theorem 14.18 For any integer 𝑛 > 2 + 𝑑/2 the processes {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0} and
{𝑍 (𝑡) : 𝑡 ≥ 0} live in the weighted Sobolev space 𝐻−𝑛 (R𝑑 ) and {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0}
converges as 𝑘 → ∞ to {𝑍 (𝑡) : 𝑡 ≥ 0} weakly in 𝐷 ( [0, ∞), 𝐻−𝑛 (R𝑑 )).
Proof For any 𝑓 ∈ 𝒮(R𝑑 ) we have ⟨𝜆, 𝑓 2 ⟩ = ∥ 𝑓 ∥ 20 ≤ ∥ 𝑓 ∥ 22 . By Proposition 14.7

there is a constant 𝐶 > 0 such that
⟨𝜆, ( 𝐴 𝑓 ) 2 ⟩ ≤ ⟨𝜆, (Δ 𝑓 ) 2 ⟩ + 2𝑏 2 ⟨𝜆, 𝑓 2 ⟩ ≤ (1 + 2𝑏 2 )𝑞 2 ( 𝑓 ) 2 ≤ 𝐶 ∥ 𝑓 ∥ 22 .
Then Lemma 14.12 implies

h i
sup E sup ⟨𝑍 𝑘 (𝑠), 𝑓 ⟩ 2 ≤ 𝐶 (𝑡) ∥ 𝑓 ∥ 22
𝑘 ≥1 0≤𝑠 ≤𝑡
for a locally bounded function 𝑡 ↦→ 𝐶 (𝑡). Thus for 𝑡 ≥ 0 and 𝜌 > 0 we have
n o
sup P sup |⟨𝑍 𝑘 (𝑠), 𝑓 ⟩| ≥ 𝜌 ≤ 𝐶 (𝑡) ∥ 𝑓 ∥ 22 /𝜌 2 .
𝑘 ≥1 0≤𝑠 ≤𝑡
By Theorem 14.5 and Proposition 14.8 the sequence {𝑍 𝑘 (𝑡) : 𝑡 ≥ 0; 𝑘 ≥ 1} is tight

in 𝐷 ( [0, ∞), 𝐻−𝑛 (R𝑑 )). Then the result follows by Theorem 14.17. □
Example 14.2 Let us consider the case 𝑑 = 1. Suppose that {𝑊 (d𝑠, d𝑥)} is a time–
space Gaussian white noise on (0, ∞) × R with covariance measure 2𝑐(𝑥)d𝑠𝜁 (d𝑥)
and {𝑁 (d𝑠, d𝑥, d𝑢)} is a Poisson random measure on (0, ∞) × R × (0, ∞) with
intensity d𝑠𝜁 (d𝑥)𝑚(𝑥, d𝑢). We assume {𝑁 (d𝑠, d𝑥, d𝑢)} and {𝑊 (d𝑠, d𝑥)} are defined
on some filtered probability space (Ω, ℱ, ℱ𝑡 , P) and are independent of each other.
Let 𝑝 𝑡 (𝑥, 𝑦) denote the transition density of the killed Brownian motion generated by
𝐴 = Δ/2−𝑏. Given 𝑋0 ∈ 𝐻0 (R) we can define an 𝐻0 (R)-valued process {𝑋𝑡 : 𝑡 ≥ 0}
by
∫ 𝑡∫
𝑋𝑡 (𝑦) = 𝑃𝑡𝑏 𝑋0 (𝑦) + 𝑝 𝑡−𝑠 (𝑥, 𝑦)𝑊 (d𝑠, d𝑥)
∫ 𝑡 ∫ ∫ ∞0 R
+ 𝑢 𝑝 𝑡−𝑠 (𝑥, 𝑦) 𝑁˜ (d𝑠, d𝑥, d𝑢), (14.30)
0 R 0
where 𝑁˜ (d𝑠, d𝑥, d𝑢) = 𝑁 (d𝑠, d𝑥, d𝑢) − d𝑠𝜁 (d𝑥)𝑚(𝑥, d𝑢). In fact, it is easily seen that
∫ ∫ 𝑡 ∫
2 2
E[∥ 𝑋𝑡 ∥ 0 ] ≤ 3∥ 𝑋0 ∥ 0 + 3 d𝑦 d𝑠 𝑝 𝑡−𝑠 (𝑥, 𝑦) 2 𝜙 ′′ (𝑥, 0)𝜁 (d𝑥) < ∞.
R 0 R
For 𝑓 ∈ 𝒮(R) we have

E exp 𝑖⟨𝑋𝑡 , 𝑓 ⟩
∫ 𝑡∫
𝑏 𝑏
= E exp 𝑖⟨𝑋0 , 𝑃𝑡 𝑓 ⟩ + 𝑖𝑃𝑡−𝑠 𝑓 (𝑥)𝑊 (d𝑠, d𝑥)
∫ 𝑡∫ ∫ ∞ 0 R
+ 𝑏
𝑖𝑢𝑃𝑡−𝑠 𝑓 (𝑥) 𝑁˜ (d𝑠, d𝑥, d𝑢)
0 R 0 ∫ 𝑡 ∫
= exp 𝑖⟨𝑋0 , 𝑃𝑡𝑏 𝑓 ⟩ − d𝑠 [𝑃𝑡−𝑠 𝑏
𝑓 (𝑥)] 2 𝑐(𝑥)𝜁 (d𝑥)
∫ 𝑡 ∫ ∫ 0∞ R
𝑏 𝑓 ( 𝑥)
𝑖𝑢𝑃𝑡−𝑠 𝑏
+ d𝑠 𝜁 (d𝑥) e − 1 − 𝑖𝑢𝑃𝑡−𝑠 𝑓 (𝑥) 𝑚(𝑥, d𝑢)
0 R ∫0 𝑡
= exp 𝑖⟨𝑋0 , 𝑃𝑡𝑏 𝑓 ⟩ + ⟨𝜁, 𝜙(−𝑖𝑃𝑡−𝑠 𝑏
𝑓 )⟩d𝑠 .
0
A comparison of this equality with (14.29) shows that for any 𝜇 ∈ 𝐻0 (R) the
𝜁
probability measure 𝑄 𝑡 (𝜇, ·) is actually supported by 𝐻0 (R) and
∫ ∫ 𝑡
e𝑖 ⟨𝜈, 𝑓 ⟩ 𝑄 𝑡 (𝜇, d𝜈) = exp 𝑖⟨𝜇, 𝑃𝑡𝑏 𝑓 ⟩ +
𝜁
⟨𝜁, 𝜙(−𝑖𝑃𝑠𝑏 𝑓 )⟩d𝑠 . (14.31)
𝐻0 (R) 0
By considering an approximating sequence from 𝒮(R) we see that the above formula
holds for every 𝑓 ∈ 𝐻0 (R). This gives a special case of the transition semigroup
defined by (13.7) and (13.31). A similar calculation based on the property of inde-
pendent increments of {𝑊 (d𝑠, d𝑥)} and {𝑁 (d𝑠, d𝑥, d𝑢)} shows that {𝑋𝑡 : 𝑡 ≥ 0} is
𝜁
a Markov process with transition semigroup (𝑄 𝑡 )𝑡 ≥0 given by (14.31). Therefore
{𝑋𝑡 : 𝑡 ≥ 0} have identical finite-dimensional distributions with the limit process
{𝑍 (𝑡) : 𝑡 ≥ 0} in Theorems 14.17 and 14.18. In other words, the limiting fluctuation
process is a generalized OU-process with state space 𝐻0 (R) in the terminology of
the last chapter.
A general reference for nuclear spaces is Treves (1967). For the theory of classical
Sobolev spaces see Adams and Fournier (2003). There are several references for
stochastic processes in nuclear spaces; see, e.g., Kallianpur and Xiong (1995) and
Walsh (1986).
The equilibrium distributions of super-stable processes without immigration were
characterized in Dawson (1977). A simplified approach to the asymptotic behavior of
superprocesses was given in Wang (1997b, 1998b). Fluctuation limits of branching
particle systems and superprocesses, which usually give rise to time-inhomogeneous
OU-processes, have been studied extensively; see, e.g., Bojdecki and Gorostiza
(1986, 1991, 2002), Dawson et al. (1989a) and the references therein. Engländer and
Winter (2006) proved a law of large numbers for super-diffusions which improves
an earlier result of Engländer and Turaev (2002). Chen et al. (2008) proved an al-
most sure scaling limit theorem for Dawson–Watanabe superprocesses. In Méléard
(1996) fluctuation limits of McKean–Vlasov interacting particle systems were stud-
ied, where the limiting OU-process was characterized as the unique solution of a
Langevin type equation in a weighted Sobolev space.
The fluctuation limit theorems given in this chapter are modifications of those in
Gorostiza and Li (1998) and Li and Zhang (2006); see also Dawson et al. (2004b).
Three different kinds of fluctuation limits (high-density fluctuation, small-branching
fluctuation and large-scale fluctuation) of immigration superprocess with binary
branching were studied in Li (1999), which led to generalized OU-diffusions. Some
Gaussian processes with long-range dependence arising from occupation time fluc-
tuations of immigration particle systems with or without branching were studied in
Gorostiza et al. (2005).
A construction of the two-dimensional regular affine process in 𝐷 = R+ × R
was given in Dawson and Li (2006) as the strong solution of a system of stochastic
equations. Let {(𝑥(𝑡), 𝑧(𝑡)) : 𝑡 ≥ 0} be a realization of the affine process. Then the
first coordinator {𝑥(𝑡) : 𝑡 ≥ 0} is a one-dimensional CBI-process. In fact, Dawson
and Li (2006) showed that the second coordinator {𝑧(𝑡) : 𝑡 ≥ 0} may arise as the
fluctuation limit of a generalized CBI-process with branching rate depending on
the first one. A similar limit theorem for discrete-state branching processes with
immigration was proved in Li and Ma (2008).
Appendix A
Markov Processes
For the convenience of the reader, in this appendix we give a summary of some of
the concepts and results for general stochastic processes and Markov processes that
are used in the main text. Many of them can be found in Sharpe (1988); see also
Ethier and Kurtz (1986) and Getoor (1975).
A.1 Measurable Spaces
Given a class ℱ of functions on a non-empty set 𝐸, we define bℱ = { 𝑓 ∈ ℱ : 𝑓

is bounded} and pℱ = { 𝑓 ∈ ℱ : 𝑓 is positive}. We say ℱ separates points if for
every 𝑥 ≠ 𝑦 ∈ 𝐸 there exists an 𝑓 ∈ ℱ such that 𝑓 (𝑥) ≠ 𝑓 (𝑦). For a class 𝒢 of
functions on (or subsets of) 𝐸, we use 𝜎(𝒢) to denote the 𝜎-algebra on 𝐸 generated
by 𝒢, that is, 𝜎(𝒢) = ∩{ℱ : ℱ is a 𝜎-algebra on 𝐸 and all elements of 𝒢 are
ℱ-measurable}. If (𝐸, ℰ) is a measurable space, we also use ℰ to denote the class
of real ℰ-measurable functions on 𝐸. We write 𝜇( 𝑓 ) for the integral of a function
𝑓 ∈ ℰ with respect to a measure 𝜇 on (𝐸, ℰ) if the integral exists. Let R denote the
one-dimensional Euclidean space.
Let ∥ · ∥ denote the supremum/uniform norm of functions. We say a sequence
{ 𝑓𝑛 } of functions on 𝐸 converges uniformly to a function 𝑓 on 𝐸 if ∥ 𝑓𝑛 − 𝑓 ∥ → 0 as
𝑛 → ∞. We say { 𝑓𝑛 } converges boundedly and pointwise to 𝑓 if there is a constant
𝐶 ≥ 0 such that ∥ 𝑓𝑛 ∥ ≤ 𝐶 for all 𝑛 ≥ 1 and 𝑓𝑛 (𝑥) → 𝑓 (𝑥) as 𝑛 → ∞ for all 𝑥 ∈ 𝐸.
A monotone vector space ℒ on the set 𝐸 is defined to be a collection of bounded
real functions on 𝐸 satisfying the conditions: (i) ℒ is a vector space over R; (ii) ℒ
contains the constant function 1𝐸 ; (iii) if { 𝑓𝑛 } ⊂ pℒ and 𝑓𝑛 → 𝑓 increasingly for a
bounded function 𝑓 , then 𝑓 ∈ ℒ.
Proposition A.1 (Monotone Class Theorem; Sharpe, 1988, p. 364) Let 𝒦 be a

collection of bounded real functions on the set 𝐸 which is closed under multiplication.
If ℒ is a monotone vector space containing 𝒦, then ℒ ⊃ b𝜎(𝒦).

and Stochastic Modelling 103, https://doi.org/10.1007/978-3-662-66910-5
412 A Markov Processes
Proposition A.2 (Modified Monotone Class Theorem) Let 𝒦 be a vector space

of bounded real functions on the set 𝐸 which contains 1𝐸 and is closed under
multiplication. If another collection of bounded real functions 𝒢 contains 𝒦 and is
closed under bounded pointwise convergence, then 𝒢 ⊃ b𝜎(𝒦).
Proof Let ℒ be the intersection of all classes of bounded real functions that contain
𝒦 and are closed under bounded pointwise convergence. Then ℒ is closed under
bounded pointwise convergence and 𝒦 ⊂ ℒ ⊂ 𝒢. For 𝑓 ∈ ℒ let
ℒ𝑓 = {𝑔 ∈ ℒ : 𝑎 𝑓 + 𝑏𝑔 ∈ ℒ for all 𝑎, 𝑏 ∈ R}.
It is easy to see that ℒ𝑓 is closed under bounded pointwise convergence. For 𝑓 ∈ 𝒦

we have 𝒦 ⊂ ℒ𝑓 and so ℒ𝑓 = ℒ. If 𝑓 ∈ ℒ, for every 𝑔 ∈ 𝒦 we have 𝑓 ∈ ℒ𝑔
and so 𝑔 ∈ ℒ𝑓 . It follows that 𝒦 ⊂ ℒ𝑓 , yielding ℒ𝑓 = ℒ. Therefore ℒ is a vector
space. By the monotone class theorem we have ℒ ⊃ b𝜎(𝒦), which implies the
desired result. □
Let us consider a measurable space (𝐸, ℰ). Suppose that 𝜇 is a 𝜎-finite measure
on (𝐸, ℰ). A set 𝑁 ⊂ 𝐸 is called a 𝜇-null set if there is an 𝑁0 ∈ ℰ such that 𝑁 ⊂ 𝑁0
and 𝜇(𝑁0 ) = 0. For 𝐴, 𝐵 ⊂ 𝐸 we define the symmetric difference
𝐴△𝐵 := ( 𝐴 \ 𝐵) ∪ (𝐵 \ 𝐴). (A.1)
It is easy to show that
ℰ 𝜇 := { 𝐴 ⊂ 𝐸 : 𝐴△𝐵 is a 𝜇-null set for some 𝐵 ∈ ℰ} (A.2)
is a 𝜎-algebra, which is called the 𝜇-completion of ℰ. We can let 𝜇( 𝐴) = 𝜇(𝐵) for

𝐵 ∈ ℰ such that 𝐴△𝐵 is a 𝜇-null set to extend 𝜇 uniquely to a 𝜎-finite measure
on (𝐸, ℰ 𝜇 ). The measure space (𝐸, ℰ, 𝜇) is said to be complete if ℰ = ℰ 𝜇 . The
universal completion of ℰ is the 𝜎-algebra ℰ 𝑢 defined to be the intersection of the
𝜇-completions of ℰ as 𝜇 runs over all finite measures on (𝐸, ℰ).
Proposition A.3 If ℰ1 and ℰ2 are 𝜎-algebras on the set 𝐸 such that ℰ1 ⊂ ℰ2 ⊂ ℰ1𝑢 ,
then ℰ2𝑢 = ℰ1𝑢 .
𝜇
Proof Let 𝐴 ∈ ℰ1𝑢 and let 𝜇 be a finite measure on ℰ2 . Since 𝐴 ∈ ℰ1 , it is easy to
𝜇
find 𝐴1 , 𝐴2 ∈ ℰ1 ⊂ ℰ2 such that 𝐴1 ⊂ 𝐴 ⊂ 𝐴2 and 𝜇( 𝐴1 ) = 𝜇( 𝐴2 ). Then 𝐴 ∈ ℰ2 ,
implying ℰ1 ⊂ ℰ2 . To show the reverse inclusion, let 𝐴 ∈ ℰ2 and let 𝜇 be a finite
𝑢 𝑢 𝑢
𝜇
measure on ℰ1 . Then 𝜇 extends uniquely to ℰ2 ⊂ ℰ1𝑢 and 𝐴 ∈ ℰ2 . Consequently,
𝜇
there are 𝐴1 , 𝐴2 ∈ ℰ2 ⊂ ℰ1 ⊂ ℰ1 such that 𝐴1 ⊂ 𝐴 ⊂ 𝐴2 and 𝜇( 𝐴1 ) = 𝜇( 𝐴2 ). This
𝑢
yields the existence of 𝐵1 , 𝐵2 ∈ ℰ1 such that 𝐵1 ⊂ 𝐴1 , 𝐴2 ⊂ 𝐵2 and 𝜇(𝐵1 ) = 𝜇(𝐵2 ).

𝜇
Then 𝐴 ∈ ℰ1 , which implies ℰ2𝑢 ⊂ ℰ1𝑢 . □
Let (𝐸, ℰ) be a measurable space. The trace or restriction of ℰ on a subset

𝐴 ⊂ 𝐸 is defined to be the 𝜎-algebra ℰ𝐴 := {𝐵 ∩ 𝐴 : 𝐵 ∈ ℰ}. For a measure
𝜇 on (𝐸, ℰ), the (outer) trace or restriction 𝜇 𝐴 of 𝜇 on ( 𝐴, ℰ𝐴) is defined by
A.1 Measurable Spaces 413
𝜇 𝐴 (𝐶) = inf{𝜇(𝐵) : 𝐶 = 𝐵 ∩ 𝐴, 𝐵 ∈ ℰ}. The trace 𝜇 𝐴 can be realized as follows.

Choose 𝐴0 ∈ ℰ with 𝐴0 ⊃ 𝐴 having minimal 𝜇-measure. Then for 𝐶 ∈ ℰ𝐴 of the
form 𝐶 = 𝐵 ∩ 𝐴 with 𝐵 ∈ ℰ we have 𝜇 𝐴 (𝐶) = 𝜇(𝐵 ∩ 𝐴0 ); see Sharpe (1988, p. 367).
Proposition A.4 (Sharpe, 1988, p. 368) Let 𝐴 ⊂ 𝐸 and let ℰ𝐴 be the trace of ℰ on
𝐴. Then we have:
(1) given a finite measure 𝜇 on ( 𝐴, ℰ𝐴), the formula 𝜇(𝐵)¯ := 𝜇(𝐵 ∩ 𝐴) for 𝐵 ∈ ℰ
defines a finite measure 𝜇¯ on (𝐸, ℰ) whose trace on 𝐴 is 𝜇;
(2) (ℰ 𝑢 ) 𝐴 ⊂ (ℰ𝐴) 𝑢 and these two coincide if 𝐴 ∈ ℰ 𝑢 .
Suppose that (𝐸, ℰ) and (𝐹, ℱ) are measurable spaces. A 𝜎-finite kernel from
(𝐸, ℰ) to (𝐹, ℱ) is a function 𝐾 = 𝐾 (·, ·) on 𝐸 × ℱ having values in [0, ∞] such
that:
(1) for each 𝐴 ∈ ℱ the mapping 𝑥 ↦→ 𝐾 (𝑥, 𝐴) is ℰ-measurable;
(2) for each 𝑥 ∈ 𝐸 the mapping 𝐴 ↦→ 𝐾 (𝑥, 𝐴) is a 𝜎-finite measure on (𝐹, ℱ).
A kernel 𝐾 is said to be finite or bounded if 𝑥 ↦→ 𝐾 (𝑥, 𝐹) is respectively a finite or
bounded function on 𝐸. The kernel 𝐾 is called Markov or sub-Markov if 𝐾 (𝑥, 𝐹) = 1
or 𝐾 (𝑥, 𝐹) ≤ 1, respectively, for each 𝑥 ∈ 𝐸. A kernel from (𝐸, ℰ) to (𝐸, ℰ) is simply
called a kernel on (𝐸, ℰ). Given a bounded kernel 𝐾 from (𝐸, ℰ) to (𝐹, ℱ), for any
𝑓 ∈ bℱ we can define 𝐾 𝑓 ∈ bℰ by
∫
𝐾 𝑓 (𝑥) = 𝐾 (𝑥, 𝑓 ) = 𝑓 (𝑦)𝐾 (𝑥, d𝑦), 𝑥 ∈ 𝐸,
𝐹
and for any finite measure 𝜇 on (𝐸, ℰ) we can define a finite measure 𝜇𝐾 on (𝐹, ℱ)
by
∫
𝜇𝐾 (𝐵) = 𝐾 (𝑥, 𝐵)𝜇(d𝑥), 𝐵 ∈ ℱ.
𝐸
Proposition A.5 (Sharpe, 1988, p. 376) A bounded kernel 𝐾 from (𝐸, ℰ) to (𝐹, ℱ)
extends in a unique way to a bounded kernel 𝐾 from (𝐸, ℰ 𝑢 ) to (𝐹, ℱ 𝑢 ).
For a metrizable topological space 𝐸 with a metric 𝑑 compatible with its topology,
let 𝒞(𝐸) := 𝒞(𝐸, 𝑑) denote the space of 𝑑-continuous real functions on (𝐸, 𝑑) and
let 𝒞𝑢 (𝐸) := 𝒞𝑢 (𝐸, 𝑑) denote the space of 𝑑-uniformly continuous real functions
on 𝐸. The advantage of 𝒞𝑢 (𝐸) is that if (𝐸, 𝑑) is separable and totally bounded,
then b𝒞𝑢 (𝐸) with the supremum norm is separable, whereas b𝒞(𝐸) is not. The
Borel 𝜎-algebra ℬ(𝐸) = ℬ(𝐸, 𝑑) on 𝐸 is defined to be the 𝜎-algebra generated
by b𝒞(𝐸) or, equivalently, by all open subsets of 𝐸. If 𝐸 is locally compact, we let
𝐶0 (𝐸) denote the space of continuous real functions on 𝐸 vanishing at infinity. A
topological space is called a Radon topological space or Lusin topological space if it
is homeomorphic to a universally measurable subset or a Borel subset, respectively,
of a compact metric space. A measurable space (𝐹, ℱ) is called a Radon measurable
space or Lusin measurable space if it is measurably isomorphic to (𝐸, ℬ(𝐸)) with
𝐸 being a Radon or Lusin topological space, respectively.
A.2 Stochastic Processes
Let (Ω, 𝒢, P) be a probability space. We shall use either E(𝑋) or P(𝑋) to denote
the expectation of a random variable 𝑋 defined on this space. A collection (𝒢𝑡 )𝑡 ∈𝐼
of sub-𝜎-algebras of 𝒢 indexed by an interval 𝐼 ⊂ R is called a filtration of (Ω, 𝒢)
if 𝒢𝑟 ⊂ 𝒢𝑡 for every 𝑟 ≤ 𝑡 ∈ 𝐼. If a filtration (𝒢𝑡 )𝑡 ∈𝐼 is defined on (Ω, 𝒢, P), we call
(Ω, 𝒢, 𝒢𝑡 , P)𝑡 ∈𝐼 a filtered probability space.
Suppose that (Ω, 𝒢, 𝒢𝑡 , P)𝑡 ∈𝐼 is a filtered probability space. A random variable
𝑇 taking values in 𝐼 ∪ {∞} is called a stopping time or an optional time over the
filtration (𝒢𝑡 )𝑡 ∈𝐼 if {𝜔 ∈ Ω : 𝑇 (𝜔) ≤ 𝑡} ∈ 𝒢𝑡 for all 𝑡 ∈ 𝐼. Given a stopping time 𝑇
over (𝒢𝑡 )𝑡 ∈𝐼 , we can define a 𝜎-algebra
𝒢𝑇 := {𝐴 ∈ 𝒢(𝐼) : 𝐴 ∩ {𝑇 ≤ 𝑡} ∈ 𝒢𝑡 for every 𝑡 ∈ 𝐼}, (A.3)
where 𝒢(𝐼) = 𝜎(∪𝑡 ∈𝐼 𝒢𝑡 ). Let 𝜏 = sup 𝐼 and let 𝒢𝑡+ = ∩{𝒢𝑠 : 𝑡 < 𝑠 ∈ 𝐼} for
𝑡 ∈ 𝐼 \ {𝜏}. We say (𝒢𝑡 )𝑡 ∈𝐼 is right continuous if 𝒢𝑡+ = 𝒢𝑡 for every 𝑡 ∈ 𝐼 \ {𝜏}. Let
𝒢𝜏+ = 𝒢𝜏 if 𝜏 ∈ 𝐼. If 𝑇 is a stopping time over (𝒢𝑡+ )𝑡 ∈𝐼 , we define 𝒢𝑇+ by (A.3) with
𝒢𝑡 replaced by 𝒢𝑡+ .
The special case 𝐼 = [0, ∞) is often considered. Suppose that (Ω, 𝒢, 𝒢𝑡 , P)𝑡 ≥0 is
a filtered probability space. Let 𝒢¯ be the P-completion of 𝒢 and let 𝒩¯ = {𝐴 ∈ 𝒢¯ :
P( 𝐴) = 0}. Let 𝒢¯ 𝑡 = 𝜎(𝒢𝑡 ∪ 𝒩) ¯ for 𝑡 ≥ 0. We call (𝒢, ¯ 𝒢¯ 𝑡 )𝑡 ≥0 the augmentation
of (𝒢, 𝒢𝑡 )𝑡 ≥0 by the probability P. If 𝒢 = 𝒢 and 𝒢𝑡 = 𝒢¯ 𝑡 for every 𝑡 ≥ 0, we
¯
say (𝒢, 𝒢𝑡 )𝑡 ≥0 are augmented. We say a filtered probability space (Ω, 𝒢, 𝒢𝑡 , P)𝑡 ≥0
satisfies the usual hypotheses if (𝒢, 𝒢𝑡 )𝑡 ≥0 are augmented and (𝒢𝑡 )𝑡 ≥0 is right
continuous.
Proposition A.6 Suppose that (𝒢, 𝒢𝑡 )𝑡 ≥0 are augmented. If 𝑆 and 𝑇 are stopping
times over (𝒢𝑡 )𝑡 ≥0 such that P{𝑆 ≠ 𝑇 } = 0, then 𝒢𝑆 = 𝒢𝑇 .
Proof For any 𝐴 ∈ 𝒢𝑆 we have 𝐴 ∈ 𝒢∞ and 𝐴 ∩ {𝑆 ≤ 𝑡} ∈ 𝒢𝑡 for 𝑡 ≥ 0. Since

(𝒢, 𝒢𝑡 )𝑡 ≥0 are augmented and P{𝑆 ≠ 𝑇 } = 0, we have 𝐴 ∩ {𝑇 ≤ 𝑡} ∈ 𝒢𝑡 for 𝑡 ≥ 0.
Then 𝐴 ∈ 𝒢𝑇 . This proves 𝒢𝑆 ⊂ 𝒢𝑇 . Similarly we have 𝒢𝑇 ⊂ 𝒢𝑆 . □
We say the filtration (𝒢𝑡 )𝑡 ≥0 is quasi-left continuous if for every increasing

sequence of stopping times {𝑇𝑛 } with limit 𝑇 we have 𝒢𝑇 = 𝜎(∪∞ 𝑛=1𝒢𝑇𝑛 ). A stopping
time 𝑇 is called a predictable time if there is an announcing sequence of stopping
times {𝑇𝑛 } such that lim𝑛→∞ 𝑇𝑛 = 𝑇 and 𝑇𝑛 < 𝑇 on {𝑇 > 0} for each 𝑛 ≥ 1. A
stopping time 𝑇 is said to be totally inaccessible if for every predictable time 𝑆 we
have 𝑆 ≠ 𝑇 a.s. on {𝑇 < ∞}.
Suppose that (Ω, 𝒢, P) is a given probability space. Let 𝐼 ⊂ R be an interval and
let (𝐸, ℰ) be a measurable space. A collection (𝑋𝑡 )𝑡 ∈𝐼 of measurable maps of (Ω, 𝒢)
into (𝐸, ℰ) is called a stochastic process with state space (𝐸, ℰ). For fixed 𝜔 ∈ Ω,
the map 𝑡 ↦→ 𝑋𝑡 (𝜔) from 𝐼 to 𝐸 is called a sample path of (𝑋𝑡 )𝑡 ∈𝐼 . The ℰ-natural
𝜎-algebras ℱ and (ℱ𝑡 )𝑡 ∈𝐼 of (𝑋𝑡 )𝑡 ∈𝐼 are defined by
ℱ = 𝜎({ 𝑓 (𝑋𝑠 ) : 𝑠 ∈ 𝐼, 𝑓 ∈ bℰ})

A.2 Stochastic Processes 415
and
ℱ𝑡 = 𝜎({ 𝑓 (𝑋𝑠 ) : 𝑠 ∈ 𝐼 ≤𝑡 , 𝑓 ∈ bℰ}),
where 𝐼 ≤𝑡 = (−∞, 𝑡] ∩ 𝐼. The process (𝑋𝑡 )𝑡 ∈𝐼 is ℰ-adapted relative to a filtration

(𝒢𝑡 )𝑡 ∈𝐼 if ℱ𝑡 ⊂ 𝒢𝑡 for every 𝑡 ∈ 𝐼. It is ℰ-progressive relative to (𝒢𝑡 )𝑡 ∈𝐼 if the
mapping (𝜔, 𝑠) ↦→ 𝑋𝑠 (𝜔) restricted to Ω × 𝐼 ≤𝑡 is (𝒢𝑡 × ℬ(𝐼 ≤𝑡 ))-measurable for
every 𝑡 ∈ 𝐼. Clearly, an ℰ-progressive process is ℰ-adapted.
Let (𝑋𝑡 )𝑡 ∈𝐼 be a stochastic process taking values in (𝐸, ℰ). For any 𝑡 1 < · · · <
𝑡 𝑛 ∈ 𝐼 let 𝑃𝑡1 ,...,𝑡𝑛 be the probability measure on (𝐸 𝑛 , ℰ 𝑛 ) induced by the mapping
𝜔 ↦→ (𝑋𝑡1 (𝜔), . . . , 𝑋𝑡𝑛 (𝜔)). We call
{𝑃𝑡1 ,...,𝑡𝑛 : 𝑡 1 < · · · < 𝑡 𝑛 ∈ 𝐼, 𝑛 = 1, 2, . . .}
the family of finite-dimensional distributions of (𝑋𝑡 )𝑡 ∈𝐼 . If another process (𝑌𝑡 )𝑡 ∈𝐼

has identical finite-dimensional distributions as (𝑋𝑡 )𝑡 ∈𝐼 , we say it is a realization
of (𝑋𝑡 )𝑡 ∈𝐼 . If the processes (𝑋𝑡 )𝑡 ∈𝐼 and (𝑌𝑡 )𝑡 ∈𝐼 are defined on the same probability
space and if P{𝑋𝑡 = 𝑌𝑡 } = 1 for every 𝑡 ∈ 𝐼, we say (𝑌𝑡 )𝑡 ∈𝐼 is a modification of
(𝑋𝑡 )𝑡 ∈𝐼 . In the case where 𝐸 is a topological space, we say a process (𝑋𝑡 )𝑡 ∈𝐼 is
continuous or right continuous if all its sample paths 𝑡 ↦→ 𝑋𝑡 (𝜔) are continuous or
right continuous on 𝐼, respectively. A path or process (𝑋𝑡 )𝑡 ≥0 is said to be càdlàg
(continu à droite avec limites à gauche) if it is right continuous at every 𝑡 ≥ 0 and
possesses left limit at every 𝑡 > 0.
Now consider a metric 𝑑 on the space 𝐸. Suppose that 𝑇 is a subset of [0, ∞)
and 𝑡 ↦→ 𝑥(𝑡) is a path from 𝑇 to 𝐸. For any 𝜀 > 0 the number of 𝜀-oscillations of
𝑡 ↦→ 𝑥(𝑡) on 𝑇 is defined as
𝑚(𝜀) = sup{𝑛 ≥ 0 : there are 𝑡0 < 𝑡1 < · · · < 𝑡 𝑛 ∈ 𝑇

such that 𝑑 (𝑥(𝑡 𝑖−1 ), 𝑥(𝑡𝑖 )) ≥ 𝜀 for all 1 ≤ 𝑖 ≤ 𝑛}.
An earlier version of the proof of the following result was suggested to the author by
Thomas G. Kurtz.
Theorem A.7 Suppose that 𝑑 is a complete metric on 𝐸 such that the metric function
(𝑥, 𝑦) ↦→ 𝑑 (𝑥, 𝑦) is ℰ 2 -measurable. Then a stochastic process (𝑋𝑡 )𝑡 ≥0 in (𝐸, ℰ) has
a 𝑑-càdlàg modification if and only if it has a 𝑑-càdlàg realization.
Proof Only one direction demands proof. Suppose that (𝑋𝑡 )𝑡 ≥0 has a 𝑑-càdlàg
realization (𝜉𝑡 )𝑡 ≥0 . Take a countable dense subset 𝑇 = {𝑟 1 , 𝑟 2 , . . .} of [0, ∞) and
let 𝑇𝑛 = {𝑟 1 , . . . , 𝑟 𝑛 }. For 𝜀 > 0 and 𝑎 > 0 let 𝑚 𝑎 (𝜀) and 𝑚 𝑛𝑎 (𝜀) denote the
numbers of 𝜀-oscillations of 𝑡 ↦→ 𝑋𝑡 on 𝑇 𝑎 := 𝑇 ∩ [0, 𝑎] and 𝑇𝑛𝑎 := 𝑇𝑛 ∩ [0, 𝑎],
respectively. Let 𝜇 𝑎 (𝜀) and 𝜇 𝑛𝑎 (𝜀) denote respectively those numbers of 𝑡 ↦→ 𝜉𝑡 .
Then 𝑚 𝑛𝑎 (𝜀) → 𝑚 𝑎 (𝜀) and 𝜇 𝑛𝑎 (𝜀) → 𝜇 𝑎 (𝜀) increasingly as 𝑛 → ∞. For any integer
𝑘 ≥ 0 we have
{𝜇 𝑛𝑎 (𝜀) ≥ 𝑘 } = {𝜔 ∈ Ω : there are 𝑡0 < 𝑡1 < · · · < 𝑡 𝑘 ∈ 𝑇𝑛𝑎

such that 𝑑 (𝜉𝑡𝑖−1 (𝜔), 𝜉𝑡𝑖 (𝜔)) ≥ 𝜀 for 1 ≤ 𝑖 ≤ 𝑘 }. (A.4)
By the ℰ 2 -measurability of the metric function, we have {(𝑥, 𝑦) ∈ 𝐸 2 : 𝑑 (𝑥, 𝑦) ≥

𝜀} ∈ ℰ 2 . Using (A.4) one can show each 𝜇 𝑛𝑎 (𝜀) is a random variable with dis-
tribution determined by that of the random vector (𝜉𝑟1 , · · · , 𝜉𝑟𝑛 ). Similarly, each
𝑚 𝑛𝑎 (𝜀) is a random variable with distribution determined by that of the random vec-
tor (𝑋𝑟1 , · · · , 𝑋𝑟𝑛 ). Since (𝜉𝑡 )𝑡 ≥0 is a realization of (𝑋𝑡 )𝑡 ≥0 , the random variables
𝜇 𝑎 (𝜀) = lim𝑛→∞ 𝜇 𝑛𝑎 (𝜀) and 𝑚 𝑎 (𝜀) = lim𝑛→∞ 𝑚 𝑛𝑎 (𝜀) are identically distributed.
Since (𝜉𝑡 )𝑡 ≥0 is a 𝑑-càdlàg process, we get
P{𝑚 𝑎 (𝜀) < ∞} = P{𝜇 𝑎 (𝜀) < ∞} = 1.
Let Ω1 = ∩∞ 𝑗=1 {𝑚 (1/ 𝑗) < ∞}. Then P(Ω1 ) = 1. It is simple to show that for 𝜔 ∈ Ω1
𝑗
the limit 𝑌𝑡 (𝜔) := lim𝑇 ∋𝑠↓𝑡 𝑋𝑠 (𝜔) exists at 𝑡 ≥ 0 and 𝑍𝑡 (𝜔) := lim𝑇 ∋𝑠↑𝑡 𝑋𝑠 (𝜔) exists
at 𝑡 > 0. Fix 𝑥 0 ∈ 𝐸 and let 𝑌𝑡 (𝜔) = 𝑥 0 for all 𝑡 ≥ 0 and 𝜔 ∈ Ω \ Ω1 . Then (𝑌𝑡 )𝑡 ≥0
is a 𝑑-càdlàg process. Since (𝑋𝑡 )𝑡 ≥0 is clearly right continuous in probability, we
have 𝑌𝑡 = 𝑋𝑡 a.s. for every 𝑡 ≥ 0. Therefore (𝑌𝑡 )𝑡 ≥0 is a 𝑑-càdlàg modification of
(𝑋𝑡 )𝑡 ≥0 . □
We remark that if (𝐸, 𝑑) is a separable and complete metric space, then ℬ(𝐸) 2 =
ℬ(𝐸 2 ) and the metric function (𝑥, 𝑦) ↦→ 𝑑 (𝑥, 𝑦) is ℬ(𝐸) 2 -measurable.
A.3 Right Markov Processes
Let 𝐸 be a Radon topological space. For clarity we may also write ℬ0 (𝐸) for the
Borel 𝜎-algebra ℬ(𝐸). Let ℬ𝑢 (𝐸) be the universal completion of ℬ0 (𝐸) and let
ℬ• (𝐸) be a 𝜎-algebra such that ℬ0 (𝐸) ⊂ ℬ• (𝐸) ⊂ ℬ𝑢 (𝐸). Then ℬ𝑢 (𝐸) is also
the universal completion of ℬ• (𝐸) by Proposition A.3. A family of Markov or sub-
Markov kernels (𝑃𝑡 )𝑡 ≥0 on (𝐸, ℬ• (𝐸)) is called a transition semigroup if it satisfies
the following Chapman–Kolmogorov equation:
∫
𝑃𝑟+𝑡 (𝑥, 𝐵) = 𝑃𝑟 (𝑥, d𝑦)𝑃𝑡 (𝑦, 𝐵) (A.5)
𝐸
for all 𝑟, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 and 𝐵 ∈ ℬ• (𝐸). By Proposition A.5, we can always

regard (𝑃𝑡 )𝑡 ≥0 as kernels on (𝐸, ℬ𝑢 (𝐸)). A Borel transition semigroup (𝑃𝑡 )𝑡 ≥0 is
a transition semigroup on a Lusin topological space 𝐸 such that 𝑃𝑡 𝑓 ∈ bℬ0 (𝐸) for
each 𝑡 ≥ 0 and 𝑓 ∈ bℬ0 (𝐸). We say the transition semigroup (𝑃𝑡 )𝑡 ≥0 is Markov or
conservative if each 𝑃𝑡 is a Markov kernel. We say (𝑃𝑡 )𝑡 ≥0 is normal if 𝑃0 (𝑥, ·) = 𝛿 𝑥
for every 𝑥 ∈ 𝐸.
Let us consider a transition semigroup (𝑃𝑡 )𝑡 ≥0 on (𝐸, ℬ• (𝐸)). Let 𝐼 (𝛼) = (𝛼, ∞)
for 𝛼 ∈ [−∞, ∞) or [𝛼, ∞) for 𝛼 ∈ R = (−∞, ∞). A family (𝜇𝑡 )𝑡 ∈𝐼 ( 𝛼) of 𝜎-finite
measures on (𝐸, ℬ• (𝐸)) is called an entrance rule at 𝛼 for (𝑃𝑡 )𝑡 ≥0 if 𝜇 𝑠 𝑃𝑡−𝑠 ≤ 𝜇𝑡
for all 𝑠 ≤ 𝑡 ∈ 𝐼 (𝛼). It is called a regular entrance rule if 𝜇 𝑠 𝑃𝑡−𝑠 → 𝜇𝑡 increasingly
as 𝑠 ↑ 𝑡 ∈ 𝐼 (𝛼). The family is called an entrance law if 𝜇 𝑠 𝑃𝑡−𝑠 = 𝜇𝑡 for all
𝑠 ≤ 𝑡 ∈ 𝐼 (𝛼). Clearly, an entrance rule (𝜇𝑡 )𝑡 ∈𝐼 ( 𝛼) can be extended to an entrance
A.3 Right Markov Processes 417
rule (𝜇𝑡 )𝑡 ∈R by setting 𝜇𝑡 = 0 for 𝑡 ∈ R \ 𝐼 (𝛼). We say an entrance rule or law

(𝜇𝑡 )𝑡 ∈𝐼 ( 𝛼) is bounded if 𝑡 ↦→ 𝜇𝑡 (𝐸) is a bounded function on 𝐼 (𝛼). A probability
entrance law is an entrance law (𝜇𝑡 )𝑡 ∈𝐼 ( 𝛼) where each 𝜇𝑡 is a probability measure.
We say an entrance law (𝜇𝑡 )𝑡 ∈𝐼 ( 𝛼) is minimal or extremal if every entrance law
dominated by (𝜇𝑡 )𝑡 ∈𝐼 ( 𝛼) is proportional to it. For 𝛼 ∈ R we say an entrance law
(𝜇𝑡 )𝑡 ≥ 𝛼 is closed. We say an entrance law (𝜇𝑡 )𝑡 > 𝛼 is closable if it can be extended
to a closed entrance law (𝜇𝑡 )𝑡 ≥ 𝛼 . The concepts of entrance rules and entrance laws
can obviously be extended to semigroups of bounded kernels. We sometimes make
use of those extensions.
Let 𝒦 1 (𝑃) denote the set of all probability entrance laws (𝜇𝑡 )𝑡 >0 at zero for
(𝑃𝑡 )𝑡 ≥0 endowed with the 𝜎-algebra generated by all mappings {𝜇 ↦→ 𝜇𝑡 ( 𝑓 ) : 𝑡 >
0, 𝑓 ∈ bℬ• (𝐸)}. Let 𝒦𝑚1 (𝑃) be the set of minimal probability entrance laws in
𝒦 1 (𝑃). From Dynkin (1978, Theorems 3.1 and 9.1) we know 𝒦 1 (𝑃) is a simplex,
that is, 𝒦𝑚1 (𝑃) is a measurable subset of 𝒦 1 (𝑃) and for each 𝜇 ∈ 𝒦 1 (𝑃) there is a
unique probability measure 𝑄 𝜇 on 𝒦𝑚1 (𝑃) such that
∫
𝜇𝑡 (·) = 𝜈𝑡 (·)𝑄 𝜇 (d𝜈), 𝑡 > 0.
1 ( 𝑃)
𝒦𝑚
A 𝜎-finite measure 𝑚 on (𝐸, ℬ• (𝐸)) is called an excessive measure for (𝑃𝑡 )𝑡 ≥0

if 𝑚𝑃𝑡 ≤ 𝑚 for every 𝑡 ≥ 0. The measure 𝑚 is called a purely excessive measure
if 𝑚𝑃𝑡 ≤ 𝑚 for every 𝑡 ≥ 0 and 𝑚𝑃𝑡 → 0 as 𝑡 → ∞, and it is called an invariant
measure if 𝑚𝑃𝑡 = 𝑚 for every 𝑡 ≥ 0. A stationary distribution means an invariant
probability measure. A Markov process with transition semigroup (𝑃𝑡 )𝑡 ≥0 is said
to be ergodic if it has a unique stationary distribution 𝑚 and 𝜇𝑃𝑡 → 𝑚 by weak
convergence as 𝑡 → ∞ for every probability measure 𝜇 on (𝐸, ℬ• (𝐸)). For 𝛼 ≥ 0
we say a function 𝑓 ∈ pℬ𝑢 (𝐸) is 𝛼-super-mean-valued for (𝑃𝑡 )𝑡 ≥0 if e−𝛼𝑡 𝑃𝑡 𝑓 ≤ 𝑓
for all 𝑡 ≥ 0, and it is called an 𝛼-excessive function for (𝑃𝑡 )𝑡 ≥0 if e−𝛼𝑡 𝑃𝑡 𝑓 → 𝑓
increasingly as 𝑡 → 0. In the special case with 𝛼 = 0, we simply say 𝑓 is super-mean-
valued or excessive, respectively. Let 𝒮 𝛼 denote the set of 𝛼-excessive functions for
(𝑃𝑡 )𝑡 ≥0 .
A family of bounded kernels (𝑈 𝛼 ) 𝛼>0 on (𝐸, ℬ• (𝐸)) is called a resolvent if the
resolvent equation
𝑈 𝛼 𝑓 (𝑥) − 𝑈 𝛽 𝑓 (𝑥) = (𝛽 − 𝛼)𝑈 𝛼𝑈 𝛽 𝑓 (𝑥) (A.6)
is satisfied for all 𝛼, 𝛽 > 0, 𝑥 ∈ 𝐸 and 𝑓 ∈ bℬ• (𝐸). A resolvent (𝑈 𝛼 ) 𝛼>0 is

called Markov or conservative if 𝛼𝑈 𝛼 is a Markov kernel for all 𝛼 > 0. A function
𝑓 ∈ pℬ𝑢 (𝐸) is called 𝛼-supermedian for the resolvent (𝑈 𝛼 ) 𝛼>0 if 𝛽𝑈 𝛼+𝛽 𝑓 ≤ 𝑓 for
all 𝛽 > 0. Let 𝒮˜ 𝛼 denote the class of all 𝛼-supermedian functions for (𝑈 𝛼 ) 𝛼>0 .
If (𝑃𝑡 )𝑡 ≥0 is a transition semigroup on (𝐸, ℬ• (𝐸)) such that (𝑡, 𝑥) ↦→ 𝑃𝑡 𝑓 (𝑥)
is measurable with respect to ℬ[0, ∞) × ℬ• (𝐸) for every 𝑓 ∈ bℬ• (𝐸), then the
operators (𝑈 𝛼 ) 𝛼>0 defined by
∫ ∞
𝛼
𝑈 𝑓 (𝑥) = e−𝛼𝑡 𝑃𝑡 𝑓 (𝑥)d𝑡, 𝑓 ∈ bℬ• (𝐸), (A.7)
0
constitute a resolvent, which is called the resolvent of (𝑃𝑡 )𝑡 ≥0 . We also call 𝑈 𝛼 the
𝛼-potential operator of (𝑃𝑡 )𝑡 ≥0 . The potential operator 𝑈 of (𝑃𝑡 )𝑡 ≥0 is defined by
∫ ∞
𝑈 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥)d𝑡, 𝑓 ∈ pℬ• (𝐸). (A.8)
0
However, this kernel may not be 𝜎-finite. It is easy to show that if 𝑓 is 𝛼-super-
mean-valued for (𝑃𝑡 )𝑡 ≥0 , it is 𝛼-supermedian for (𝑈 𝛼 ) 𝛼>0 .
Suppose that (𝑃𝑡 )𝑡 ≥0 is a Markov transition semigroup on (𝐸, ℬ• (𝐸)) and (𝜉𝑡 )𝑡 ∈𝐼
is a stochastic process in (𝐸, ℬ• (𝐸)) indexed by an interval 𝐼 ⊂ R. We assume that
(𝜉𝑡 )𝑡 ∈𝐼 is defined on the probability space (Ω, 𝒢, P) and is ℬ• (𝐸)-adapted to a
filtration (𝒢𝑡 )𝑡 ∈𝐼 . We say {(𝜉𝑡 , 𝒢𝑡 ) : 𝑡 ∈ 𝐼} has the simple ℬ• (𝐸)-Markov property
with transition semigroup (𝑃𝑡 )𝑡 ≥0 if
P 𝑓 (𝜉𝑡 )|𝒢𝑟 = 𝑃𝑡−𝑟 𝑓 (𝜉𝑟 ), 𝑟 ≤ 𝑡 ∈ 𝐼, 𝑓 ∈ bℬ• (𝐸).

(A.9)
If {(𝜉𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} satisfies the simple ℬ• (𝐸)-Markov property with transition

semigroup (𝑃𝑡 )𝑡 ≥0 , the distribution 𝜇0 of 𝜉0 is called the initial law of (𝜉𝑡 )𝑡 ≥0 . In
this case, we necessarily have

P 𝑓1 (𝜉𝑡1 ) 𝑓2 (𝜉𝑡2 ) · · · 𝑓𝑛−1 (𝜉𝑡𝑛−1 ) 𝑓𝑛 (𝜉𝑡𝑛 )

= 𝜇0 𝑃𝑡1 ( 𝑓1 · · · 𝑃𝑡𝑛−1 −𝑡𝑛−2 ( 𝑓𝑛−1 𝑃𝑡𝑛 −𝑡𝑛−1 𝑓𝑛 )) (A.10)
for 0 ≤ 𝑡 1 ≤ 𝑡2 ≤ · · · ≤ 𝑡 𝑛 and 𝑓1 , 𝑓2 , . . . , 𝑓𝑛 ∈ bℬ• (𝐸), which is a simple

consequence of (A.9) by an induction argument. Consequently, the restriction of
P on the ℬ• (𝐸)-natural 𝜎-algebra ℱ • := 𝜎({ 𝑓 (𝑋𝑠 ) : 𝑠 ∈ 𝐼, 𝑓 ∈ bℬ• (𝐸)}) is
determined uniquely by (A.10).
Proposition A.8 Suppose that {(𝜉𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} satisfies the simple ℬ• (𝐸)-Markov

property (A.9). Let (𝒢∗ , 𝒢𝑡∗ ) denote the augmentations of (𝒢, 𝒢𝑡 ) with respect to P.
Then {(𝜉𝑡 , 𝒢𝑡∗ ) : 𝑡 ≥ 0} satisfies the simple ℬ𝑢 (𝐸)-Markov property.
Proof Let 𝜇𝑡 denote the distribution of 𝜉𝑡 on (𝐸, ℬ• (𝐸)). For 𝑓 ∈ bℬ𝑢 (𝐸) we
can choose 𝑓1 , 𝑓2 ∈ bℬ• (𝐸) so that 𝑓1 ≤ 𝑓 ≤ 𝑓2 and 𝜇𝑡 ( 𝑓2 − 𝑓1 ) = 0. Then
𝑓1 (𝜉𝑡 ), 𝑓2 (𝜉𝑡 ) ∈ b𝒢𝑡 and

P 𝑓2 (𝜉𝑡 ) − 𝑓1 (𝜉𝑡 ) = 𝜇𝑡 ( 𝑓2 − 𝑓1 ) = 0. (A.11)
It follows that 𝑓 (𝜉𝑡 ) ∈ b𝒢𝑡∗ , and so (𝜉𝑡 )𝑡 ≥0 is ℬ𝑢 (𝐸)-adapted relative to (𝒢𝑡∗ )𝑡 ≥0 .

Then to get the desired result it suffices to show

P 𝑓 (𝜉𝑡 )1 𝐴 = P 𝑃𝑡−𝑟 𝑓 (𝜉𝑟 )1 𝐴 (A.12)
for 𝑡 ≥ 𝑟 ≥ 0, 𝐴 ∈ 𝒢𝑟∗ and 𝑓 ∈ bℬ𝑢 (𝐸). Let 𝒩 = {𝑁 ∈ 𝒢∗ : P(𝑁) = 0}. Then there
is an 𝐴0 ∈ 𝒢𝑟 such that 𝐴△𝐴0 ∈ 𝒩. By (A.9) we have (A.12) for 𝑓 ∈ bℬ• (𝐸). For
𝑓 ∈ bℬ𝑢 (𝐸) we can take 𝑓1 , 𝑓2 ∈ bℬ• (𝐸) so that 𝑓1 ≤ 𝑓 ≤ 𝑓2 and (A.11) holds.
Since (A.12) holds for both 𝑓1 and 𝑓2 , it also holds for 𝑓 . □
Corollary A.9 (Sharpe, 1988, p. 6) Suppose that (𝑃𝑡 )𝑡 ≥0 preserves ℬ• (𝐸) and
ℬ ⋄ (𝐸) with ℬ0 (𝐸) ⊂ ℬ• (𝐸) ⊂ ℬ ⋄ (𝐸) ⊂ ℬ𝑢 (𝐸). Let {(𝜉𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} satisfy
the simple ℬ• (𝐸)-Markov property (A.9). If (𝜉𝑡 )𝑡 ≥0 is ℬ ⋄ (𝐸)-adapted to (𝒢𝑡 )𝑡 ≥0 ,
then {(𝜉𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} satisfies the simple ℬ ⋄ (𝐸)-Markov property.
Proof By Proposition A.8 we infer {(𝜉𝑡 , 𝒢𝑡∗ ) : 𝑡 ≥ 0} satisfies the simple ℬ𝑢 (𝐸)-
Markov property. Then {(𝜉𝑡 , 𝒢𝑡 ) : 𝑡 ≥ 0} satisfies the simple ℬ ⋄ (𝐸)-Markov
property. □
Definition A.10 (Sharpe, 1988, p. 7) Suppose that (𝑃𝑡 )𝑡 ≥0 is a normal Markov

transition semigroup on (𝐸, ℬ• (𝐸)). The collection 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is
called a ℬ• (𝐸)-Markov process with transition semigroup (𝑃𝑡 )𝑡 ≥0 if 𝜉 satisfies the
following conditions:
(1) (Ω, 𝒢, 𝒢𝑡 )𝑡 ≥0 is a filtered measurable space, and (𝜉𝑡 )𝑡 ≥0 is an 𝐸-valued process

ℬ• (𝐸)-adapted to (𝒢𝑡 )𝑡 ≥0 .
(2) (𝜃 𝑡 )𝑡 ≥0 is a collection of shift operators for 𝜉, that is, maps of Ω into itself
satisfying 𝜃 𝑠 ◦ 𝜃 𝑡 = 𝜃 𝑠+𝑡 and 𝜉 𝑠 ◦ 𝜃 𝑡 = 𝜉 𝑠+𝑡 identically for 𝑡, 𝑠 ≥ 0.
(3) For every 𝑥 ∈ 𝐸, P 𝑥 is a probability measure on (Ω, 𝒢) and 𝑥 ↦→ P 𝑥 (𝐻) is
ℬ• (𝐸)-measurable for each 𝐻 ∈ b𝒢.
(4) For every 𝑥 ∈ 𝐸, we have P 𝑥 {𝜉0 = 𝑥} = 1 and the process (𝜉𝑡 )𝑡 ≥0 has the simple
Markov property (A.9) relative to (𝒢𝑡 , P 𝑥 ) with transition semigroup (𝑃𝑡 )𝑡 ≥0 .
We say 𝜉 is right continuous if 𝑡 ↦→ 𝜉𝑡 (𝜔) is right continuous for every 𝜔 ∈ Ω.
If the above conditions (1)–(4) are satisfied, we also say that 𝜉 is a realization of
the semigroup (𝑃𝑡 )𝑡 ≥0 . In this case, for any finite measure 𝜇 on (𝐸, ℬ• (𝐸)) we may
define the finite measure P 𝜇 on (Ω, 𝒢) by
∫
P 𝜇 (𝐻) = P 𝑥 (𝐻)𝜇(d𝑥), 𝐻 ∈ b𝒢. (A.13)
𝐸
In the sequel, we always assume 𝜇 is a probability measure unless stated otherwise.

It is easy to verify that (𝜉𝑡 )𝑡 ≥0 has the simple ℬ• (𝐸)-Markov property relative to
(𝒢𝑡 , P 𝜇 ) with initial law 𝜇. We mention that the measurability of 𝑥 ↦→ P 𝑥 (𝐻) is used
in the definition (A.13) of the measure P 𝜇 on (Ω, 𝒢). Of course, this measurability
follows automatically if (𝒢, 𝒢𝑡 ) are the natural 𝜎-algebras of {𝜉𝑡 : 𝑡 ≥ 0}.
Consider a ℬ• (𝐸)-Markov process 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) with transition
semigroup (𝑃𝑡 )𝑡 ≥0 and resolvent (𝑈 𝛼 ) 𝛼>0 on (𝐸, ℬ• (𝐸)). Let 𝒢 𝜇 denote the P 𝜇 -
completion of 𝒢 and let 𝒩 𝜇 (𝒢) denote the family of P 𝜇 -null sets in 𝒢 𝜇 . Then
define:
𝒢¯ = ∩{𝒢 𝜇 : 𝜇 is an initial law on 𝐸 };

𝒩(𝒢) = ∩{𝒩 𝜇 (𝒢) : 𝜇 is an initial law on 𝐸 };
𝜇
𝒢𝑡 = 𝜎(𝒢𝑡 ∪ 𝒩 𝜇 (𝒢));
𝒢¯ 𝑡 = ∩{𝒢𝑡 : 𝜇 is an initial law on 𝐸 }.
𝜇
𝜇
Therefore (𝒢 𝜇 , 𝒢𝑡 ) is the augmentation of (𝒢, 𝒢𝑡 ) by the probability P 𝜇 . We call
¯ 𝒢¯ 𝑡 ) the augmentation of (𝒢, 𝒢𝑡 ) by the system of probabilities {P 𝜇 : 𝜇 is
(𝒢,
a probability on 𝐸 }. It is easy to see that (𝜉𝑡 )𝑡 ≥0 is ℬ𝑢 (𝐸)-adapted relative to
(𝒢¯ 𝑡 )𝑡 ≥0 and each P 𝜇 extends uniquely to 𝒢. ¯ Moreover, for any 𝐻 ∈ b𝒢¯ the mapping
𝑥 ↦→ P 𝑥 (𝐻) is ℬ (𝐸)-measurable and the equality in (A.13) remains true. Using
𝑢
Proposition A.8 and Corollary A.9 one can see (𝜉𝑡 )𝑡 ≥0 has the simple ℬ𝑢 (𝐸)-Markov
property relative to (𝒢𝑡 , P 𝜇 ) and (𝒢¯ 𝑡 , P 𝜇 ).
𝜇
We say (𝒢, 𝒢𝑡 )𝑡 ≥0 are augmented with respect to the system {P 𝜇 : 𝜇 is a proba-

bility on 𝐸 } provided 𝒢 = 𝒢¯ and 𝒢𝑡 = 𝒢¯ 𝑡 for all 𝑡 ≥ 0. As observed in Sharpe (1988,
p. 25), further application of the augmentation procedure to (𝒢¯ 𝑡 )𝑡 ≥0 is fruitless in
the sense that [𝒢¯ 𝑡 ] 𝜇 = 𝒢𝑡 and [𝒢¯ 𝑡 ] − = 𝒢¯ 𝑡 .
𝜇
Let ℱ 𝑢 be the ℬ𝑢 (𝐸)-natural 𝜎-algebra of {𝜉𝑡 : 𝑡 ≥ 0}. Let ℱ 𝜇 denote the

P 𝜇 -completion of ℱ 𝑢 and let ℱ = ∩{ℱ 𝜇 : 𝜇 is an initial law on 𝐸 }. As in Sharpe
(1988, p. 25), one can show that
P 𝜇 𝐹 ◦ 𝜃 𝑡 |𝒢¯ 𝑡 = P 𝜇 𝐹 ◦ 𝜃 𝑡 |𝒢𝑡 = P 𝜉𝑡 (𝐹)

𝜇
(A.14)
for every 𝑡 ≥ 0, 𝐹 ∈ bℱ and initial law 𝜇.

In the sequel, we assume 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is right continuous. Writing
𝜇 𝜇
𝒢𝑡+ = ∩𝑠>𝑡 𝒢𝑠 , we have [𝒢𝑡 ] + = [𝒢𝑡+ ] 𝜇 , which will be denoted simply by 𝒢𝑡+ . It is
𝜇
easy to see that for any initial law 𝜇 on 𝐸 the filtered space (Ω, 𝒢 , 𝒢𝑡+ , P 𝜇 ) satisfies
𝜇
the usual hypotheses.

𝜇
Proposition A.11 Suppose that 𝑇 is a stopping time over (𝒢𝑡+ ). Then 𝒢𝑇+ =
𝜎(𝒢𝑇+ ∪ 𝒩 𝜇 (𝒢)).
𝜇
Proof Since 𝒢𝑇+ ⊃ 𝜎(𝒢𝑇+ ∪𝒩 𝜇 (𝒢)) is obvious, we only need to verify the inclusion
𝜇 𝜇
𝒢𝑇+ ⊂ 𝜎(𝒢𝑇+ ∪ 𝒩 𝜇 (𝒢)). It suffices to show for every 𝐴 ∈ 𝒢𝑇+ there is a 𝐵 ∈ 𝒢𝑇+
such that 𝐴△𝐵 ∈ 𝒩 𝜇 (𝒢), where “△” denotes the symmetric difference defined by
(A.1). For each 𝑛 ≥ 1 define the stopping time 𝑇𝑛 over (𝒢𝑡 ) by
n 𝑘/2𝑛 if (𝑘 − 1)/2𝑛 ≤ 𝑇 (𝜔) < 𝑘/2𝑛 ,
𝑇𝑛 (𝜔) = (A.15)
∞ if 𝑇 (𝜔) = ∞.
Then 𝑇𝑛 → 𝑇 decreasingly as 𝑛 → ∞. In view of (A.15) we have 𝐴 ∩ {𝑇𝑛 = 𝑘/2𝑛 } ∈

𝜇
𝒢𝑘/2𝑛 for 1 ≤ 𝑛 < ∞ and 1 ≤ 𝑘 = ∞. Then there exists 𝐴𝑛,𝑘 ∈ 𝒢𝑘/2𝑛 such that
( 𝐴 ∩ {𝑇𝑛 = 𝑘/2𝑛 })△𝐴𝑛,𝑘 ∈ 𝒩 𝜇 (𝒢).
Since {𝑇𝑛 = 𝑘/2𝑛 } ∈ 𝒢𝑘/2𝑛 , we have
𝐵𝑛,𝑘 := 𝐴𝑛,𝑘 ∩ {𝑇𝑛 = 𝑘/2𝑛 } ∈ 𝒢𝑘/2𝑛 .
Observe also that
( 𝐴 ∩ {𝑇𝑛 = 𝑘/2𝑛 })△𝐵𝑛,𝑘 ∈ 𝒩 𝜇 (𝒢).
Let 𝐵𝑛 = (∪∞
𝑘=1 𝐵 𝑛,𝑘 ) ∪ 𝐵 𝑛,∞ . Then 𝐴△𝐵 𝑛 ∈ 𝒩 (𝒢) and
𝜇
𝐵𝑛 ∩ {𝑇𝑛 = 𝑘/2𝑛 } = 𝐵𝑛,𝑘 ∈ 𝒢𝑘/2𝑛 .
It follows that 𝐵𝑛 ∈ 𝒢𝑇𝑛 ⊂ 𝒢𝑇𝑘 for 𝑛 ≥ 𝑘. By the right continuity of (𝒢𝑡+ ),
Ù ∞
∞ Ø ∞
Ù
𝐵 := 𝐵𝑛 ∈ 𝒢𝑇𝑘 + = 𝒢𝑇+ .
𝑘=1 𝑛=𝑘 𝑘=1
Moreover, we have 𝐴△𝐵 ∈ 𝒩 𝜇 (𝒢). This gives the desired result. □

𝜇
Corollary A.12 For any initial law 𝜇 on 𝐸 and any stopping time 𝑇 for (𝒢𝑡+ ), there
is a stopping time 𝑆 for (𝒢𝑡+ ) such that {𝑇 ≠ 𝑆} ∈ 𝒩 𝜇 (𝒢). In this case, we have
𝜇 𝜇
𝒢𝑇+ = 𝒢𝑆+ = 𝜎(𝒢𝑆+ ∪ 𝒩 𝜇 (𝒢)). (A.16)
Proof The first assertion was proved in Sharpe (1988, p. 25). Then (A.16) follows
by Propositions A.6 and A.11. □
Proposition A.13 (Sharpe, 1988, p. 26) Let 𝑓 ∈ ℬ𝑢 (𝐸) and let 𝜇 be an initial law
on 𝐸. Then we have:
𝜇 𝜇
(1) If 𝑇 is an stopping time over (𝒢𝑡+ ), then 𝑓 (𝜉𝑇 )1 {𝑇 <∞} ∈ 𝒢𝑇+ .
(2) If 𝑇 is an stopping time over (𝒢¯ 𝑡+ ), then 𝑓 (𝜉𝑇 )1 {𝑇 <∞} ∈ 𝒢¯ 𝑇+ .
Definition A.14 (Sharpe, 1988, p. 26) Suppose that 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is a

right continuous ℬ• (𝐸)-Markov process with transition semigroup (𝑃𝑡 )𝑡 ≥0 and
(𝒢, 𝒢𝑡 ) have been augmented by {P 𝜇 : 𝜇 is an initial law on 𝐸 }. We say (𝜉𝑡 )𝑡 ≥0
satisfies the strong Markov property relative to (𝒢𝑡+ ) provided

P 𝜇 𝑓 (𝜉𝑡 ) ◦ 𝜃 𝑇 1 {𝑇 <∞} |𝒢𝑇+ = 𝑃𝑡 𝑓 (𝜉𝑇 )1 {𝑇 <∞} (A.17)
for every 𝑡 ≥ 0, stopping time 𝑇 over (𝒢𝑡+ ), initial law 𝜇 and 𝑓 ∈ bℬ𝑢 (𝐸).
Theorem A.15 Suppose that 𝜉 = (Ω, 𝒢• , 𝒢𝑡• , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is a right continuous

ℬ• (𝐸)-Markov process with transition semigroup (𝑃𝑡 )𝑡 ≥0 . Let (𝒢, 𝒢𝑡 ) be the aug-
mentations of (𝒢• , 𝒢𝑡• ) by {P 𝜇 : 𝜇 is an initial law on 𝐸 }. Then (𝜉𝑡 )𝑡 ≥0 has the
strong Markov property relative to (𝒢𝑡+ ) if and only if
P 𝜇 𝑓 (𝜉𝑡 ) ◦ 𝜃 𝑇0 1 {𝑇0 <∞} |𝒢𝑇•0 + = 𝑃𝑡 𝑓 (𝜉𝑇0 )1 {𝑇0 <∞}

(A.18)
• ), initial law 𝜇 and 𝑓 ∈ bℬ• (𝐸).
for every 𝑡 ≥ 0, stopping time 𝑇0 over (𝒢𝑡+
Proof Suppose that (𝜉𝑡 )𝑡 ≥0 has the strong Markov property relative to (𝒢𝑡+ ) and
𝑇0 is a stopping time over (𝒢𝑡+ • ). Since 𝑡 ↦→ 𝜉 is clearly ℬ• (𝐸)-progressive over
𝑡
• •
(𝒢𝑡+ ), for any 𝑓 ∈ bℬ (𝐸) the process 𝑡 ↦→ 𝑓 (𝜉𝑡 ) is progressive over (𝒢𝑡+ • ). Then
•
𝑓 (𝜉𝑇0 )1 {𝑇0 <∞} ∈ b𝒢𝑇0 + ; see, e.g., Dellacherie and Meyer (1978, p. 122) or Sharpe
(1988, p. 22). Consequently, we have 𝑃𝑡 𝑓 (𝜉𝑇0 )1 {𝑇0 <∞} ∈ b𝒢𝑇00 + for 𝑡 ≥ 0. By letting
𝑇 = 𝑇0 in (A.17) and taking the conditional expectation relative to 𝒢𝑇•0 + we obtain
(A.18). For the converse, suppose that (A.18) holds for every stopping time 𝑇0 over
• ) and every 𝑓 ∈ bℬ• (𝐸). Let 𝑇 be a stopping time over (𝒢 ) and let 𝐴 ∈ 𝒢 .
(𝒢𝑡+ 𝑡+ 𝑇+
By Corollary A.12 there is a stopping time 𝑇0 over (𝒢𝑡+ • ) and an event 𝐴 ∈ 𝒢• such
0 𝑇0 +
that {𝑇 ≠ 𝑇0 } ∈ 𝒩 𝜇 (𝒢• ) and 𝐴△𝐴0 ∈ 𝒩 𝜇 (𝒢• ). By (A.18) for every 𝑓 ∈ bℬ• (𝐸)
we have

P 𝜇 1 𝐴 𝑓 (𝜉𝑡 ) ◦ 𝜃 𝑇 1 {𝑇 <∞} = P 𝜇 1 𝐴 𝑃𝑡 𝑓 (𝜉𝑇 )1 {𝑇 <∞} . (A.19)
As in the proof of Proposition A.8 it is easy to see the above equality also holds for
𝑓 ∈ bℬ𝑢 (𝐸). This gives (A.17) for 𝑓 ∈ bℬ𝑢 (𝐸). □
A real-valued process (𝑍𝑡 )𝑡 ≥0 is called P 𝜇 (𝒢)-evanescent if {𝜔 ∈ Ω : 𝑍𝑡 (𝜔) ≠ 0

for some 𝑡 ≥ 0} ∈ 𝒩 𝜇 (𝒢). Let ℐ 𝜇 (𝒢) denote the class of P 𝜇 (𝒢)-evanescent
processes and let ℐ(𝒢) = ∩{ℐ 𝜇 (𝒢) : 𝜇 is an initial law on 𝐸 }. Let 𝒟(𝒢𝑡 )
denote the class of bounded right continuous real processes adapted to (𝒢𝑡 )𝑡 ≥0 .
Let 𝒪 𝜇 (𝒢𝑡 ) be the 𝜎-algebra on Ω × [0, ∞) generated by 𝒟(𝒢𝑡 ) ∪ ℐ 𝜇 (𝒢) and let
˜ 𝑡 ) = ∩{𝒪 𝜇 (𝒢𝑡 ) : 𝜇 is an initial law on 𝐸 }. We say an extended real function 𝑓 on
𝒪(𝒢
𝐸 is nearly optional relative to 𝜉 provided (𝜔, 𝑡) ↦→ 𝑓 (𝜉𝑡 (𝜔)) is 𝒪(𝒢 ˜ 𝑡 )-measurable.
Clearly, a continuous function on 𝐸 is nearly optional. By the monotone class theorem
it is easy to see that a Borel function on 𝐸 is also nearly optional. The function 𝑓 is
said to be nearly Borel relative to 𝜉 if for every initial law 𝜇 there are Borel functions
𝑔 and ℎ on 𝐸 such that 𝑔 ≤ 𝑓 ≤ ℎ and P 𝜇 {𝑔(𝜉𝑡 ) = ℎ(𝜉𝑡 ) for all 𝑡 ≥ 0} = 1. Let 𝑑 be
a metric on 𝐸 compatible with its topology. Recall that 𝒞𝑢 (𝐸) = 𝒞𝑢 (𝐸, 𝑑) denotes
the set of real 𝑑-uniformly continuous functions on (𝐸, 𝑑) and 𝒮 𝛼 is the class of all
𝛼-excessive functions for (𝑃𝑡 )𝑡 ≥0 .
Theorem A.16 (Sharpe, 1988, p. 31) Suppose that 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is a

right continuous ℬ• (𝐸)-Markov process with transition semigroup (𝑃𝑡 )𝑡 ≥0 and
(𝒢, 𝒢𝑡 ) have been augmented by {P 𝜇 : 𝜇 is an initial law on 𝐸 }. Then the following
conditions are equivalent:
(1) {𝑡 ↦→ 𝑓 (𝜉𝑡 ) is not right continuous} ∈ 𝒩(𝒢) for every 𝛼 > 0 and every 𝑓 ∈ 𝒮 𝛼 ;
(2) {𝑡 →↦ 𝑈 𝛼 𝑓 (𝜉𝑡 ) is not right continuous} ∈ 𝒩(𝒢) for every 𝛼 > 0 and every
𝑓 ∈ b𝒞𝑢 (𝐸);
(3) (𝜉𝑡 )𝑡 ≥0 satisfies the strong Markov property relative to (𝒢𝑡+ ), and 𝑈 𝛼 𝑓 is nearly
optional relative to (𝜉𝑡 , 𝒢𝑡+ ) for every 𝛼 > 0 and every 𝑓 ∈ b𝒞𝑢 (𝐸);
(4) (𝜉𝑡 )𝑡 ≥0 satisfies the strong Markov property relative to (𝒢𝑡+ ), and 𝑃𝑠 𝑓 is nearly
optional relative to (𝜉𝑡 , 𝒢𝑡+ ) for every 𝑠 ≥ 0 and every 𝑓 ∈ b𝒞𝑢 (𝐸);
(5) {𝑡 ↦→ 𝑃𝑠 𝑓 (𝜉𝑡 ) is not right continuous} ∈ 𝒩(𝒢) for every 𝑠 ≥ 0 and every
𝑓 ∈ b𝒞𝑢 (𝐸);
(6) 𝑃𝑠 𝑓 is nearly optional relative to (𝜉𝑡 , 𝒢𝑡+ ) for every 𝑠 ≥ 0 and every 𝑓 ∈ b𝒞𝑢 (𝐸),
and
𝜇
P 𝜇 { 𝑓 (𝜉𝑡 )1 {𝑇 <𝑡 } |𝒢𝑇+ } = 𝑃𝑡−𝑇 𝑓 (𝜉𝑇 )1 {𝑇 <𝑡 } , 𝑡 ≥ 0, 𝑓 ∈ b𝒞𝑢 (𝐸),
for every optional time 𝑇 over (𝒢𝑡+ ) and every initial law 𝜇 on 𝐸;
(7) {𝑠 ↦→ 𝑃𝑡−𝑠 𝑓 (𝜉 𝑠 )1 [0,𝑡) (𝑠) is not right continuous} ∈ 𝒩(𝒢) for every 𝑡 ≥ 0 and
every 𝑓 ∈ b𝒞𝑢 (𝐸);
(8) {𝑠 ↦→ 𝑃𝑡−𝑠 𝑓 (𝜉 𝑠 )1 [0,𝑡) (𝑠) is not right continuous} ∈ 𝒩(𝒢) for every 𝑡 ≥ 0 and
every 𝑓 ∈ bℬ𝑢 (𝐸).
Corollary A.17 (Sharpe, 1988, p. 36) Let (ℱ • , ℱ𝑡• ) be the natural 𝜎-algebras of 𝜉
generated by {𝜉𝑡 : 𝑡 ≥ 0} and let (ℱ, ℱ𝑡 ) be their augmentations. If 𝜉 satisfies one
𝜇
of the conditions in Theorem A.16 relative to (ℱ𝑡 ), then (ℱ𝑡 ) and (ℱ𝑡 ) are right
continuous.
The properties in Theorem A.16 depend not only on the transition semigroup
(𝑃𝑡 )𝑡 ≥0 , but also on the realization 𝜉. In particular, when (𝑃𝑡 )𝑡 ≥0 is a Borel semi-
group, for every 𝛼 > 0 and every 𝑓 ∈ 𝒞𝑢 (𝐸) the function 𝑈 𝛼 𝑓 is nearly optional
relative to (𝜉𝑡 , 𝒢𝑡+ ), so the properties hold if and only if (𝜉𝑡 )𝑡 ≥0 satisfies the strong
Markov property relative to (𝒢𝑡+ )𝑡 ≥0 .
Definition A.18 (Sharpe, 1988, p. 38) The system 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is called

a right Markov process or simply a right process with transition semigroup (𝑃𝑡 )𝑡 ≥0
provided:
(1) 𝜉 is a right continuous realization of (𝑃𝑡 )𝑡 ≥0 ;

(2) 𝜉 satisfies the conditions in Theorem A.16;
(3) (𝒢, 𝒢𝑡 )𝑡 ≥0 are augmented and (𝒢𝑡 )𝑡 ≥0 is right continuous.
We call 𝜉 a Borel right process if it is a right process with Borel transition semigroup.
A Markov transition semigroup (𝑃𝑡 )𝑡 ≥0 is called a right transition semigroup if it is
the transition semigroup of a right process.
Proposition A.19 (Sharpe, 1988, p. 39) The minimum of two 𝛼-excessive functions
of a right semigroup is also 𝛼-excessive.
The fine topology of a right process 𝜉 is the smallest topology on 𝐸 rendering

continuous all functions in ∪ 𝛼 ≥0 𝒮 𝛼 as maps from 𝐸 to [0, ∞]; see Sharpe (1988,
p. 53 and p. 232). A function 𝑓 ∈ bℬ0 (𝐸) is finely continuous relative to 𝜉 if and
only if 𝑡 ↦→ 𝑓 (𝜉𝑡 ) is a.s. right continuous on [0, ∞). More generally, we have:
Theorem A.20 (Sharpe, 1988, p. 53 and p. 55) Let 𝑓 ∈ ℬ𝑢 (𝐸). If 𝑡 ↦→ 𝑓 (𝜉𝑡 ) is a.s.
right continuous at 𝑡 = 0, then 𝑓 is finely continuous relative to 𝜉. Conversely, if 𝑓
is finely continuous and nearly optional relative to 𝜉, then 𝑡 ↦→ 𝑓 (𝜉𝑡 ) is a.s. right
continuous on [0, ∞).
A right process 𝜉 is called a Hunt process if it is quasi-left continuous, that is, for
every increasing sequence of stopping times {𝑇𝑛 } with limit 𝑇 we have 𝜉𝑇𝑛 → 𝜉𝑇
a.s. on {𝑇 < ∞}. If 𝜉 is a Hunt process, then 𝑡 ↦→ 𝜉𝑡 is a.s. càdlàg on [0, ∞); see
Sharpe (1988, p. 221).
Let us consider two Radon topological spaces 𝐸 and 𝐹. Suppose that 𝜉 =
(Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is a right process in 𝐸 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and
𝜓 is a map of 𝐸 to 𝐹. In addition, we assume:
(1) 𝜓 is surjective and measurable relative to the 𝜎-algebras ℬ𝑢 (𝐸) and ℬ𝑢 (𝐹);
(2) for every 𝑡 ≥ 0 and every 𝑓 ∈ ℬ𝑢 (𝐹) there exists a function 𝑄 𝑡 𝑓 ∈ ℬ𝑢 (𝐹) such
that 𝑃𝑡 ( 𝑓 ◦ 𝜓) = (𝑄 𝑡 𝑓 ) ◦ 𝜓;
(3) the path 𝑡 ↦→ 𝑋𝑡 := 𝜓(𝜉𝑡 ) is a.s. right continuous in 𝐹.
Under the above conditions, the operator 𝑓 ↦→ 𝑄 𝑡 𝑓 determines a probability kernel
on (𝐹, ℬ𝑢 (𝐹)) and (𝑄 𝑡 )𝑡 ≥0 form a Markov transition semigroup. Let Ω̂ = {𝜔 ∈
Ω : 𝑡 ↦→ 𝑋𝑡 (𝜔) is right continuous}. The above property (3) implies P 𝑥 ( Ω̂) = 1
for every 𝑥 ∈ 𝐸, so we can replace Ω by Ω̂ in the definition of 𝜉. Let ( ℱ̂ 𝑢 , ℱ̂𝑡𝑢 ) be
the ℬ𝑢 (𝐹)-natural 𝜎-algebras of {𝑋𝑡 : 𝑡 ≥ 0} on Ω̂. A simple calculation shows
that P 𝑥1 and P 𝑥2 coincide on ℱ̂ 𝑢 if 𝜓(𝑥1 ) = 𝜓(𝑥2 ) = 𝑥. We denote their common
restriction on ℱ̂ 𝑢 by Q 𝑥 . For any probability measure 𝜇 on (𝐹, ℬ𝑢 (𝐹)) define the
law Q 𝜇 on ( Ω̂, ℱ̂) as usual. Let ( ℱ̂, ℱ̂𝑡 ) be the augmentations of ( ℱ̂ 𝑢 , ℱ̂𝑡𝑢 ) relative
to the family of probability measures {Q 𝜇 : 𝜇 is an initial law on 𝐹}.
Theorem A.21 (Sharpe, 1988, p. 75) The system 𝑋 = ( Ω̂, ℱ̂, ℱ̂𝑡 , 𝑋𝑡 , 𝜃 𝑡 , Q 𝑥 ) is a
right process in 𝐹 with transition semigroup (𝑄 𝑡 )𝑡 ≥0 .
A general transition semigroup (𝑃𝑡 )𝑡 ≥0 on (𝐸, ℬ• (𝐸)) may be extended to a

conservative transition semigroup on a larger space. Simply take an abstract point
𝜕 ∉ 𝐸 and let 𝐸˜ = 𝐸 ∪ {𝜕} be the Radon topological space obtained by adjoining 𝜕
˜ = 𝜎(ℬ• (𝐸) ∪ {(𝜕)}) and define ( 𝑃˜𝑡 )𝑡 ≥0 on
to 𝐸 as an isolated point. Let ℬ• ( 𝐸)
˜ • ˜
( 𝐸, ℬ ( 𝐸)) by
 𝑃𝑡 (𝑥, 𝐵)


 if 𝑥 ∈ 𝐸 and 𝐵 ∈ ℬ• (𝐸),
𝑃˜𝑡 (𝑥, 𝐵) = 1 − 𝑃𝑡 (𝑥, 𝐸) if 𝑥 ∈ 𝐸 and 𝐵 = {𝜕}, (A.20)
 1 𝐵 (𝜕)

if 𝑥 = 𝜕.

It is trivial to see that ( 𝑃˜𝑡 )𝑡 ≥0 is a conservative transition semigroup on ( 𝐸,
˜ ℬ• ( 𝐸)).
˜
˜
We call (𝑃𝑡 )𝑡 ≥0 a right transition semigroup if ( 𝑃𝑡 )𝑡 ≥0 is a right semigroup in the
sense of Definition A.18. In this case, suppose that 𝜉˜ = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P̃ 𝑥 ) is a
right process on 𝐸˜ realizing ( 𝑃˜𝑡 )𝑡 ≥0 . It is obvious from (A.20) that 𝜕 is a trap for
the process. That is, P̃𝜕 {𝜉𝑡 = 𝜕 for all 𝑡 ≥ 0} = 1. Let 𝜁 = inf{𝑡 ≥ 0 : 𝜉𝑡 = 𝜕}. By
the strong Markov property, we have P̃ 𝑥 {𝜉𝑡 = 𝜕 for all 𝑡 ≥ 𝜁 } = 1 for all 𝑥 ∈ 𝐸. ˜ In
˜
many respects, the process 𝜉 is interesting only when it is in 𝐸. Indeed, if (𝑃𝑡 )𝑡 ≥0
is the object of interest, the adjunction of 𝜕 is quite artificial. In this situation, one
may simplify the notation by making the convention that every function 𝑓 on 𝐸 is
automatically extended to 𝐸˜ by setting 𝑓 (𝜕) = 0. Then 𝑃𝑡 𝑓 means exactly the same
thing as 𝑃˜𝑡 𝑓 . Let P 𝑥 = P̃ 𝑥 for 𝑥 ∈ 𝐸. The system 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is called
a right process on 𝐸 with lifetime 𝜁 and transition semigroup (𝑃𝑡 )𝑡 ≥0 . The original
process 𝜉˜ is called the conservative extension of 𝜉. In the special case P 𝑥 {𝜁 = ∞} = 1
for all 𝑥 ∈ 𝐸, the process 𝜉 is said to be conservative. We call 𝜉 a Hunt process if 𝜉˜
is a Hunt process in 𝐸. ˜
Example A.1 Let 𝐸 ⊂ R be a nonempty interval and let 𝐸˜ = 𝐸 ∪ {𝜕} with 𝜕 being an
˜ for 𝑡 ≥ 0. For 𝑥 ∈ 𝐸 let P 𝑥 = 𝛿 𝑥 .
isolated point. Let Ω = 𝐸˜ and let 𝒢 = 𝒢𝑡 = ℬ𝑢 ( 𝐸)
For 𝑡 ≥ 0 and 𝜔 ∈ Ω define
A.4 Ray–Knight Completion 425

𝜔+𝑡 if 𝜔 ∈ 𝐸 and 𝜔 + 𝑡 ∈ 𝐸;
𝜉𝑡 (𝜔) = 𝜃 𝑡 (𝜔) =
𝜕 if 𝜔 = 𝜕 or 𝜔 + 𝑡 ∉ 𝐸.
Then 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) is a Markov process in 𝐸 with transition semigroup

(𝑅𝑡 )𝑡 ≥0 satisfying 𝑅𝑡 (𝑥, 𝐵) = 𝛿 𝑥+𝑡 (𝐵), where 𝑥 ∈ 𝐸 and 𝐵 ∈ ℬ(𝐸). We call 𝜉
the uniform motion to the right on 𝐸. It is easy to see that 𝜉 is right continuous if
and only if sup 𝐸 ∉ 𝐸, and in this case it is a right process. Observe also that 𝜉 is
conservative if and only if sup 𝐸 = ∞.
Theorem A.22 (Fitzsimmons, 1988, p. 349 and p. 350) Suppose that 𝜉 is a Borel
right process in a Lusin topological space 𝐸 with bounded potential operator 𝑈. Let
𝑀 (𝐸) denote the space of finite Borel measures on 𝐸 endowed with the topology of
weak convergence. Let 𝑓 ∈ bℬ0 (𝐸). Then we have:
(1) 𝑓 is finely continuous relative to 𝜉 if and only if lim𝑛→∞ 𝜈𝑛 ( 𝑓 ) = 𝜈( 𝑓 ) for all

𝜈𝑛 , 𝜈 ∈ 𝑀 (𝐸) satisfying ↑lim𝑛→∞ 𝜈𝑛𝑈 = 𝜈𝑈;
(2) 𝑡 ↦→ 𝑓 (𝜉𝑡 ) has left limits on (0, ∞) a.s. if and only if lim𝑛→∞ 𝜈𝑛 ( 𝑓 ) exists for all
𝜈𝑛 ∈ 𝑀 (𝐸) such that ↓lim𝑛→∞ 𝜈𝑛𝑈 exists in 𝑀 (𝐸);
(3) if 𝑡 ↦→ 𝑓 (𝜉𝑡 ) is quasi-left continuous, then lim𝑛→∞ 𝜈𝑛 ( 𝑓 ) = 𝜈( 𝑓 ) for all 𝜈𝑛 , 𝜈 ∈
𝑀 (𝐸) satisfying ↓lim𝑛→∞ 𝜈𝑛𝑈 = 𝜈𝑈.
A particularly important special case is where 𝐸 is a locally compact separable

metric space. In this case, its one-point compactification is metrizable. A normal
and conservative transition semigroup (𝑃𝑡 )𝑡 ≥0 on a locally compact separable metric
space 𝐸 is called a Feller semigroup provided:
(1) 𝑃𝑡 (𝐶0 (𝐸)) ⊂ 𝐶0 (𝐸) for all 𝑡 ≥ 0;

(2) 𝑃𝑡 𝑓 → 𝑓 pointwise as 𝑡 → 0 for all 𝑓 ∈ 𝐶0 (𝐸).
If (𝑃𝑡 )𝑡 ≥0 is a Feller semigroup, then 𝑃𝑡 𝑓 → 𝑓 uniformly as 𝑡 → 0 for all 𝑓 ∈ 𝐶0 (𝐸);

see Sharpe (1988, p. 50).
A.4 Ray–Knight Completion
We first assume that 𝐸 is a compact metrizable space. A Ray resolvent (𝑈 𝛼 ) 𝛼>0

on (𝐸, ℬ(𝐸)) is by definition a Markov resolvent such that 𝑈 𝛼 𝒞(𝐸) ⊂ 𝒞(𝐸) and
∪ 𝛼>0 𝒮˜ 𝛼 ∩ 𝒞(𝐸) separates the points of 𝐸, where 𝒮˜ 𝛼 is the class of 𝛼-supermedian
functions for (𝑈 𝛼 ) 𝛼>0 . It was proved in Getoor (1975, p. 9) that to every Ray
resolvent (𝑈 𝛼 ) 𝛼>0 there corresponds a unique Markov transition semigroup (𝑃𝑡 )𝑡 ≥0
on (𝐸, ℬ(𝐸)) such that 𝑡 ↦→ 𝑃𝑡 𝑓 (𝑥) is right continuous for 𝑥 ∈ 𝐸 and 𝑓 ∈ 𝒞(𝐸),
and
∫ ∞
𝛼
𝑈 𝑓 (𝑥) = e−𝛼𝑡 𝑃𝑡 𝑓 (𝑥)d𝑡, 𝛼 > 0, 𝑥 ∈ 𝐸, 𝑓 ∈ 𝒞(𝐸). (A.21)
0
The Markov transition semigroup (𝑃𝑡 )𝑡 ≥0 defined by (A.21) is called the Ray semi-
group associated with (𝑈 𝛼 ) 𝛼>0 . A Ray semigroup is not necessarily normal. The
set of branch points for (𝑃𝑡 )𝑡 ≥0 is 𝐵 := {𝑥 ∈ 𝐸 : 𝑃0 (𝑥, ·) ≠ 𝛿 𝑥 (·)} and the set of
non-branch points for (𝑃𝑡 )𝑡 ≥0 is 𝐷 := {𝑥 ∈ 𝐸 : 𝑃0 (𝑥, ·) = 𝛿 𝑥 (·)} = 𝐸 \ 𝐵.
Proposition A.23 (Sharpe, 1988, p. 44) Let (𝑃𝑡 )𝑡 ≥0 be a Ray semigroup on 𝐸 and
let 𝐵 and 𝐷 be defined as above. Then:
(1) for any {𝑔𝑛 } uniformly dense in 𝒞(𝐸) ∩ 𝒮˜ 1 we have 𝐵 = ∪𝑛 {𝑃0 𝑔𝑛 < 𝑔𝑛 };
(2) 𝐵 is an 𝐹𝜎 set in 𝐸 and hence 𝐵 ∈ ℬ(𝐸);
(3) for any 𝑡 ≥ 0 and 𝑥 ∈ 𝐸 the probability measure 𝑃𝑡 (𝑥, ·) is carried by 𝐷.
Theorem A.24 (Sharpe, 1988, p. 46) The restriction of (𝑃𝑡 )𝑡 ≥0 to 𝐷 is a right
semigroup which may be realized on the space Ω of right continuous maps of [0, ∞)
into 𝐷 having left limits in 𝐸.
Theorem A.25 (Sharpe, 1988, p. 49) Suppose that 𝐸 is a locally compact, non-
compact separable metric space and (𝑈 𝛼 ) 𝛼>0 is a Markov resolvent on (𝐸, ℬ(𝐸))
such that 𝑈 𝛼 (𝐶0 (𝐸)) ⊂ 𝐶0 (𝐸) for all 𝛼 > 0 and 𝛼𝑈 𝛼 𝑓 → 𝑓 pointwise as 𝛼 → ∞
for all 𝑓 ∈ 𝐶0 (𝐸). Then there is a right process 𝜉 with state space 𝐸 having resolvent
(𝑈 𝛼 ) 𝛼>0 such that:
(1) 𝜉 is quasi-left continuous;
(2) for all 𝑡 > 0 the set {𝜉 𝑠 (𝜔) : 0 ≤ 𝑠 ≤ 𝑡} a.s. has compact closure in 𝐸;
(3) a.s. the left limit 𝜉𝑡− := lim𝑠↑𝑡 𝜉 𝑠 exists in 𝐸 for all 𝑡 > 0.
Corollary A.26 A Feller semigroup has a realization as a Hunt process.
Now suppose we are given a general Radon topological space 𝐸 with a to-
tally bounded metric 𝑑 for its topology. Let (𝑈 𝛼 ) 𝛼>0 be a Markov resolvent on
(𝐸, ℬ𝑢 (𝐸)) satisfying
ℬ(𝐸) ⊂ 𝜎({𝑈 𝛼 𝑓 : 𝛼 > 0, 𝑓 ∈ 𝒞𝑢 (𝐸, 𝑑)}). (A.22)
If (𝑈 𝛼 ) satisfies (A.22), the family {𝑈 𝛼 𝑓 : 𝑓 ∈ 𝒞𝑢 (𝐸, 𝑑)} clearly separates the

points of 𝐸. The condition is satisfied if (𝑈 𝛼 ) is generated by a conservative right
semigroup. For, in this case, we have 𝛼𝑈 𝛼 𝑓 → 𝑓 pointwise as 𝛼 → ∞ for every
𝑓 ∈ 𝒞𝑢 (𝐸, 𝑑).
A set 𝒴 ⊂ pbℬ𝑢 (𝐸) is called a rational cone if it is closed under positive
rational linear combinations. For 𝒟 ⊂ pbℬ𝑢 (𝐸), we denote by 𝑞(𝒟) the rational
cone generated by 𝒟, that is, the smallest rational cone containing 𝒟. For a rational
cone 𝒴 ⊂ pbℬ𝑢 (𝐸), set 𝜆(𝒴) = { 𝑓1 ∧ · · · ∧ 𝑓𝑛 : 𝑛 ≥ 1, 𝑓𝑖 ∈ 𝒴} and 𝑢(𝒴) =
{𝑈 𝛼1 𝑓1 + · · · + 𝑈 𝛼𝑛 𝑓𝑛 : 𝑛 ≥ 1, 𝑓𝑖 ∈ 𝒴 and strictly positive rationals 𝛼𝑖 }. It is
obvious that 𝑢(𝒴) is a rational cone contained in the cone ∪ 𝛼>0 b𝒮˜ 𝛼 . That 𝜆(𝒴) is
also a rational cone comes from the trivial identities (∧𝑖 𝑎 𝑖 ) + 𝑏 = ∧𝑖 (𝑎 𝑖 + 𝑏) and
(∧𝑖 𝑎 𝑖 ) + (∧ 𝑗 𝑏 𝑗 ) = ∧𝑖, 𝑗 (𝑎 𝑖 + 𝑏 𝑗 ).
For a given function class 𝒟 ⊂ pbℬ𝑢 (𝐸), we set ℛ0 = 𝑢(𝑞(𝒟)) and set
ℛ𝑛 = 𝜆(ℛ𝑛−1 + 𝑢(ℛ𝑛−1 )) for 𝑛 ≥ 1 inductively, where ℛ𝑛−1 + 𝑢(ℛ𝑛−1 ) = { 𝑓 + 𝑔 :
𝑓 ∈ ℛ𝑛−1 and 𝑔 ∈ 𝑢(ℛ𝑛−1 )}. The set ℛ(𝒟) := ∪𝑛≥0 ℛ𝑛 is called the rational
A.4 Ray–Knight Completion 427
Ray cone generated by (𝑈 𝛼 ) 𝛼>0 and 𝒟; see Getoor (1975, p. 58) and Sharpe (1988,
p. 90). The rational Ray cone ℛ = ℛ(𝒟) generated by (𝑈 𝛼 ) 𝛼>0 and 𝒟 ⊂ pbℬ𝑢 (𝐸)
is the smallest rational cone contained in pbℬ𝑢 (𝐸) such that:
(1) 𝑈 𝛼 (ℛ) ⊂ ℛ for all rationals 𝛼 > 0;

(2) 𝑓 , 𝑔 ∈ ℛ implies 𝑓 ∧ 𝑔 ∈ ℛ;
(3) ℛ contains 𝑢(𝑞(𝒟)).
Clearly, for each 𝑓 ∈ ℛ(𝒟) there is a constant 𝛽 = 𝛽( 𝑓 ) > 0 such that 𝑓 is
a 𝛽-supermedian function for (𝑈 𝛼 ) 𝛼>0 . Furthermore, if (𝑈 𝛼 ) 𝛼>0 is the resolvent
associated with a conservative right semigroup (𝑃𝑡 )𝑡 ≥0 on (𝐸, 𝑑), for each 𝑓 ∈
ℛ(𝒟) there exists a 𝛽 = 𝛽( 𝑓 ) > 0 such that 𝑓 is 𝛽-excessive for (𝑃𝑡 )𝑡 ≥0 .
Proposition A.27 (Sharpe, 1988, p. 90) If 𝒟 is a countable uniformly dense subset

of p𝒞𝑢 (𝐸, 𝑑) and contains the constant function 1𝐸 , then the rational Ray cone
ℛ = ℛ(𝒟) is countable, contains the positive rational constant functions, and
separates the points of 𝐸.
In the remainder of this section, we assume 𝒟 ⊂ p𝒞𝑢 (𝐸, 𝑑) satisfies the condi-
tions of Proposition A.27. Recall that ∥ · ∥ denotes the supremum norm. We give the
rational Ray cone ℛ = ℛ(𝒟) an enumeration {𝑔0 , 𝑔1 , 𝑔2 , . . .} with 𝑔0 = 0. Clearly,
∞
∑︁ |𝑔𝑛 (𝑥) − 𝑔𝑛 (𝑦)|
𝜌(𝑥, 𝑦) = , 𝑥, 𝑦 ∈ 𝐸, (A.23)
𝑛=1
2𝑛 ∥𝑔𝑛 ∥
defines a metric 𝜌 on 𝐸, and each 𝑔𝑛 is 𝜌-uniformly continuous. Let ( 𝐸,¯ 𝜌)

¯ denote
the
Î∞ completion of (𝐸, 𝜌). Observe that the map 𝑥 →
↦ (𝑔 𝑛 (𝑥)) 𝑛≥1 of 𝐸 into 𝐾 :=
𝑛=1 [0, ∥𝑔 𝑛 ∥] with the metric 𝑞 defined by
∞
∑︁ |𝑎 𝑛 − 𝑏 𝑛 |
𝑞(𝑎, 𝑏) = , 𝑎, 𝑏 ∈ 𝐾,
𝑛=1
2𝑛 ∥𝑔𝑛 ∥
¯ 𝜌)
is an isometry. It follows that the completion ( 𝐸, ¯ is compact. The topology on 𝐸
induced by the metric 𝜌 is called the Ray topology of (𝑈 𝛼 ) 𝛼>0 .
Proposition A.28 (Sharpe, 1988, p. 91) Each function 𝑓 ∈ 𝒞𝑢 (𝐸, 𝜌) extends to a

unique 𝑓¯ ∈ 𝒞𝑢 ( 𝐸,¯ 𝜌).
¯ For each 𝛼 > 0, we have 𝑈 𝛼 (𝒞𝑢 (𝐸, 𝜌)) ⊂ 𝒞𝑢 (𝐸, 𝜌) and
𝑈 (𝒞𝑢 (𝐸, 𝑑)) ⊂ 𝒞𝑢 (𝐸, 𝜌), and 𝒞𝑢 (𝐸, 𝜌) is the uniform closure of ℛ − ℛ :=
𝛼
{ 𝑓 − 𝑔 : 𝑓 , 𝑔 ∈ ℛ}.
Proposition A.29 (Sharpe, 1988, p. 91) If 𝑈 𝛼 (𝒞𝑢 (𝐸, 𝑑)) ⊂ 𝒞𝑢 (𝐸, 𝑑) for all 𝛼 > 0,
then the Ray topology is coarser than the original topology.
Proposition A.30 (Sharpe, 1988, p. 92) Let ℬ𝑟 (𝐸) denote the 𝜎-algebra on 𝐸
generated by the Ray topology. Then ℬ(𝐸) ⊂ ℬ𝑟 (𝐸) ⊂ ℬ𝑢 (𝐸) and 𝑈 𝛼 ℬ𝑟 (𝐸) ⊂
ℬ𝑟 (𝐸) for every 𝛼 > 0.
¯ so (𝐸, 𝜌) is
Proposition A.31 (Sharpe, 1988, pp. 92–93) We have 𝐸 ∈ ℬ𝑢 ( 𝐸),
a Radon space. If (𝐸, 𝑑) is Lusin and if (𝑈 ) 𝛼>0 maps bℬ(𝐸) into itself, then
𝛼
ℬ(𝐸) = ℬ𝑟 (𝐸) and 𝐸 ∈ ℬ( 𝐸), ¯ so (𝐸, 𝜌) is a Lusin space.
For every 𝑓¯ ∈ 𝒞𝑢 ( 𝐸, ¯ we clearly have 𝑓 := 𝑓¯| 𝐸 ∈ 𝒞𝑢 (𝐸, 𝜌). Then 𝑈 𝛼 𝑓 ∈

¯ 𝜌)
𝒞𝑢 (𝐸, 𝜌) by Proposition A.28 and so 𝑈 𝛼 𝑓 extends continuously to some (𝑈 𝛼 𝑓 ) − ∈
¯ 𝜌).
𝒞𝑢 ( 𝐸, ¯ Define the operators (𝑈¯ 𝛼 ) 𝛼>0 on 𝒞𝑢 ( 𝐸,
¯ 𝜌)
¯ by
𝑈¯ 𝛼 𝑓¯ = (𝑈 𝛼 𝑓 ) − , 𝛼 > 0, 𝑓¯ ∈ 𝒞𝑢 ( 𝐸,
¯ 𝜌).
¯
By the Riesz representation theorem, there is a kernel 𝑈¯ 𝛼 on ( 𝐸,

¯ ℬ( 𝐸))
¯ such that
∫
𝑈¯ 𝛼 𝑓¯(𝑥) = 𝑓¯(𝑦)𝑈¯ 𝛼 (𝑥, d𝑦), 𝑥 ∈ 𝐸,
¯ 𝑓¯ ∈ 𝒞𝑢 ( 𝐸,
¯ 𝜌).
¯
𝐸¯
A continuity argument shows that (𝑈¯ 𝛼 ) 𝛼>0 satisfies the resolvent equation (A.6).
Theorem A.32 (Sharpe, 1988, p. 93) For 𝛼 > 0 and 𝑥 ∈ 𝐸 the measure 𝑈¯ 𝛼 (𝑥, ·)
¯ and its restriction to 𝐸 is 𝑈 𝛼 (𝑥, ·). Moreover, the family
is carried by 𝐸 ∈ ℬ𝑢 ( 𝐸)
¯
(𝑈 ) 𝛼>0 is a Ray resolvent on the space 𝐸.
𝛼 ¯
We call (𝑈¯ 𝛼 ) 𝛼>0 the Ray extension of (𝑈 𝛼 ) 𝛼>0 . The space ( 𝐸, ¯ 𝜌)

¯ constructed
above is called the Ray–Knight completion of (𝐸, 𝜌) with respect to (𝑈 𝛼 ) 𝛼>0 .
It depends not only on 𝐸, 𝑑 and (𝑈 𝛼 ) 𝛼>0 but also on the choice of the family
𝒟 ⊂ p𝒞𝑢 (𝐸, 𝑑). If (𝑈 𝛼 ) 𝛼>0 is the resolvent associated with a conservative right
semigroup (𝑃𝑡 )𝑡 ≥0 , we also call ( 𝐸, ¯ 𝜌)
¯ the Ray–Knight completion of (𝐸, 𝜌) with
respect to (𝑃𝑡 )𝑡 ≥0 . In this case, the Ray semigroup ( 𝑃¯𝑡 )𝑡 ≥0 associated with (𝑈¯ 𝛼 ) 𝛼 ≥0
is called the Ray extension of (𝑃𝑡 )𝑡 ≥0 .
Theorem A.33 (Sharpe, 1988, p. 94) Let (𝑃𝑡 )𝑡 ≥0 be a conservative right semigroup
on 𝐸. Then there is a realization 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) of (𝑃𝑡 )𝑡 ≥0 which is a right
process in both (𝐸, 𝑑) and (𝐸, 𝜌) and the left limit 𝜉𝑡− := lim𝑠↑𝑡 𝜉 𝑠 taken in the Ray
topology exists in 𝐸¯ for all 𝑡 > 0.
Theorem A.34 Suppose that (𝑃𝑡 )𝑡 ≥0 is a conservative Borel right semigroup on a

Lusin topological space 𝐸. Then every right continuous realization of (𝑃𝑡 )𝑡 ≥0 with
the augmented natural 𝜎-algebras is a right process. In particular, the semigroup
can be realized canonically on the space of right continuous paths from [0, ∞) to 𝐸.
Proof Let 𝜉 be a right process with semigroup (𝑃𝑡 )𝑡 ≥0 . Then each 𝑓 ∈ 𝒮 𝛼 is a

nearly Borel function of 𝜉 relative to the Ray topology; see Sharpe (1988, p. 95). By
Proposition A.31, we have ℬ(𝐸) = ℬ𝑟 (𝐸), so each 𝑓 ∈ 𝒮 𝛼 is nearly Borel in the
original topology. Then the result follows by Sharpe (1988, p. 98). □
If (𝑃𝑡 )𝑡 ≥0 is a right semigroup on (𝐸, 𝑑) not necessarily conservative, the associ-

ated resolvent (𝑈 𝛼 ) 𝛼>0 is not necessarily Markov. In this case, we let 𝐸˜ = 𝐸 ∪{𝜕} for
an abstract point 𝜕 ∉ 𝐸. Let ( 𝐸, ˜ 𝑑)˜ be a topological extension of (𝐸, 𝑑) with 𝜕 being
an isolated point and let ( 𝑃˜𝑡 )𝑡 ≥0 denote the conservative extension of (𝑃𝑡 )𝑡 ≥0 on 𝐸˜
A.5 Entrance Space and Entrance Laws 429
with 𝜕 being a cemetery. Let (𝑈˜ 𝛼 ) 𝛼>0 denote the resolvent associated with ( 𝑃˜𝑡 )𝑡 ≥0 .
˜ which is a count-
Let ℛ̃ be the rational Ray cone for (𝑈˜ 𝛼 ) 𝛼>0 constructed from 𝒟,
˜ ˜
able uniformly dense subset of p𝒞𝑢 ( 𝐸, 𝑑) and contains the constant function 1𝐸˜ .
¯ 𝜌,
Let ( 𝐸, ¯ 𝑈¯ 𝛼 , 𝑃¯𝑡 ) be the corresponding Ray–Knight completion of ( 𝐸, ˜ 𝑈˜ 𝛼 , 𝑃˜𝑡 ).
˜ 𝑑,
Proposition A.35 In the situation described above, if there are constants 𝛼 > 0 and
¯
𝜀 > 0 such that 𝑈 𝛼 1𝐸 (𝑥) ≥ 𝜀 for all 𝑥 ∈ 𝐸, then 𝜕 is an isolated point of 𝐸.
Proof Since 𝒟 ˜ is uniformly dense in p𝒞𝑢 ( 𝐸, ˜ there is a function 𝑔˜ ∈ 𝒟

˜ 𝑑), ˜ such
that 𝑔(𝜕)
˜ ˜
< 𝛼𝜀/2 and 𝑔(𝑥) ≥ 1 for every 𝑥 ∈ 𝐸. Fix a rational 𝛽 ∈ (𝛼/2, 𝛼). Then
𝑓˜ := 𝑈˜ 𝛽 𝑔˜ ∈ ℛ̃ by the construction of ℛ̃. Since 𝜕 is a cemetery for ( 𝑃˜𝑡 )𝑡 ≥0 , we
have 𝑓˜(𝜕) = 𝛽−1 𝑔(𝜕)˜ < 𝜀. However, for every 𝑥 ∈ 𝐸 we have 𝑓˜(𝑥) = 𝑈˜ 𝛽 𝑔(𝑥)˜ ≥
𝛼 ¯
𝑈 1𝐸 (𝑥) ≥ 𝜀. Let 𝑓 be the unique continuous extension of 𝑓˜ to 𝐸. ¯ It follows that
𝑓¯(𝑥) ≥ 𝜀 for every 𝑥 ∈ 𝐸¯ \ {𝜕}. Then the point 𝜕 must be isolated in 𝐸.
¯ □
By Proposition A.35, if (𝑃𝑡 )𝑡 ≥0 is a conservative right semigroup, then 𝜕 is an

¯ In that case, the topology of 𝐸 inherited from 𝐸¯ coincides with
isolated point of 𝐸.
its Ray topology defined directly by (𝑃𝑡 )𝑡 ≥0 . In the general case, we also call the
inherited topology of 𝐸 the Ray topology of (𝑃𝑡 )𝑡 ≥0 .
A.5 Entrance Space and Entrance Laws
Let 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) be a right process on the Radon topological space 𝐸

with transition semigroup (𝑃𝑡 )𝑡 ≥0 and resolvent (𝑈 𝛼 ) 𝛼>0 . We first assume (𝑃𝑡 )𝑡 ≥0
is conservative. Let 𝑑 be a metric for the topology of 𝐸 such that the 𝑑-completion
of 𝐸 is compact. Let ( 𝐸, ¯ 𝜌, ¯ 𝑈¯ 𝛼 ) be a Ray–Knight completion of (𝐸, 𝑑, 𝑈 𝛼 ) and let
( 𝑃¯𝑡 )𝑡 ≥0 be the Ray extension of (𝑃𝑡 )𝑡 ≥0 . Set 𝐸 𝑅 = {𝑥 ∈ 𝐸¯ : 𝑈¯ 1 (𝑥, ·) is carried by
𝐸 }, which is called the Ray space for 𝜉 or (𝑃𝑡 )𝑡 ≥0 . It was proved in Sharpe (1988,
p. 191) that 𝐸 𝑅 ∈ ℬ𝑢 ( 𝐸)¯ is a Radon topological space and 𝐸 ⊂ 𝐸 𝑅 . By the resolvent
equation we have 𝐸 𝑅 = {𝑥 ∈ 𝐸¯ : 𝑈¯ 𝛼 (𝑥, ·) is carried by 𝐸 } for each 𝛼 > 0.
Theorem A.36 (Sharpe, 1988, p. 191) Let ( 𝐸¯ 1 , 𝜌¯ 1 , 𝑈¯ 1𝛼 ) and ( 𝐸¯ 2 , 𝜌¯ 2 , 𝑈¯ 2𝛼 ) be Ray–

Knight completions of (𝐸, 𝑑1 , 𝑈 𝛼 ) and (𝐸, 𝑑2 , 𝑈 𝛼 ) respectively, where 𝑑1 and 𝑑2 are
totally bounded metrics for the original topology of 𝐸. Then the corresponding Ray
spaces 𝐸 𝑅1 and 𝐸 𝑅2 are homeomorphic under a mapping 𝜓 : 𝐸 𝑅1 → 𝐸 𝑅2 satisfying
𝑈¯ 1𝛼 (𝑥, 𝐵) = 𝑈¯ 2𝛼 (𝜓(𝑥), 𝐵) for all 𝛼 > 0 and 𝐵 ∈ ℬ(𝐸).
Therefore, the Ray space 𝐸 𝑅 together with the resolvent (𝑈¯ 𝛼 ) 𝛼>0 restricted to
𝐸 𝑅 is uniquely determined, up to homeomorphism, by the original topology on 𝐸
and (𝑈 𝛼 ) 𝛼>0 . This makes the Ray space a natural object. Let 𝐷 denote the set of
¯ and let 𝐸 𝐷 = 𝐷 ∩ 𝐸 𝑅 = {𝑥 ∈ 𝐸 𝑅 : 𝑃¯0 (𝑥, ·) =
non-branch points of ( 𝑃¯𝑡 )𝑡 ≥0 on 𝐸,
¯ we have
𝛿 𝑥 (·)} which is called the entrance space for (𝑃𝑡 )𝑡 ≥0 . Since 𝐷 ∈ ℬ( 𝐸),
𝐸 𝐷 ∈ ℬ(𝐸 𝑅 , 𝜌).
Proposition A.37 (Sharpe, 1988, pp. 192–193) We have:

(1) For 𝑥 ∈ 𝐸 𝑅 and 𝑡 > 0, 𝑃¯𝑡 (𝑥, ·) is carried by 𝐸.
(2) For 𝑥 ∈ 𝐸 𝑅 , 𝑃¯0 (𝑥, ·) is carried by 𝐸 𝐷 .
(3) For 𝑥 ∈ 𝐵, 𝑃¯0 (𝑥, ·) is not concentrated at any point of 𝐸.
¯
The restriction (𝑄 𝑡 )𝑡 ≥0 of ( 𝑃¯𝑡 )𝑡 ≥0 to (𝐸 𝐷 , 𝜌) is a right semigroup, and 𝐸 𝐷 \ 𝐸

is quasi-polar for any realization 𝑌 of (𝑄 𝑡 )𝑡 ≥0 as a right process, that is, for every
initial law 𝜇 on (𝐸 𝐷 , 𝜌) the Q 𝜇 -outer measure of {𝜔 : 𝑌𝑡 (𝜔) ∈ 𝐸 for all 𝑡 > 0} is
equal to one; see Sharpe (1988, p. 193). The following theorem gives a complete
characterization of probability entrance laws for a conservative right semigroup.
Theorem A.38 (Sharpe, 1988, p. 196) For every probability entrance law (𝜂𝑡 )𝑡 >0
for (𝑃𝑡 )𝑡 ≥0 on 𝐸, there is a unique probability measure 𝜂0 on ℬ𝑢 (𝐸 𝐷 , 𝜌) such that
𝜂𝑡 = 𝜂0 𝑃¯𝑡 for every 𝑡 > 0.
Corollary A.39 If 𝐸 is a locally compact separable metric space and (𝑃𝑡 )𝑡 ≥0 is a

Feller semigroup on 𝐸, then all probability entrance laws for (𝑃𝑡 )𝑡 ≥0 are closable.
Proof We assume 𝐸 is not compact, for otherwise the proof is easier. Let 𝐸¯ = 𝐸 ∪{𝜕}
be a one-point compactification of 𝐸. Then 𝐸¯ is compact and separable, so it is
metrizable. Let 𝑑¯ be a metric on 𝐸¯ compatible with its topology and let 𝑑 be the
restriction of 𝑑¯ to 𝐸. It is easy to see that the Ray–Knight completion of 𝐸 given
by 𝑑 and (𝑃𝑡 )𝑡 ≥0 coincides with 𝐸¯ and the entrance space is just 𝐸. Then the result
follows from Theorem A.38. □
In the remainder of this section, let 𝐸 be a Lusin topological space and consider
a Borel right semigroup (𝑃𝑡 )𝑡 ≥0 on 𝐸, which is not necessarily conservative. Let
𝐸 𝜕 = 𝐸 ∪ {𝜕} be the topological extension of 𝐸 with 𝜕 being an isolated point. Let
Ω̂ be the space of paths 𝑤 : R → 𝐸 𝜕 such that 𝑡 ↦→ 𝑤 𝑡 takes values in 𝐸 and is right
continuous in a nonvoid interval (𝛼(𝑤), 𝛽(𝑤)) or [𝛼(𝑤), 𝛽(𝑤)) ⊂ R and takes the
value 𝜕 elsewhere. Let (ℱ 0 , ℱ𝑡0 )𝑡 ∈R be the natural 𝜎-algebras on Ω̂ generated by
the coordinate process. For 𝑠 ∈ [−∞, ∞) let Ω̂𝑠 = {𝑤 ∈ Ω̂ : 𝛼(𝑤) = 𝑠}.
Theorem A.40 (Dellacherie et al., 1992; Getoor and Glover, 1987) For an entrance
rule (𝜂𝑡 )𝑡 ∈R for (𝑃𝑡 )𝑡 ≥0 there exists a Radon measure 𝜌(d𝑠) on R and a countable
set 𝑇 ⊂ R such that
∫ ∑︁
−∞
𝜂𝑡 = 𝜈𝑡 + 𝜈𝑡𝑠 𝜌(d𝑠) + 𝜇𝑡𝑠 , 𝑡 ∈ R, (A.24)
(−∞,𝑡) 𝑠 ∈𝑇∩(−∞,𝑡 ]
where (𝜈𝑡𝑠 )𝑡 >𝑠 is an entrance law at 𝑠 ∈ [−∞, ∞) and (𝜇𝑡𝑠 )𝑡 ≥𝑠 is a closed entrance
law at 𝑠 ∈ 𝑇.
Proof In the special case where (𝜂𝑡 )𝑡 ∈R is a regular entrance rule, the representation
(A.24) with 𝑇 = ∅ was established in Theorem 2.33 of Getoor and Glover (1987,
p. 57). In the general case, since 𝑠 ↦→ 𝜂 𝑠 𝑃𝑡−𝑠 is increasing, we have
A.5 Entrance Space and Entrance Laws 431
𝜂ˆ𝑡 := lim 𝜂 𝑠 𝑃𝑡−𝑠 = sup 𝜂 𝑠 𝑃𝑡−𝑠 ≤ 𝜂𝑡 .

𝑠↑𝑡 𝑠<𝑡
Observe that, for any 𝑟 < 𝑡 ∈ R,
𝜂ˆ𝑟 𝑃𝑡−𝑟 = sup 𝜂 𝑠 𝑃𝑟−𝑠 𝑃𝑡−𝑟 = sup 𝜂 𝑠 𝑃𝑡−𝑠 ≤ 𝜂ˆ𝑡 ,

𝑠<𝑟 𝑠<𝑟
and
lim 𝜂ˆ𝑟 𝑃𝑡−𝑟 = lim sup 𝜂 𝑠 𝑃𝑡−𝑠 = sup 𝜂 𝑠 𝑃𝑡−𝑠 = 𝜂ˆ𝑡 .

𝑟 ↑𝑡 𝑟 ↑𝑡 𝑠<𝑟 𝑠<𝑡
Then ( 𝜂ˆ𝑡 )𝑡 ∈R is a regular entrance rule. By Theorem 2.33 in Getoor and Glover
(1987, p. 57), there is a Radon measure 𝜆(d𝑠) on R such that
∫
−∞
𝜂ˆ𝑡 = 𝜈𝑡 + 𝛾𝑡𝑠 𝜆(d𝑠), 𝑡 ∈ R, (A.25)
(−∞,𝑡)
where (𝜈𝑡−∞ )𝑡 >𝑠 is an entrance law at −∞ and (𝛾𝑡𝑠 )𝑡 >𝑠 is an entrance law at 𝑠 ∈
(−∞, ∞). For 𝑟 < 𝑡 ∈ R we have
∫ ∫
𝜂ˆ𝑟 𝑃𝑡−𝑟 = 𝜈𝑟−∞ 𝑃𝑡−𝑟 + 𝛾𝑟𝑠 𝑃𝑡−𝑟 𝜆(d𝑠) = 𝜈𝑡−∞ + 𝛾𝑡𝑠 𝜆(d𝑠)
(−∞,𝑟) (−∞,𝑟)
and decreasingly
∫ ∫
lim 𝜂ˆ𝑣 𝑃𝑡−𝑣 = 𝜈𝑡−∞ + lim 𝛾𝑡𝑠 𝜆(d𝑠) = 𝜈𝑡−∞ + 𝛾𝑡𝑠 𝜆(d𝑠).
𝑣↓𝑟 𝑣↓𝑟 (−∞,𝑣) (−∞,𝑟 ]
By the definition of ( 𝜂ˆ𝑡 )𝑡 ∈R we see that
lim 𝜂ˆ𝑣 𝑃𝑡−𝑣 = lim lim 𝜂 𝑠 𝑃𝑣−𝑠 𝑃𝑡−𝑣 = lim lim 𝜂 𝑠 𝑃𝑡−𝑠 = lim 𝜂 𝑣 𝑃𝑡−𝑣 .
𝑣↓𝑟 𝑣↓𝑟 𝑠↑𝑣 𝑣↓𝑟 𝑠↑𝑣 𝑣↓𝑟
It follows that
𝜆({𝑟})𝛾𝑟 ,𝑡 = lim 𝜂ˆ𝑣 𝑃𝑡−𝑣 − 𝜂ˆ𝑟 𝑃𝑡−𝑟 = 𝜅 𝑡𝑟 + (𝜂𝑟 − 𝜂ˆ𝑟 )𝑃𝑡−𝑟 , (A.26)
𝑣↓𝑟
where
𝜅 𝑡𝑟 = lim 𝜂 𝑣 𝑃𝑡−𝑣 − 𝜂𝑟 𝑃𝑡−𝑟 = lim (𝜂 𝑣 − 𝜂𝑟 𝑃𝑣−𝑟 )𝑃𝑡−𝑣 .

𝑣↓𝑟 𝑣↓𝑟
It is easy to show that (𝜅 𝑡𝑟 )𝑡 >𝑟 is an entrance law. The Radon measure 𝜆(d𝑠) in (A.25)
can be decomposed into
∑︁
𝜆(d𝑠) = 𝑚(d𝑠) + 𝜆({𝑟 })𝛿𝑟 (d𝑠),
𝑟 ∈𝑇
where 𝑚(d𝑠) is a diffuse Radon measure on R and 𝑇 = {𝑟 ∈ R : 𝜆({𝑟 }) > 0} is a set

at most countable. From (A.26) we see that 𝜂𝑟 > 𝜂ˆ𝑟 implies 𝑟 ∈ 𝑇. It follows that
∫ ∑︁
𝜂𝑡 = (𝜂𝑡 − 𝜂ˆ𝑡 ) + 𝜈𝑡−∞ + 𝛾𝑡𝑠 𝑚(d𝑠) + 𝜆({𝑟 })𝛾𝑡𝑟
(−∞,𝑡) 𝑟 ∈𝑇∩(−∞,𝑡)
∫ ∑︁ ∑︁
= 𝜈𝑡−∞ + 𝛾𝑡𝑠 𝑚(d𝑠) + 𝜅 𝑡𝑟 + 𝜇𝑟𝑡 ,
(−∞,𝑡) 𝑟 ∈𝑇∩(−∞,𝑡) 𝑟 ∈𝑇∩(−∞,𝑡 ]
where 𝜇𝑟𝑡 = (𝜂𝑟 − 𝜂ˆ𝑟 )𝑃𝑡−𝑟 . Then by setting

∑︁
𝜈𝑡𝑠 = 1𝑇 𝑐 (𝑠)𝛾𝑡𝑠 + 1𝑇 (𝑠)𝜅 𝑡𝑠 and 𝜌(d𝑠) = 𝑚(d𝑠) + 𝛿𝑟 (d𝑠)
𝑟 ∈𝑇
we obtain (A.24). □
Theorem A.41 (Dellacherie et al., 1992; Getoor and Glover, 1987) To an entrance
rule (𝜂𝑡 )𝑡 ∈R for (𝑃𝑡 )𝑡 ≥0 there corresponds a unique 𝜎-finite measure Q 𝜂 on ( Ω̂, ℱ 0 )
such that
Q 𝜂 {𝑤 𝑡1 ∈ d𝑥 1 , 𝑤 𝑡2 ∈ d𝑥2 , . . . , 𝑤 𝑡𝑛 ∈ d𝑥 𝑛 }
= 𝜂𝑡1 (d𝑥1 )𝑃𝑡2 −𝑡1 (𝑥1 , d𝑥 2 ) · · · 𝑃𝑡𝑛 −𝑡𝑛−1 (𝑥 𝑛−1 , d𝑥 𝑛 ) (A.27)
for all {𝑡1 < · · · < 𝑡 𝑛 } ⊂ R and {𝑥1 , . . . , 𝑥 𝑛 } ⊂ 𝐸.
The measure Q 𝜂 defined by (A.27) is called the Kuznetsov measure corresponding

to the entrance rule (𝜂𝑡 )𝑡 ∈R . The property roughly means that {𝑤 𝑡 : 𝑡 ∈ R} is a
Markov process under Q 𝜂 with transition semigroup (𝑃𝑡 )𝑡 ≥0 and one-dimensional
distributions (𝜂𝑡 )𝑡 ∈R . The existence of this type of measure was first studied by
Kuznetsov (1973). By Theorem A.40 we can assume (𝜂𝑡 )𝑡 ∈R is given by (A.24). From
the closed entrance law (𝜇𝑡𝑠 )𝑡 ≥𝑠 at 𝑠 ∈ 𝑇 it is easy to construct the corresponding
Kuznetsov measure P𝑠 carried by {𝑤 ∈ Ω̂𝑠 : 𝑤 𝑠 ∈ 𝐸 }. In fact, we have P𝑠 (𝑤 𝑠 ∈
d𝑥) = 𝜇 𝑠𝑠 (d𝑥) for 𝑥 ∈ 𝐸. By Proposition 3.5 in Getoor and Glover (1987, p. 61), the
Kuznetsov measure Q−∞ of the entrance law (𝜈𝑡−∞ )𝑡 >−∞ at −∞ is carried by Ω̂−∞
and the Kuznetsov measure Q𝑠 of the entrance law (𝜈𝑡𝑠 )𝑡 >𝑠 at 𝑠 ∈ R is carried by
{𝑤 ∈ Ω̂𝑠 : 𝑤 𝑠 = 𝜕}. A representation of the measure Q 𝜂 is given by
∫ ∑︁
Q 𝜂 (d𝑤) = Q−∞ (d𝑤) + Q𝑠 (d𝑤) 𝜌(d𝑠) + P𝑠 (d𝑤). (A.28)
R 𝑠 ∈𝑇
We refer to Dellacherie et al. (1992) and Getoor (1990) for the theory of Kuznetsov
measures.
Example A.2 Let (𝑃𝑡 )𝑡 ≥0 be the transition semigroup of the absorbing-barrier Brow-
nian motion in (0, ∞). For any 𝑡 > 0 the kernel 𝑃𝑡 (𝑥, d𝑦) has density
𝑝 𝑡 (𝑥, 𝑦) = 𝑔𝑡 (𝑥 − 𝑦) − 𝑔𝑡 (𝑥 + 𝑦), 𝑥, 𝑦 > 0, (A.29)

A.6 Concatenations and Weak Generators 433
where
1
𝑔𝑡 (𝑧) = √ exp{−𝑧 2 /2𝑡}, 𝑡 > 0, 𝑧 ∈ R. (A.30)
2𝜋𝑡
We can define an entrance law (𝜅 𝑡 )𝑡 >0 for (𝑃𝑡 )𝑡 ≥0 by
2 ∞
∫
d
𝜅𝑡 ( 𝑓 ) = 𝑦𝑔𝑡 (𝑦) 𝑓 (𝑦)d𝑦 = 𝑃𝑡 𝑓 (0+), 𝑓 ∈ bℬ(0, ∞). (A.31)
𝑡 0 d𝑥
The corresponding Kuznetsov measure n(d𝑤) is called Itô’s excursion law, which is
carried by the set of positive continuous paths {𝑤 𝑡 : 𝑡 > 0} such that 𝑤 0+ = 𝑤 𝑡 = 0
for every 𝑡 ≥ 𝜏0 (𝑤) := inf{𝑠 > 0 : 𝑤 𝑠 = 0}; see, e.g., Ikeda and Watanabe (1989,
p. 124).
A.6 Concatenations and Weak Generators
Suppose that 𝐸 is a Lusin topological space and (𝑃𝑡 )𝑡 ≥0 is a Borel right semigroup
on this space. We consider a right process 𝜉 = (Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , 𝜃 𝑡 , P 𝑥 ) with transition
semigroup (𝑃𝑡 )𝑡 ≥0 . Let (ℱ, ℱ𝑡 ) be the augmentations of the ℬ(𝐸)-natural 𝜎-
algebras (ℱ 0 , ℱ𝑡0 ) generated by {𝜉𝑡 : 𝑡 ≥ 0}. A right continuous (ℱ𝑡 )-adapted
increasing process {𝐾 (𝑡) : 𝑡 ≥ 0} is called an additive functional of 𝜉 if 𝐾0 = 0 and
for every bounded (ℱ𝑡 )-stopping time 𝑇 we have a.s.
𝐾𝑇+𝑡 = 𝐾𝑇 + 𝐾𝑡 ◦ 𝜃 𝑇 , 𝑡 ≥ 0. (A.32)
Here the lifetime does not enter the formulation. Therefore, an additive functional
of a process with possibly finite lifetime is simply an additive functional of its
conservative extension in 𝐸 ∪ {𝜕} with 𝜕 being an isolated cemetery. Clearly, an
additive functional {𝐾 (𝑡) : 𝑡 ≥ 0} defines a 𝜎-finite random measure 𝐾 (d𝑠) on
[0, ∞). For any 𝛽 ∈ bℬ(𝐸) write
∫
𝐾𝑡 (𝛽) = 𝛽(𝜉 𝑠 )𝐾 (d𝑠), 𝑡 ≥ 0.
[0,𝑡 ]
We say a real or complex function (𝑡, 𝑥) ↦→ 𝑓 (𝑡, 𝑥) defined on the product space
[0, ∞) × 𝐸 is locally bounded provided
sup sup | 𝑓 (𝑠, 𝑥)| < ∞, 𝑡 ≥ 0.

0≤𝑠 ≤𝑡 𝑥 ∈𝐸
A real or complex stochastic process (𝑋𝑡 )𝑡 ≥0 is said to be locally bounded if (𝑡, 𝜔) ↦→

𝑋𝑡 (𝜔) is a locally bounded function on [0, ∞) × Ω.
Given an additive functional {𝐾 (𝑡) : 𝑡 ≥ 0}, we denote by bℰ(𝐾) the set of
functions 𝛽 ∈ bℬ(𝐸) such that 𝑡 ↦→ e−𝐾𝑡 (𝛽) is a locally bounded stochastic process.
Note that bℰ(𝐾) ⊃ pbℬ(𝐸). We say an additive functional {𝐾 (𝑡) : 𝑡 ≥ 0} is
admissible if each 𝜔 ↦→ 𝐾𝑡 (𝜔) is measurable with respect to the natural 𝜎-algebra

ℱ 0 and

𝑘 (𝑡) := sup P 𝑥 𝐾 (𝑡) → 0, 𝑡 → 0. (A.33)
𝑥 ∈𝐸
In this case, the map (𝑡, 𝜔) ↦→ 𝐾𝑡 (𝜔) is measurable with respect to the product
𝜎-algebra ℬ[0, ∞) × ℱ 0 on [0, ∞) × Ω.
In the sequel, we assume {𝐾 (𝑡) : 𝑡 ≥ 0} is a continuous admissible additive
functional of 𝜉. Let 𝑏 ∈ bℰ(𝐾) and let 𝛾(𝑥, d𝑦) be a bounded Borel kernel on 𝐸.
For 𝑓 ∈ bℬ(𝐸) we consider the linear evolution equation
∫ 𝑡
𝑞 𝑡 (𝑥) = P 𝑥 e−𝐾𝑡 (𝑏) 𝑓 (𝜉𝑡 ) + P 𝑥 e−𝐾𝑠 (𝑏) 𝛾(𝜉 𝑠 , 𝑞 𝑡−𝑠 )𝐾 (d𝑠) , (A.34)

0
where 𝑡 ≥ 0 and 𝑥 ∈ 𝐸. Recall that ∥ · ∥ denotes the supremum norm.
Proposition A.42 For every 𝑓 ∈ bℬ(𝐸) there is a unique locally bounded Borel
function (𝑡, 𝑥) ↦→ 𝑞 𝑡 (𝑥) on [0, ∞) × 𝐸 solving (A.34), which is given by
∫ 𝑡
𝑞𝑡 ( 𝑥) = P 𝑥 e−𝐾𝑡 (𝑏) 𝑓 ( 𝜉𝑡 ) + P 𝑥 e−𝐾𝑠1 (𝑏) 𝐾 (d𝑠1 )P 𝜇𝑠1 𝑓 ( 𝜉𝑡−𝑠1 )

0
∞
∑︁ ∫ 𝑡 ∫ 𝑡−𝜎1
−𝐾𝑠1 (𝑏)
+ P𝑥 e 𝐾 (d𝑠1 )P 𝜇𝑠1 e−𝐾𝑠2 (𝑏) 𝐾 (d𝑠2 ) · · ·
𝑖=2 ∫ 0 0

𝑡−𝜎𝑖−1
e−𝐾𝑠𝑖 (𝑏) 𝐾 (d𝑠𝑖 )P 𝜇𝑠𝑖 e−𝐾𝑡−𝜎𝑖 (𝑏) 𝑓 ( 𝜉𝑡−𝜎𝑖 ) · · · ,

P 𝜇𝑠𝑖−1
0
Í𝑖
where 𝜎𝑖 = 𝑗=1 𝑠 𝑗 and 𝜇 𝑠 = 𝛾(𝜉 𝑠 , ·). Moreover, the operators 𝜋𝑡 : 𝑓 ↦→ 𝑞 𝑡 form a
locally bounded semigroup (𝜋𝑡 )𝑡 ≥0 .
Proof For 𝑟 ≥ 0 it is not hard to see that (𝑡, 𝑥) ↦→ 𝑞 𝑡 (𝑥) satisfies (A.34) for 𝑡 ≥ 0 if
and only if it satisfies the equation for 0 ≤ 𝑡 ≤ 𝑟 and (𝑡, 𝑥) ↦→ 𝑞 𝑟+𝑡 (𝑥) satisfies
∫ 𝑡
𝑞𝑟+𝑡 ( 𝑥) = P 𝑥 e−𝐾𝑡 (𝑏) 𝑞𝑟 ( 𝜉𝑡 ) + P 𝑥 e−𝐾𝑠 (𝑏) 𝛾 ( 𝜉𝑠 , 𝑞𝑟+𝑡−𝑠 ) 𝐾 (d𝑠)

(A.35)
0
for 𝑡 ≥ 0. Let 𝑡 ↦→ 𝑙 (𝑡) be an increasing deterministic function such that

e−𝐾𝑡 (𝑏) ≤ 𝑙 (𝑡) for all 𝑡 ≥ 0. Fix a constant 𝛿 > 0 such that 𝑘 (𝛿)𝑙 (𝛿) ∥𝛾(·, 1) ∥ < 1.
Observe that the 𝑖-th term of the series in the definition of 𝑞 𝑡 (𝑥) is bounded by
𝑘 (𝑡) 𝑖 𝑙 (𝑡) 𝑖 ∥𝛾(·, 1) ∥ 𝑖 ∥ 𝑓 ∥. Then the series converges uniformly on [0, 𝛿] × 𝐸. Since
each 𝜔 ↦→ 𝐾𝑡 (𝜔) is measurable with respect to the natural 𝜎-algebra, it is easy
to see that (𝑡, 𝑥) ↦→ 𝑞 𝑡 (𝑥) is jointly measurable and satisfies (A.34) on [0, 𝛿] × 𝐸.
By the relation of (A.34) and (A.35) we can extend (𝑡, 𝑥) ↦→ 𝑞 𝑡 (𝑥) to a solution
of (A.34) on [0, ∞) × 𝐸. Moreover, the operator 𝑓 ↦→ 𝑞 𝑡 determines a bounded
Borel kernel 𝜋𝑡 (𝑥, d𝑦) on 𝐸 and (𝜋𝑡 )𝑡 ≥0 form a locally bounded semigroup. To show
the uniqueness of the solution of (A.34), suppose that (𝑡, 𝑥) ↦→ 𝑣 𝑡 (𝑥) is a locally
bounded solution of (A.34) with 𝑣 0 (𝑥) ≡ 0. It is easily seen that
∫ 𝑡
∥𝑣 𝑡 ∥ ≤ 𝑙 (𝑡) ∥𝛾(·, 1) ∥ sup P 𝑥 ∥𝑣 𝑡−𝑠 ∥𝐾 (d𝑠) ,
𝑥 ∈𝐸 0
and hence
sup ∥𝑣 𝑠 ∥ ≤ 𝑘 (𝑡)𝑙 (𝑡) ∥𝛾(·, 1) ∥ sup ∥𝑣 𝑠 ∥

0≤𝑠 ≤𝑡 0≤𝑠 ≤𝑡
for every 𝑡 ≥ 0. Then we must have ∥𝑣 𝑡 ∥ = 0 for 0 ≤ 𝑡 ≤ 𝛿. Using the above

procedure and the relation of (A.34) and (A.35) successively we get ∥𝑣 𝑡 ∥ = 0 for all
𝑡 ≥ 0. Since (A.34) is a linear equation, this gives the uniqueness of the solution. □
Proposition A.43 Let 𝑓 ∈ bℬ(𝐸) and let (𝑡, 𝑥) ↦→ 𝜋𝑡 𝑓 (𝑥) be defined by (A.34).
Then 𝑡 ↦→ 𝜋𝑡 𝑓 (𝑥) is right continuous pointwise on 𝐸 if and only if so is 𝑡 ↦→ 𝑃𝑡 𝑓 (𝑥).
Proof Clearly, the second term on the right-hand side of (A.34) tends to zero as
𝑡 → 0. Moreover, by (A.33) we have
lim P 𝑥 [(1 − e−𝐾𝑡 (𝑏) ) 𝑓 (𝜉𝑡 )] ≤ lim ∥ 𝑓 ∥P 𝑥 |1 − e−𝐾𝑡 (𝑏) | = 0.

𝑡→0 𝑡→0
It follows that
lim 𝜋𝑡 𝑓 (𝑥) = lim P 𝑥 e−𝐾𝑡 (𝑏) 𝑓 (𝜉𝑡 ) = lim 𝑃𝑡 𝑓 (𝑥),

𝑡→0 𝑡→0 𝑡→0
which means if one of the limits exists, so do the other two and the equalities hold.
Then we get the result by the semigroup properties of (𝑃𝑡 )𝑡 ≥0 and (𝜋𝑡 )𝑡 ≥0 . □
Now suppose that 𝑏(𝑥) ≥ 𝛾(𝑥, 1) for every 𝑥 ∈ 𝐸. Let (𝜋𝑡 )𝑡 ≥0 be defined by
(A.34). Since (𝑃𝑡 )𝑡 ≥0 is not conservative in general, we can only understand 𝜉 =
(Ω, 𝒢, 𝒢𝑡 , 𝜉𝑡 , P 𝑥 ) as a right process in the extended state space 𝐸 ∪ {𝜕} with 𝜕 being
an isolated cemetery. Let 𝐸¯ be a Ray–Knight completion of 𝐸 ∪{𝜕} relative to 𝜉. Then
Proposition A.31 implies 𝐸 ∈ ℬ( 𝐸). ¯ By Theorem A.33 we have P 𝑥 {the left limit
𝜉𝑡− := lim𝑠↑𝑡 𝜉 𝑠 taken in the Ray topology exists in 𝐸¯ for all 𝑡 > 0} = 1. Let 𝛾(𝑥, ˆ d𝑦)
be a sub-Markov kernel on 𝐸 satisfying 𝛾(𝑥, d𝑦) = 𝑏(𝑥) 𝛾(𝑥, ˆ d𝑦). We extend 𝛾(𝑥, ˆ d𝑦)
to a Markov kernel from 𝐸 to 𝐸¯ by setting 𝛾(𝑥, ˆ {𝜕}) = 1 − 𝛾(𝑥, ˆ 𝐸). Fix 𝑥0 ∈ 𝐸 and
let 𝑏(𝑥) = 𝑏(𝑥0 ) and 𝛾(𝑥, ˆ ·) = 𝛾(𝑥 ˆ 𝒢ˆ 𝑡 , 𝜉ˆ𝑡 , P̂ 𝑥 ) be the
ˆ 0 , ·) for 𝑥 ∈ 𝐸¯ \ 𝐸. Let 𝜉ˆ = (Ω, 𝒢,
subprocess with lifetime 𝜁 constructed from 𝜉 and the strictly positive multiplicative
functional 𝑡 ↦→ exp{−𝐾𝑡 (𝑏)}. Then 𝜉ˆ is also a right process; see Sharpe (1988,
p. 287). Let 𝜉˜ = ( Ω̃, 𝒢, ˜ 𝒢˜ 𝑡 , 𝜉˜𝑡 , P̃ 𝑥 ) be the concatenation defined from an infinite
sequence of copies of 𝜉ˆ and the transfer kernel 𝜂(𝜔, d𝑦) := 𝛾(𝜉 ˆ 𝜁 ( 𝜔)− (𝜔), d𝑦) as in
Sharpe (1988, p. 79 and p. 82). The intuitive idea of this concatenation is described
as follows. The process 𝜉˜ evolves as 𝜉 until time 𝜁, it is then revived by means of the
kernel 𝜂, and evolves again as 𝜉 and so on. It is known that 𝜉˜ is also a right process;
see Sharpe (1988, pp. 82–83). Suppose that every 𝑓 ∈ bℬ(𝐸) is extended trivially
to 𝐸¯ \ 𝐸. Then we have the renewal equation
P̃ 𝑥 [ 𝑓 ( 𝜉˜𝑡 )] = P 𝑥 [1 {𝑡 <𝜁 ( 𝜔) } 𝑓 (𝜉𝑡 (𝜔))] + P 𝑥 [1 {𝜁 ( 𝜔) ≤𝑡 } P̃ 𝜂 ( 𝜔,·) [ 𝑓 ( 𝜉˜𝑡−𝜁 ( 𝜔) ( 𝜔))]],

˜
where the expectations of 𝜉˜𝑡 or 𝜔˜ are taken with respect to P̃ 𝑥 or P̃ 𝜂 ( 𝜔,·) and those
of 𝜔 are taken with respect to P 𝑥 . By Sharpe (1988, p. 210), we have P 𝑥 {the path
𝑡 ↦→ 𝜉𝑡 has at most countably many jumps} = 1. Let ( 𝑃˜𝑡 )𝑡 ≥0 denote the transition
semigroup of 𝜉.˜ The above equation can be rewritten as
∫ 𝑡
˜ −𝐾𝑡 (𝑏) ˜ −𝐾𝑠 (𝑏)

𝑃𝑡 𝑓 (𝑥) = P 𝑥 𝑓 (𝜉𝑡 )e + P𝑥 𝛾ˆ 𝑃𝑡−𝑠 𝑓 (𝜉 𝑠 )e 𝑏(𝜉 𝑠 )𝐾 (d𝑠) .
0
Then (𝑡, 𝑥) ↦→ 𝑃˜𝑡 𝑓 (𝑥) is a solution of (A.34). Since the processes 𝜉 and 𝜉˜ coincide
during the time interval [0, 𝜁), they induce identical fine topologies on 𝐸.
Theorem A.44 If 𝑏(𝑥) ≥ 𝛾(𝑥, 1) for every 𝑥 ∈ 𝐸, then the semigroup (𝜋𝑡 )𝑡 ≥0 defined
by (A.34) is a right semigroup which induces the same fine topology on 𝐸 as (𝑃𝑡 )𝑡 ≥0 .
Moreover, if (𝑃𝑡 )𝑡 ≥0 has a Hunt realization, so does the semigroup (𝜋𝑡 )𝑡 ≥0 .
Proof The first assertion follows from the arguments given above and the unique-
ness of the solution of (A.34). Since the decreasing multiplicative functional
𝑡 ↦→ exp{−𝐾𝑡 (𝑏)} is continuous, the lifetime 𝜁 of the subprocess 𝜉ˆ is totally in-
accessible; see Sharpe (1988, pp. 392–393). Then 𝜉˜ is a Hunt process if so is 𝜉. This
proves the second assertion. □
Let (𝑈 𝛼 ) 𝛼>0 be the resolvent of the process 𝜉. We denote by b𝒞 𝜉 (𝐸) the set
of functions 𝑓 ∈ bℬ(𝐸) that are finely continuous relative to 𝜉. By Theorem A.20
the function 𝑡 ↦→ 𝑃𝑡 𝑓 (𝑥) is right continuous pointwise for every 𝑓 ∈ b𝒞 𝜉 (𝐸). By
Theorems A.16 and A.20 we have b𝒞 𝜉 (𝐸) ⊃ 𝑈 𝛼 bℬ(𝐸) for every 𝛼 > 0.
Lemma A.45 The set of functions 𝑈 𝛽 b𝒞 𝜉 (𝐸) is independent of 𝛽 > 0. Moreover, if

𝑔1 , 𝑔2 ∈ b𝒞 𝜉 (𝐸) and 𝑈 𝛽 𝑔1 = 𝑈 𝛽 𝑔2 for some 𝛽 > 0, then 𝑔1 = 𝑔2 .
Proof Let us consider two constants 𝛼, 𝛽 > 0. If 𝑓 ∈ 𝑈 𝛽 b𝒞 𝜉 (𝐸), we have 𝑓 = 𝑈 𝛽 𝑔

for some 𝑔 ∈ b𝒞 𝜉 (𝐸). Then the resolvent equation implies that
𝑓 = 𝑈 𝛼 𝑔 − (𝛽 − 𝛼)𝑈 𝛼𝑈 𝛽 𝑔 = 𝑈 𝛼 ℎ,
where ℎ = 𝑔 − (𝛽 − 𝛼)𝑈 𝛽 𝑔 ∈ b𝒞 𝜉 (𝐸). It follows that 𝑈 𝛽 b𝒞 𝜉 (𝐸) ⊂ 𝑈 𝛼 b𝒞 𝜉 (𝐸).

By symmetry we have 𝑈 𝛼 b𝒞 𝜉 (𝐸) ⊂ 𝑈 𝛽 b𝒞 𝜉 (𝐸). This proves the first assertion.
Suppose that 𝑔1 , 𝑔2 ∈ b𝒞 𝜉 (𝐸) and 𝑈 𝛽 𝑔1 = 𝑈 𝛽 𝑔2 for some 𝛽 > 0. By the resol-
vent equation we have 𝑈 𝛼 𝑔1 = 𝑈 𝛼 𝑔2 for every 𝛼 > 0. Since 𝑡 ↦→ 𝑃𝑡 𝑔1 (𝑥) and
𝑡 ↦→ 𝑃𝑡 𝑔2 (𝑥) are right continuous, we have 𝑔1 = 𝑔2 by the uniqueness of Laplace
transforms. □
Fix 𝛽 > 0 and let 𝒟( 𝐴) = 𝑈 𝛽 b𝒞 𝜉 (𝐸). For 𝑓 = 𝑈 𝛽 𝑔 ∈ 𝒟( 𝐴) with 𝑔 ∈ b𝒞 𝜉 (𝐸)

set 𝐴 𝑓 = 𝛽 𝑓 − 𝑔, which is well-defined by Lemma A.45. We call ( 𝐴, 𝒟( 𝐴)) the
weak generator of (𝑃𝑡 )𝑡 ≥0 . By the resolvent equation of (𝑈 𝛼 ) 𝛼>0 it is easy to show
that ( 𝐴, 𝒟( 𝐴)) is independent of the choice of 𝛽 > 0. Clearly, for every 𝑓 ∈ 𝒟( 𝐴)
we have 𝑓 ∈ b𝒞 𝜉 (𝐸) and 𝐴 𝑓 ∈ b𝒞 𝜉 (𝐸).
Following Ethier and Kurtz (1986), we also define a multi-valued version of

˜ = 𝑈 𝛽 bℬ(𝐸) and for any 𝑓 ∈ 𝒟( 𝐴)
the weak generator as follows. Let 𝒟( 𝐴) ˜ let
˜ ˜ ˜
𝐴 𝑓 = {𝛽 𝑓 − 𝑔 : 𝑔 ∈ bℬ(𝐸) and 𝑈 𝑔 = 𝑓 }. It is easy to show that ( 𝐴, 𝒟( 𝐴)) is
𝛽
also independent of the choice of 𝛽 > 0. In particular, for any 𝑓 ∈ 𝒟( 𝐴) we have

𝐴 𝑓 ∈ 𝐴˜ 𝑓 .
Proposition A.46 Let 𝛼 > 0. Then 𝑈 𝛼 (𝛼 − 𝐴) 𝑓 = 𝑓 for every 𝑓 ∈ 𝒟( 𝐴) and

(𝛼 − 𝐴)𝑈 𝛼 𝑓 = 𝑓 for every 𝑓 ∈ b𝒞 𝜉 (𝐸).
Proof For any 𝑓 ∈ 𝒟( 𝐴) there is a 𝑔 ∈ b𝒞 𝜉 (𝐸) such that 𝑓 = 𝑈 𝛽 𝑔. Then the

definition of 𝐴 𝑓 and the resolvent equation yields
𝑈 𝛼 (𝛼 − 𝐴) 𝑓 = 𝑈 𝛼 (𝛼 𝑓 − 𝛽 𝑓 + 𝑔) = (𝛼 − 𝛽)𝑈 𝛼𝑈 𝛽 𝑔 + 𝑈 𝛼 𝑔 = 𝑈 𝛽 𝑔 = 𝑓 ,
giving the first assertion. For any 𝑓 ∈ b𝒞 𝜉 (𝐸) we first use the resolvent equation to
see
𝑈 𝛼 𝑓 = 𝑈 𝛽 𝑓 + (𝛽 − 𝛼)𝑈 𝛽 𝑈 𝛼 𝑓 = 𝑈 𝛽 ℎ,
where ℎ = 𝑓 + (𝛽 − 𝛼)𝑈 𝛼 𝑓 . Therefore
(𝛼 − 𝐴)𝑈 𝛼 𝑓 = 𝛼𝑈 𝛼 𝑓 − 𝐴𝑈 𝛽 ℎ = 𝛼𝑈 𝛼 𝑓 − 𝛽𝑈 𝛽 ℎ + ℎ = 𝑓 .
This gives the second assertion. □
Theorem A.47 Let ( 𝐴, 𝒟( 𝐴)) be the weak generator of (𝑃𝑡 )𝑡 ≥0 . Then for 𝑓 ∈ 𝒟( 𝐴)
we have
∫ 𝑡
𝑃𝑡 𝑓 (𝑥) = 𝑓 (𝑥) + 𝑃𝑠 𝐴 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (A.36)
0
Proof Suppose that 𝑓 = 𝑈 𝛽 𝑔 for 𝑔 ∈ b𝒞 𝜉 (𝐸). Then 𝑈 𝛼 𝐴 𝑓 = 𝛼𝑈 𝛼 𝑓 − 𝑓 for 𝛼 > 0

by Proposition A.46. Using this relation it is easy to show
∫ ∞ ∫ ∞ ∫ 𝑡
1
e−𝛼𝑡 (𝑃𝑡 𝑓 − 𝑓 )d𝑡 = 𝑈 𝛼 𝐴 𝑓 = e−𝛼𝑡 d𝑡 𝑃𝑠 𝐴 𝑓 d𝑠.
0 𝛼 0 0
Since 𝑓 is finely continuous relative to 𝜉, the function 𝑡 ↦→ 𝑃𝑡 𝑓 (𝑥) is right continuous

for every 𝑥 ∈ 𝐸. Then (A.36) follows by the uniqueness of Laplace transforms. □
Corollary A.48 Let ( 𝐴, 𝒟( 𝐴)) be the weak generator of (𝑃𝑡 )𝑡 ≥0 . Then for 𝑓 ∈ 𝒟( 𝐴)
we have
1
𝐴 𝑓 (𝑥) = lim 𝑃𝑡 𝑓 (𝑥) − 𝑓 (𝑥) , 𝑥 ∈ 𝐸. (A.37)
𝑡→0 𝑡
Proof Since 𝐴 𝑓 ∈ b𝒞 𝜉 (𝐸), the function 𝑠 ↦→ 𝑃𝑠 𝐴 𝑓 (𝑥) is right continuous point-

wise. Then we get (A.37) from (A.36). □
In the remainder of this section we consider the semigroup (𝜋𝑡 )𝑡 ≥0 defined by

(A.34) in the special case with 𝐾 (d𝑠) = d𝑠 being the Lebesgue measure. Given
a function 𝑏 ∈ bℬ(𝐸), we define a locally bounded semigroup of Borel kernels
(𝑃𝑡𝑏 )𝑡 ≥0 on 𝐸 by the following Feynman–Kac formula:
h ∫𝑡 i
𝑃𝑡𝑏 𝑓 (𝑥) = P 𝑥 e− 0 𝑏 ( 𝜉𝑠 )d𝑠 𝑓 (𝜉𝑡 ) , 𝑥 ∈ 𝐸, 𝑓 ∈ bℬ(𝐸). (A.38)
Then we can rewrite (A.34) as

∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡𝑏 𝑓 (𝑥) + 𝑏
𝑃𝑡−𝑠 𝛾𝜋 𝑠 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (A.39)
0
Lemma A.49 (Gronwall’s inequality) Suppose that 𝑡 ↦→ 𝑔(𝑡) ≥ 0 and 𝑡 ↦→ ℎ(𝑡) are
integrable functions on the interval [0, 𝑇]. If there is a constant 𝐶 > 0 such that
∫ 𝑡
𝑔(𝑡) ≤ ℎ(𝑡) + 𝐶 𝑔(𝑠)d𝑠, 0 ≤ 𝑡 ≤ 𝑇, (A.40)
0
then
∫ 𝑡
𝑔(𝑡) ≤ ℎ(𝑡) + 𝐶 e𝐶 (𝑡−𝑠) ℎ(𝑠)d𝑠, 0 ≤ 𝑡 ≤ 𝑇. (A.41)
0
Proof Let 𝑓 (𝑡) denote the right-hand side of (A.41). By integration by parts,
∫ 𝑡 ∫ 𝑡 ∫ 𝑡 ∫ 𝑢
𝑓 (𝑠)d𝑠 = ℎ(𝑠)d𝑠 + 𝐶 e𝐶𝑢 e−𝐶𝑠 ℎ(𝑠)d𝑠 d𝑢
0 ∫0 𝑡 0∫ 0 ∫ 𝑡
𝑡
𝐶𝑡 −𝐶𝑠
= ℎ(𝑠)d𝑠 + e e ℎ(𝑠)d𝑠 − ℎ(𝑠)d𝑠
∫0 𝑡 0 0
= e𝐶 (𝑡−𝑠) ℎ(𝑠)d𝑠.
0
It follows that
∫ 𝑡
𝑓 (𝑡) = ℎ(𝑡) + 𝐶 𝑓 (𝑠)d𝑠, 0 ≤ 𝑡 ≤ 𝑇. (A.42)
0
Let Δ(𝑡) = 𝑓 (𝑡) − 𝑔(𝑡). From (A.40) and (A.42) we have

∫ 𝑡 ∫ 𝑡 ∫ 𝑠 ∫ 𝑡
2 2
Δ(𝑡) ≥ 𝐶 Δ(𝑠)d𝑠 ≥ 𝐶 d𝑠 Δ(𝑟)d𝑟 = 𝐶 (𝑡 − 𝑟)Δ(𝑟)d𝑟
∫0 𝑡 ∫ 𝑟 0 0
3 ∫ 𝑡 0
𝐶
≥ 𝐶3 (𝑡 − 𝑟)d𝑟 Δ(𝑠)d𝑠 = (𝑡 − 𝑠) 2 Δ(𝑠)d𝑠
0 0 2 0
≥ ··· ∫ 𝑡
𝐶𝑛
≥ (𝑡 − 𝑠) 𝑛−1 Δ(𝑠)d𝑠.
(𝑛 − 1)! 0
The right-hand side goes to zero as 𝑛 → ∞. Then Δ(𝑡) ≥ 0 and (A.41) follows. □
Proposition A.50 Let (𝑃𝑡𝑎 )𝑡 ≥0 be defined by (A.38) with 𝑏 replaced by 𝑎 ∈ bℬ(𝐸).

Then for any 𝑓 ∈ bℬ(𝐸) the solution to (A.39) is also the unique locally bounded
solution to
∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡𝑎 𝑓 (𝑥) + 𝑎
𝑃𝑡−𝑠 (𝛾 + 𝑎 − 𝑏)𝜋 𝑠 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 . (A.43)
0
Proof Let (𝑡, 𝑥) ↦→ 𝜋𝑡 𝑓 (𝑥) be the unique locally bounded solution of (A.39). We
can use the Markov property of 𝜉 and Fubini’s theorem to write
∫ 𝑡 ∫
d𝑠 [𝑎(𝑦) − 𝑏(𝑦)]𝑃𝑠𝑏 𝑓 (𝑦)𝑃𝑡−𝑠 𝑎
(𝑥, d𝑦)
0 𝐸
∫ 𝑡 n ∫
𝑡−𝑠 ∫𝑠 o
= P 𝑥 e− 0 𝑎 ( 𝜉𝑢 )d𝑢 [𝑎(𝜉𝑡−𝑠 ) − 𝑏(𝜉𝑡−𝑠 )]P 𝜉𝑡−𝑠 e− 0 𝑏 ( 𝜉𝑢 )d𝑢 𝑓 (𝜉 𝑠 ) d𝑠
∫0 𝑡 n ∫ ∫𝑡 o
𝑡−𝑠
= P 𝑥 e− 0 𝑎 ( 𝜉𝑢 )d𝑢 [𝑎(𝜉𝑡−𝑠 ) − 𝑏(𝜉𝑡−𝑠 )]e− 𝑡−𝑠 𝑏 ( 𝜉𝑢 )d𝑢 𝑓 (𝜉𝑡 ) d𝑠
0 ∫ 𝑡
∫𝑡 ∫𝑡
− 0 𝑎 ( 𝜉𝑢 )d𝑢 [𝑎 ( 𝜉𝑢 )−𝑏 ( 𝜉𝑢 ) ]d𝑢
= P𝑥 e 𝑓 (𝜉𝑡 ) [𝑎(𝜉𝑡−𝑠 ) − 𝑏(𝜉𝑡−𝑠 )]e 𝑡−𝑠 d𝑠
n ∫𝑡 ∫𝑡 0 o
= P 𝑥 e− 0 𝑎 ( 𝜉𝑢 )d𝑢 e 0 [𝑎 ( 𝜉𝑢 )−𝑏 ( 𝜉𝑢 ) ]d𝑢 − 1 𝑓 (𝜉𝑡 )

= 𝑃𝑡𝑏 𝑓 (𝑥) − 𝑃𝑡𝑎 𝑓 (𝑥).
By similar calculations,
∫ 𝑡 ∫ ∫ 𝑠
𝑏 𝑎
d𝑠 [𝑎(𝑦) − 𝑏(𝑦)] 𝑃𝑠−𝑟 𝛾𝜋𝑟 𝑓 (𝑦)d𝑟 𝑃𝑡−𝑠 (𝑥, d𝑦)
0 𝐸
∫ 𝑡 ∫ 𝑠 n ∫ 0
𝑡−𝑠
= d𝑠 P 𝑥 e− 0 𝑎 ( 𝜉𝑢 )d𝑢 [𝑎(𝜉𝑡−𝑠 )
0 0
∫ 𝑠−𝑟 o
− 𝑏(𝜉𝑡−𝑠 )]P 𝜉𝑡−𝑠 e− 0 𝑏 ( 𝜉𝑢 )d𝑢 𝛾𝜋𝑟 𝑓 (𝜉 𝑠−𝑟 ) d𝑟
∫ 𝑡 ∫ 𝑠 h ∫
𝑡−𝑠
0 0 ∫ 𝑡−𝑟 i
− 𝑏(𝜉𝑡−𝑠 )]e− 𝑡−𝑠 𝑏 ( 𝜉𝑢 )d𝑢 𝛾𝜋𝑟 𝑓 (𝜉𝑡−𝑟 ) d𝑟
∫ 𝑡 ∫ 𝑠 h ∫
𝑡−𝑟
0 0 ∫ 𝑡−𝑟 i
− 𝑏(𝜉𝑡−𝑠 )]e 𝑡−𝑠 [𝑎 ( 𝜉𝑢 )−𝑏 ( 𝜉𝑢 ) ]d𝑢 𝛾𝜋𝑟 𝑓 (𝜉𝑡−𝑟 ) d𝑟
∫ 𝑡 ∫ ∫ 𝑡
𝑡−𝑟
− 0 𝑎 ( 𝜉𝑢 )d𝑢
= P𝑥 e 𝛾𝜋𝑟 𝑓 (𝜉𝑡−𝑟 )d𝑟 [𝑎(𝜉𝑡−𝑠 )
0 𝑟
∫ 𝑡−𝑟
[𝑎 ( 𝜉 )−𝑏 ( 𝜉 ) ]d𝑢
− 𝑏(𝜉𝑡−𝑠 )]e 𝑡−𝑠 𝑢 𝑢
d𝑠
∫ 𝑡 ∫
𝑡−𝑟 ∫ 𝑡−𝑟
e− 0 𝑎 ( 𝜉𝑢 )d𝑢 𝛾𝜋𝑟 𝑓 (𝜉𝑡−𝑟 ) e 0 [𝑎 ( 𝜉𝑢 )−𝑏 ( 𝜉𝑢 ) ]d𝑢 − 1 d𝑟

= P𝑥
∫ 𝑡 0 ∫ 𝑡
𝑏 𝑎
= 𝑃𝑡−𝑟 𝛾𝜋𝑟 𝑓 (𝑥)d𝑟 − 𝑃𝑡−𝑟 𝛾𝜋𝑟 𝑓 (𝑥)d𝑟.
0 0
Then we can add up the two equations and use (A.39) to get (A.43). The uniqueness
of the locally bounded solution of (A.43) is a standard application of Gronwall’s
inequality. □
Corollary A.51 Let (𝑃𝑡𝑏 )𝑡 ≥0 be defined by (A.38). Then for any 𝑓 ∈ bℬ(𝐸), (𝑡, 𝑥) ↦→
𝑃𝑡𝑏 𝑓 (𝑥) is the unique locally bounded solution to
∫ 𝑡
𝑏
𝑃𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) − 𝑃𝑡−𝑠 (𝑏𝑃𝑠𝑏 ) 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 .
0
𝛾
Let (𝑃𝑡 )𝑡 ≥0 be the locally bounded semigroup of kernels defined by (A.38) with
𝑏 replaced by 𝛾(·, 1). By Theorem A.44 we can define a Borel right semigroup
( 𝑃˜𝑡 )𝑡 ≥0 on 𝐸 by the unique locally bounded solution to
∫ 𝑡 ∫
𝑃˜𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + 𝛾(𝑦, 𝑃˜ 𝑠 𝑓 )𝑃𝑡−𝑠 (𝑥, d𝑦),
𝛾 𝛾
d𝑠 (A.44)
0 𝐸
where 𝑥 ∈ 𝐸 and 𝑓 ∈ bℬ(𝐸).
Proposition A.52 Let (𝜋𝑡 )𝑡 ≥0 and ( 𝑃˜𝑡 )𝑡 ≥0 be the semigroups defined by (A.39) and
(A.44), respectively. Then we have
∫ 𝑡 ∫
𝜋𝑡 𝑓 (𝑥) = 𝑃˜𝑡 𝑓 (𝑥) + d𝑠 [𝛾(𝑦, 1) − 𝑏(𝑦)]𝜋 𝑠 𝑓 (𝑦) 𝑃˜𝑡−𝑠 (𝑥, d𝑦). (A.45)
0 𝐸
Proof Let 𝛽(𝑥) = 𝛾(𝑥, 1) − 𝑏(𝑥). By Proposition A.50 we can rewrite (A.39)
equivalently as
∫ 𝑡 ∫
𝛾 𝛾
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) + d𝑠 [𝛾(𝑦, 𝜋 𝑠 𝑓 ) + 𝛽(𝑦)𝜋 𝑠 𝑓 (𝑦)]𝑃𝑡−𝑠 (𝑥, d𝑦). (A.46)
0 𝐸
From (A.44) and (A.46) it follows that

∫ 𝑡 ∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = 𝑃˜𝑡 𝑓 (𝑥) + 𝑃𝑡−𝑠 𝛾(𝜋 𝑠 𝑓 − 𝑃˜ 𝑠 𝑓 ) (𝑥)d𝑠.
𝛾 𝛾
𝑃𝑡−𝑠 (𝛽𝜋 𝑠 𝑓 ) (𝑥)d𝑠 +
0 0
Using the above relation successively we have

∫ 𝑡
˜
𝜋𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) +
𝛾
𝑃𝑡−𝑠1 (𝛽𝜋 𝑠1 𝑓 ) (𝑥)d𝑠1
0
∫ 𝑡 ∫ 𝑠1
𝛾 𝛾
+ d𝑠1 𝑃𝑡−𝑠1 𝛾𝑃𝑠1 −𝑠2 (𝛽𝜋 𝑠2 𝑓 ) (𝑥)d𝑠2
0 0
∫ 𝑡 ∫ 𝑠1
𝑃𝑡−𝑠1 𝛾𝑃𝑠1 −𝑠2 𝛾(𝜋 𝑠2 𝑓 − 𝑃˜ 𝑠2 𝑓 ) (𝑥)d𝑠2
𝛾 𝛾
+ d𝑠1
0 0
∫ 𝑡 ∫ 𝑡 ∫ 𝑠1
= 𝑃˜𝑡 𝑓 (𝑥) +
𝛾 𝛾 𝛾
𝑃𝑡−𝑠1 (𝛽𝜋 𝑠1 𝑓 ) (𝑥)d𝑠1 + d𝑠1 𝑃𝑡−𝑠1 𝛾𝑃𝑠1 −𝑠2 (𝛽𝜋 𝑠2 𝑓 ) (𝑥)d𝑠2
0 0 0
𝑛 ∫
∑︁ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑖−1
𝛾 𝛾 𝛾
+ d𝑠1 ··· 𝑃𝑡−𝑠1 𝛾𝑃𝑠1 −𝑠2 · · · 𝛾𝑃𝑠𝑖−1 −𝑠𝑖 (𝛽𝜋 𝑠𝑖 𝑓 ) (𝑥)d𝑠𝑖
𝑖=3 0 0 0
+ 𝜀 𝑛 (𝑡, 𝑥), (A.47)
where
∫ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑛−1
𝑃𝑡−𝑠1 𝛾𝑃𝑠1 −𝑠2 · · · 𝛾𝑃𝑠𝑛−1 −𝑠𝑛 𝛾(𝜋 𝑠𝑛 𝑓 − 𝑃˜ 𝑠𝑛 𝑓 ) (𝑥)d𝑠 𝑛 .
𝛾 𝛾 𝛾
𝜀 𝑛 (𝑡, 𝑥) = d𝑠1 ···
0 0 0
Let 𝑡 ↦→ 𝐶 (𝑡, 𝑓 ) be a locally bounded positive function on [0, ∞) so that

∥𝜋𝑡 𝑓 − 𝑃˜𝑡 𝑓 ∥ ≤ 𝐶 (𝑡, 𝑓 ). Then we get
∫ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑛−1
∥𝜀 𝑛 (𝑡, ·) ∥ ≤ 𝐶 (𝑡, 𝑓 ) ∥𝛾(·, 1) ∥ 𝑛 d𝑠1 d𝑠2 · · · d𝑠 𝑛
0 0 0
𝑛
𝑛𝑡
≤ 𝐶 (𝑡, 𝑓 ) ∥𝛾(·, 1) ∥ .
𝑛!
By Proposition A.42, the unique solution of (A.44) is given by
∞ ∫
∑︁ 𝑡 ∫ 𝑠1 ∫ 𝑠𝑖−1
𝑃˜𝑡 𝑓 (𝑥) = 𝑃𝑡 𝑓 (𝑥) +
𝛾 𝛾 𝛾 𝛾
d𝑠1 d𝑠2 · · · 𝑃𝑡−𝑠1 𝛾𝑃𝑠1 −𝑠2 · · · 𝛾𝑃𝑠𝑖 𝑓 (𝑥)d𝑠𝑖 .
𝑖=1 0 0 0
Then letting 𝑛 → ∞ in (A.47) we obtain (A.45). □
Theorem A.53 Let 𝑐 0 = sup 𝑥 ∈𝐸 [𝛾(𝑥, 1) − 𝑏(𝑥)]. Then (e−𝑐0 𝑡 𝜋𝑡 )𝑡 ≥0 is a Borel right
semigroup on 𝐸.
Proof Let 𝜉˜ = ( Ω̃, ℱ̃, ℱ̃𝑡 , 𝜉˜𝑡 , P̃ 𝑥 ) be a right process with transition semigroup
( 𝑃˜𝑡 )𝑡 ≥0 . From Corollary A.51 and Proposition A.52 it follows that
∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = P̃ 𝑥 𝑓 ( 𝜉˜𝑡 ) exp [𝛾( 𝜉˜𝑠 , 1) − 𝑏( 𝜉˜𝑠 )]d𝑠 .
0
Therefore (e−𝑐0 𝑡 𝜋𝑡 )𝑡 ≥0 is the transition semigroup of a subprocess of 𝜉˜ generated by

the decreasing multiplicative functional
∫ 𝑡
𝑡 ↦→ 𝑚 𝑡 := exp − 𝑐 0 𝑡 + ˜ ˜
[𝛾( 𝜉 𝑠 , 1) − 𝑏( 𝜉 𝑠 )]d𝑠 .
0
Then it is a Borel right semigroup; see Sharpe (1988, p. 287). □

We next prove some analytic properties of the semigroup (𝜋𝑡 )𝑡 ≥0 defined by

(A.39). By Theorem A.53 we have ∥𝜋𝑡 ∥ ≤ e𝑐0 𝑡 for 𝑡 ≥ 0. Then we can define the
operators (𝑅 𝛼 ) 𝛼>𝑐0 on bℬ(𝐸) by
∫ ∞
𝛼
𝑅 𝑓 (𝑥) = e−𝛼𝑡 𝜋𝑡 𝑓 (𝑥)d𝑡, 𝑥 ∈ 𝐸, 𝑓 ∈ bℬ(𝐸). (A.48)
0
Proposition A.54 For every 𝛼 > 𝑐 0 and 𝑓 ∈ bℬ(𝐸) we have
𝑅 𝛼 𝑓 (𝑥) = 𝑈 𝛼 𝑓 (𝑥) + 𝑈 𝛼 (𝛾 − 𝑏)𝑅 𝛼 𝑓 (𝑥), 𝑥 ∈ 𝐸.
Proof By taking the Laplace transforms of both sides of (A.43) with 𝑎 = 0 we have
∫ ∞ ∫ 𝑡
𝑅 𝛼 𝑓 (𝑥) = 𝑈 𝛼 𝑓 (𝑥) + e−𝛼𝑡 d𝑡 𝑃𝑡−𝑠 (𝛾 − 𝑏)𝜋 𝑠 𝑓 (𝑥)d𝑠
∫0 ∞ ∫ ∞ 0
= 𝑈 𝛼 𝑓 (𝑥) + d𝑠 e−𝛼𝑡 𝑃𝑡−𝑠 (𝛾 − 𝑏)𝜋 𝑠 𝑓 (𝑥)d𝑡
∫0 ∞ 𝑠
= 𝑈 𝛼 𝑓 (𝑥) + e−𝛼𝑠 𝑈 𝛼 (𝛾 − 𝑏)𝜋 𝑠 𝑓 (𝑥)d𝑠

0
= 𝑈 𝛼 𝑓 (𝑥) + 𝑈 𝛼 (𝛾 − 𝑏)𝑅 𝛼 𝑓 (𝑥).
This proves the desired equation. □
˜ 𝛼 𝑓 for 𝛼 > 0 and

Proposition A.55 Let 𝑓 ∈ bℬ(𝐸). Then we have 𝑓 ∈ (𝛼 − 𝐴)𝑈
𝑓 ∈ (𝛼 − 𝐴˜ − 𝛾 + 𝑏)𝑅 𝑓 for 𝛼 > 𝑐 0 .
𝛼
Proof Let ℎ = 𝑓 +(𝛽−𝛼)𝑈 𝛼 𝑓 . By the resolvent equation we have 𝑈 𝛼 𝑓 = 𝑈 𝛽 ℎ. Then

the definition of 𝐴˜ implies 𝑓 = (𝛼 − 𝛽)𝑈 𝛼 𝑓 + ℎ ∈ {𝛼𝑈 𝛼 𝑓 − 𝛽𝑈 𝛼 𝑓 + 𝑔 : 𝑔 ∈ bℬ(𝐸)
˜ 𝛼 𝑓 , which gives the first assertion. For 𝛼 > 𝑐 0 we get
and 𝑈 𝛽 𝑔 = 𝑈 𝛼 𝑓 } = (𝛼 − 𝐴)𝑈
from Proposition A.54 that
(𝛼 − 𝐴˜ − 𝛾 + 𝑏)𝑅 𝛼 𝑓 = (𝛼 − 𝐴)𝑅
˜ 𝛼 𝑓 − (𝛾 − 𝑏)𝑅 𝛼 𝑓
˜ 𝛼 [ 𝑓 + (𝛾 − 𝑏)𝑅 𝛼 𝑓 ] − (𝛾 − 𝑏)𝑅 𝛼 𝑓 .
= (𝛼 − 𝐴)𝑈
By the first assertion, the set represented by the first term on the right-hand side
includes 𝑓 + (𝛾 − 𝑏)𝑅 𝛼 𝑓 . Then (𝛼 − 𝐴˜ − 𝛾 + 𝑏)𝑅 𝛼 𝑓 includes 𝑓 , proving the second
assertion. □
Lemma A.56 Let 𝛼 > 𝑐 1 := ∥𝛾−𝑏∥ and 𝑓 ∈ 𝒟( 𝐴). ˜

˜ Then for any ℎ ∈ (𝛼− 𝐴−𝛾+𝑏) 𝑓
we have ∥ℎ∥ ≥ (𝛼 − 𝑐 1 ) ∥ 𝑓 ∥.
Proof For ℎ ∈ (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓 we have 𝛼 𝑓 − 𝛾 𝑓 + 𝑏 𝑓 − ℎ ∈ 𝐴˜ 𝑓 . By the definition

˜ there exist 𝑔 ∈ bℬ(𝐸) such that 𝑓 = 𝑈 𝛼 𝑔 and 𝛼 𝑓 − 𝛾 𝑓 + 𝑏 𝑓 − ℎ = 𝛼 𝑓 − 𝑔, so
of 𝐴,
𝑔 = ℎ + 𝛾 𝑓 − 𝑏 𝑓 . It follows that 𝛼∥ 𝑓 ∥ ≤ ∥𝑔∥ ≤ ∥ℎ∥ + 𝑐 1 ∥ 𝑓 ∥. □
Lemma A.57 If 𝑓1 and 𝑓2 are distinct functions from 𝒟( 𝐴), ˜ then for any 𝛼 > 𝑐 1 the
intersection (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓1 ∩ (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓2 is empty.
A.7 Time–Space Processes 443
Proof Suppose that ℎ ∈ (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓1 ∩ (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓2 . Then there exist

ℎ1 ∈ 𝐴˜ 𝑓1 and ℎ2 ∈ 𝐴˜ 𝑓2 such that ℎ = (𝛼 − 𝛾 + 𝑏) 𝑓1 − ℎ1 = (𝛼 − 𝛾 + 𝑏) 𝑓2 − ℎ2 . By
˜ for any 𝛽 > 0 there exist 𝑔1 , 𝑔2 ∈ bℬ(𝐸) such that 𝑓𝑖 = 𝑈 𝛽 𝑔𝑖
the definition of 𝐴,
and ℎ𝑖 = 𝛽 𝑓𝑖 − 𝑔𝑖 for 𝑖 = 1 and 2. It follows that ( 𝑓2 − 𝑓1 ) = 𝑈 𝛽 (𝑔2 − 𝑔1 ) and
˜ 𝑓2 − 𝑓1 ), and so
ℎ2 − ℎ1 = 𝛽( 𝑓2 − 𝑓1 ) − (𝑔2 − 𝑔1 ). These imply ℎ2 − ℎ1 ∈ 𝐴(
˜ ( 𝑓2 − 𝑓1 ),
0 = (𝛼 − 𝛾 + 𝑏) ( 𝑓2 − 𝑓1 ) − (ℎ2 − ℎ1 ) ∈ (𝛼 − 𝛾 + 𝑏 − 𝐴)
which is in contradiction to Lemma A.56. □
Lemma A.58 For any 𝛼 > 𝑐 1 and 𝑓 ∈ 𝒟( 𝐴) we have 𝑓 = 𝑅 𝛼 (𝛼 − 𝐴 − 𝛾 + 𝑏) 𝑓 .
Proof Clearly, for 𝑓 ∈ 𝒟( 𝐴) the set (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓 contains the function

ℎ := (𝛼 − 𝐴 − 𝛾 + 𝑏) 𝑓 . By Proposition A.55 we have ℎ ∈ (𝛼 − 𝐴˜ − 𝛾 + 𝑏)𝑅 𝛼 ℎ. Then
the sets (𝛼 − 𝐴˜ − 𝛾 + 𝑏) 𝑓 and (𝛼 − 𝐴˜ − 𝛾 + 𝑏)𝑅 𝛼 ℎ have a non-empty intersection.
Thus Lemma A.57 implies that 𝑓 = 𝑅 𝛼 ℎ. □
Theorem A.59 Let 𝑓 ∈ 𝒟( 𝐴) and let (𝑡, 𝑥) ↦→ 𝜋𝑡 𝑓 (𝑥) be defined by (A.39). Then
we have
∫ 𝑡
𝜋𝑡 𝑓 (𝑥) = 𝑓 (𝑥) + 𝜋 𝑠 ( 𝐴 + 𝛾 − 𝑏) 𝑓 (𝑥)d𝑠, 𝑡 ≥ 0, 𝑥 ∈ 𝐸 .
0
Proof By Theorems A.16 and A.20, any 𝑓 ∈ 𝒟( 𝐴) is finely continuous relative

to 𝜉, so 𝑡 ↦→ 𝑃𝑡 𝑓 (𝑥) is right continuous pointwise. Then Proposition A.43 implies
𝑡 ↦→ 𝜋𝑡 𝑓 (𝑥) is right continuous pointwise. For 𝛼 > 𝑐 1 it is easy to show that
∫ ∞ ∫ 𝑡
1
e−𝛼𝑡 d𝑡 𝜋 𝑠 ( 𝐴 + 𝛾 − 𝑏) 𝑓 d𝑠 = 𝑅 𝛼 ( 𝐴 + 𝛾 − 𝑏) 𝑓 .
0 0 𝛼
Using Lemma A.58 one can see the above value is equal to
∫ ∞
1
𝛼
𝑅 𝑓− 𝑓 = e−𝛼𝑡 (𝜋𝑡 𝑓 − 𝑓 )d𝑡.
𝛼 0
Then the desired equation follows by the uniqueness of the Laplace transform. □
A.7 Time–Space Processes
In this section we briefly discuss time–space processes associated with inhomo-

geneous Markov processes. For simplicity we only consider Borel transition semi-
groups. Suppose that 𝐼 ⊂ R is an interval and 𝐹 is a Lusin topological space. Let 𝐸˜ be
a Borel subset of 𝐼 ×𝐹 and let 𝐸˜ 𝑐 = (𝐼 ×𝐹)\ 𝐸.
˜ For 𝑡 ∈ 𝐼 let 𝐸 𝑡 = {𝑥 ∈ 𝐹 : (𝑡, 𝑥) ∈ 𝐸˜ }.
Then each 𝐸 𝑡 is a Lusin topological space. We fix an abstract point 𝜕 ∉ 𝐼 × 𝐹 and
assume all functions on 𝐸˜ ⊂ 𝐼 × 𝐹 have been extended trivially to 𝐸˜ 𝑐 ∪ {𝜕}.
Suppose that for each pair 𝑟 ≤ 𝑡 ∈ 𝐼 there is a Markov kernel 𝑃𝑟 ,𝑡 from

(𝐸𝑟 , ℬ(𝐸𝑟 )) to (𝐸 𝑡 , ℬ(𝐸 𝑡 )). The family (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼) is called an inhomoge-
neous transition semigroup with global state space 𝐸˜ if it satisfies the Chapman–
Kolmogorov equation
∫
𝑃𝑟 ,𝑡 (𝑥, 𝐵) = 𝑃𝑟 ,𝑠 (𝑥, d𝑦)𝑃𝑠,𝑡 (𝑦, 𝐵), (A.49)
𝐸𝑠
where 𝑟 ≤ 𝑠 ≤ 𝑡 ∈ 𝐼, 𝑥 ∈ 𝐸𝑟 and 𝐵 ∈ ℬ(𝐸 𝑡 ). In this work, we assume for every

˜ the function
𝑓 ∈ bℬ( 𝐸)
∫
(𝑟, 𝑥, 𝑡) ↦→ 1 {𝑟 ≤𝑡 } 𝑓 (𝑡, 𝑦)𝑃𝑟 ,𝑡 (𝑥, d𝑦)
𝐸𝑡
˜ × ℬ(𝐼) = ℬ( 𝐸˜ × 𝐼).
is measurable with respect to the 𝜎-algebra ℬ( 𝐸)
Definition A.60 Suppose that (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼) is an inhomogeneous transition

semigroup with global state space 𝐸. ˜ The collection 𝜉 = (Ω, 𝒢, 𝒢𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) is
called an inhomogeneous Markov process with global state space 𝐸˜ and transition
semigroup (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼) if the following conditions are satisfied:
(1) For every 𝑟 ∈ 𝐼, (Ω, 𝒢, 𝒢𝑟 ,𝑡 : 𝑡 ∈ 𝐼 ∩ [𝑟, ∞)) is a filtered measurable space such
that 𝒢𝑠,𝑡 ⊂ 𝒢𝑟 ,𝑢 for 𝑟 ≤ 𝑠 ≤ 𝑡 ≤ 𝑢 ∈ 𝐼.
(2) For every 𝑟 ≤ 𝑡 ∈ 𝐼, 𝜔 ↦→ 𝜉𝑡 (𝜔) is a measurable mapping from (Ω, 𝒢𝑟 ,𝑡 ) to
(𝐸 𝑡 , ℬ(𝐸 𝑡 )).
(3) For every (𝑟, 𝑥) ∈ 𝐸, ˜ P𝑟 , 𝑥 is a probability measure on (Ω, 𝒢) such that for every
˜
𝐻 ∈ b𝒢 the function (𝑟, 𝑥) ↦→ P𝑟 , 𝑥 (𝐻) is ℬ( 𝐸)-measurable.
˜
(4) For every (𝑟, 𝑥) ∈ 𝐸 we have P𝑟 , 𝑥 {𝜉𝑟 = 𝑥} = 1 and the following simple Markov
property holds:

P𝑟 , 𝑥 𝑓 (𝜉𝑡 )|𝒢𝑟 ,𝑠 = 𝑃𝑠,𝑡 𝑓 (𝜉 𝑠 ), 𝑟 ≤ 𝑠 ≤ 𝑡 ∈ 𝐼, 𝑓 ∈ bℬ(𝐸 𝑡 ). (A.50)
We say 𝜉 is right continuous if 𝑡 ↦→ 𝜉𝑡 (𝜔) is right continuous for every 𝜔 ∈ Ω.
In the situation of the above definition, given any probability measure 𝜇 on

(𝐸𝑟 , ℬ(𝐸𝑟 )), we define the probability measure P𝑟 , 𝜇 on (Ω, 𝒢) by
∫
P𝑟 , 𝜇 (𝐻) = P𝑟 , 𝑥 (𝐻)𝜇(d𝑥), 𝐻 ∈ b𝒢. (A.51)
𝐸
By (A.50) and a monotone class argument it follows that

P𝑟 , 𝜇 𝐹 |𝒢𝑟 ,𝑠 = P𝑠, 𝜉𝑠 (𝐹), 𝑟 ≤ 𝑠 ∈ 𝐼, 𝐹 ∈ b𝜎({𝜉𝑡 : 𝑡 ≥ 𝑠, 𝑡 ∈ 𝐼}).
Given an inhomogeneous Markov transition semigroup (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼) with

˜ we can define a homogeneous transition semigroup ( 𝑃˜𝑡 )𝑡 ≥0 on
global state space 𝐸,
𝐸˜ by
∫
𝑃˜𝑡 𝑓 (𝑟, 𝑥) = 1𝐼 (𝑟 + 𝑡) 𝑓 (𝑟 + 𝑡, 𝑦)𝑃𝑟 ,𝑟+𝑡 (𝑥, d𝑦), (A.52)
𝐸𝑟+𝑡
where 𝑡 ≥ 0, (𝑟, 𝑥) ∈ 𝐸˜ and 𝑓 ∈ bℬ( 𝐸). ˜ We call ( 𝑃˜𝑡 )𝑡 ≥0 the time–space semigroup
associated with (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼).
Suppose that 𝜉 = (Ω, 𝒢, 𝒢𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) is an inhomogeneous Markov process with
transition semigroup (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼). Let Ω̃ = 𝐼 × Ω and 𝒢˜ = ℬ(𝐼) × 𝒢. For
(𝑣, 𝜔) ∈ Ω̃ define
n (𝑣 + 𝑡, 𝜉 (𝜔)) if 𝑡 ≥ 0 and 𝑣 + 𝑡 ∈ 𝐼,
𝜉˜𝑡 (𝑣, 𝜔) = 𝑣+𝑡
(A.53)
𝜕 if 𝑡 ≥ 0 and 𝑣 + 𝑡 ∉ 𝐼.
For 𝑡 ≥ 0 define the 𝜎-algebra ℱ̃𝑡 = 𝜎({ 𝜉˜𝑠 : 0 ≤ 𝑠 ≤ 𝑡}) on Ω̃. For (𝑟, 𝑥) ∈ 𝐸˜
let P̃𝑟 , 𝑥 be the probability measure on ( Ω̃, ℱ̃) induced by P𝑟 , 𝑥 via the mapping
𝜔 ↦→ (𝑟, 𝜔).
Theorem A.61 The system 𝜉˜ = ( Ω̃, 𝒢, ˜ ℱ̃𝑡 , 𝜉˜𝑡 , P̃𝑟 , 𝑥 ) is a Markov process in 𝐸˜ with
transition semigroup ( 𝑃𝑡 )𝑡 ≥0 .˜
Proof Let (𝑟, 𝑥) ∈ 𝐸˜ and 𝑡 ≥ 𝑠 ≥ 0. Let 𝑓 = 𝑓𝑣 (𝑥) = 𝑓 (𝑣, 𝑥) be a bounded Borel
function on 𝐸. ˜ Since P̃𝑟 , 𝑥 is carried by {𝑟} × Ω, if 𝑟 + 𝑡 ∈ 𝐼, we have
P̃𝑟 , 𝑥 𝑓 ( 𝜉˜𝑡 )| ℱ̃𝑠 = P𝑟 , 𝑥 𝑓 (𝑟 + 𝑡, 𝜉𝑟+𝑡 )|𝜎({𝜉𝑟+𝑣 : 0 ≤ 𝑣 ≤ 𝑠})

= P𝑟 , 𝑥 𝑓 (𝑟 + 𝑡, 𝜉𝑟+𝑡 )|𝜉𝑟+𝑠 = 𝑃𝑟+𝑠,𝑟+𝑡 𝑓𝑟+𝑡 (𝜉𝑟+𝑠 )
= 𝑃˜𝑡−𝑠 𝑓 (𝑟 + 𝑠, 𝜉𝑟+𝑠 ) = 𝑃˜𝑡−𝑠 𝑓 ( 𝜉˜𝑠 ),
where the fourth equality follows by (A.52). If 𝑟 + 𝑡 ∉ 𝐼, both sides of the above
equality are equal to zero. Then 𝜉˜ is a Markov process with transition semigroup
( 𝑃˜𝑡 )𝑡 ≥0 . □
Theorem A.62 Suppose that 𝐸˜ = 𝐼 × 𝐸 for a Lusin topological space 𝐸 and there
is a Borel right semigroup (𝑃𝑡 )𝑡 ≥0 on 𝐸 such that 𝑃𝑟 ,𝑡 = 𝑃𝑡−𝑟 for 𝑡 ≥ 𝑟 ∈ 𝐼. Then
( 𝑃˜𝑡 )𝑡 ≥0 is a right semigroup if and only if sup 𝐼 ∉ 𝐼.
Proof In this case ( 𝑃˜𝑡 )𝑡 ≥0 is the Cartesian product of (𝑃𝑡 )𝑡 ≥0 and the transition
semigroup (𝑅𝑡 )𝑡 ≥0 of the uniform motion to the right on 𝐼. As observed in Exam-
ple A.1, the latter is a right semigroup if and only if sup 𝐼 ∉ 𝐼. Then the result follows
by Sharpe (1988, p. 84). □
˜ ℱ̃𝑡 , 𝜉˜𝑡 , P̃𝑟 , 𝑥 ) the time–space process of 𝜉. By Theorem A.61,
We call 𝜉˜ = ( Ω̃, 𝒢,
the study of the inhomogeneous process 𝜉 can be reduced to that of the homogeneous
time–space process 𝜉. ˜ If 𝜉˜ has a right realization, we call (𝑃𝑟 ,𝑡 : 𝑟 ≤ 𝑡 ∈ 𝐼)
an inhomogeneous right transition semigroup. By Theorem A.62, in this case it
is necessary that sup 𝐼 ∉ 𝐼. The following theorem shows that the terminology is
consistent with that in the homogeneous case.
Theorem A.63 Suppose that 𝐸˜ = [0, ∞) × 𝐸 for a Lusin topological space 𝐸
and there is a homogeneous Markov transition semigroup (𝑃𝑡 )𝑡 ≥0 on 𝐸 such that
𝑃𝑟 ,𝑡 = 𝑃𝑡−𝑟 for 𝑡 ≥ 𝑟 ≥ 0. Then ( 𝑃˜𝑡 )𝑡 ≥0 is a right semigroup if and only if so is
(𝑃𝑡 )𝑡 ≥0 .
Proof Suppose that ( 𝑃˜𝑡 )𝑡 ≥0 is a right semigroup. Let 𝜉˜ = ( Ω̃, 𝒢, ˜ 𝒢˜ 𝑡 , (𝛼𝑡 , 𝜉𝑡 ), P̃𝑟 , 𝑥 )
˜ ˜ ˜
be a right realization of ( 𝑃𝑡 )𝑡 ≥0 . It is clear that 𝜉 = ( Ω̃, 𝒢, 𝒢𝑡 , 𝜉𝑡 , P̃0, 𝑥 ) is a right
process with transition semigroup (𝑃𝑡 )𝑡 ≥0 . Then (𝑃𝑡 )𝑡 ≥0 is a right semigroup. The
converse was obtained in Sharpe (1988, p. 86). □
Starting from a realization of the time–space semigroup, we can also easily
reconstruct a realization of the original inhomogeneous transition semigroup. For
this purpose, let us consider a realization 𝜉˜ = (Ω, 𝒢, 𝒢˜ 𝑡 , 𝜉˜𝑡 , P𝑟 , 𝑥 ) of ( 𝑃˜𝑡 )𝑡 ≥0 , where
𝜉˜𝑡 = (𝛼𝑡 , 𝑦 𝑡 ). In view of (A.52) we may assume 𝛼𝑡 = 𝛼0 + 𝑡 for 𝑡 ≥ 0. For 𝜔 ∈ Ω
define
n𝑦 (𝜔) if 𝑡 ∈ 𝐼 ∩ [𝛼0 (𝜔), ∞),
𝜉𝑡 (𝜔) = 𝑡−𝛼0 ( 𝜔) (A.54)
𝜕 if 𝑡 ∈ 𝐼 ∩ (−∞, 𝛼0 (𝜔)).
Let ℱ𝑟 ,𝑡 = 𝜎({𝜉 𝑠 : 𝑟 ≤ 𝑠 ≤ 𝑡}) for 𝑟 ≤ 𝑡 ∈ 𝐼.

Theorem A.64 The system 𝜉 = (Ω, 𝒢, ℱ𝑟 ,𝑡 , 𝜉𝑡 , P𝑟 , 𝑥 ) is an inhomogeneous Markov
process with transition semigroup (𝑃𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ∈ 𝐼).
Proof For any (𝑟, 𝑥) ∈ 𝐸˜ the probability measure P𝑟 , 𝑥 is carried by {𝛼0 = 𝑟 }. Given
𝑡 ≥ 0 and 𝑓 ∈ bℬ(𝐸 𝑡 ), write
𝑓˜(𝑠, 𝑦) = 1 {𝑠=𝑡 ,𝑦 ∈𝐸𝑡 } 𝑓 (𝑦), (𝑠, 𝑦) ∈ 𝐸˜ .
Then for any 𝑟 ≤ 𝑠 ≤ 𝑡 ∈ 𝐼 we have

P𝑟 , 𝑥 𝑓 (𝜉𝑡 )|ℱ𝑟 ,𝑠 = P𝑟 , 𝑥 𝑓 (𝜉𝑡 )|𝜎({𝜉 𝑣 : 𝑟 ≤ 𝑣 ≤ 𝑠})

= P𝑟 , 𝑥 𝑓 (𝑦 𝑡−𝑟 )|𝜎({𝑦 𝑣−𝑟 : 𝑟 ≤ 𝑣 ≤ 𝑠})
= P𝑟 , 𝑥 𝑓˜( 𝜉˜𝑡−𝑟 )|𝜎({ 𝜉˜𝑣−𝑟 : 𝑟 ≤ 𝑣 ≤ 𝑠})

= 𝑃˜𝑡−𝑠 𝑓˜( 𝜉˜𝑠−𝑟 ) = 𝑃𝑠,𝑡 𝑓 (𝜉 𝑠 ).
This gives the desired Markov property of 𝜉. □

Example A.3 Suppose that 𝐸 is a complete separable metric space. Let 𝐷 𝐸 :=
𝐷 ( [0, ∞), 𝐸) be the space of càdlàg paths from [0, ∞) to 𝐸 equipped with the usual
Skorokhod metric. Then 𝐷 𝐸 is also a complete separable metric space. Suppose that
(𝑃𝑡 )𝑡 ≥0 is a Borel right semigroup on 𝐸 with a càdlàg realization. For simplicity
we consider the canonical realization 𝜉 = (𝐷 𝐸 , ℱ 0 , ℱ𝑡0 , 𝜉𝑡 , P 𝑥 ), where (ℱ 0 , ℱ𝑡0 )
are the natural 𝜎-algebras of 𝐷 𝐸 and 𝜉𝑡 (𝜔) = 𝜔(𝑡) for 𝑡 ≥ 0 and 𝜔 ∈ 𝐷 𝐸 . Let
𝑦 𝑠 (𝑡) = 𝑦(𝑡 ∧ 𝑠) for 𝑠, 𝑡 ≥ 0 and 𝑦 ∈ 𝐷 𝐸 . Let 𝑆 = {(𝑡, 𝑦) ∈ [0, ∞) × 𝐷 𝐸 : 𝑦 = 𝑦 𝑡 }.
For 𝑡 ≥ 0 let
𝐷 𝑡𝐸 = {𝑦 ∈ 𝐷 𝐸 : 𝑦 = 𝑦 𝑡 } = {𝑦 ∈ 𝐷 𝐸 : (𝑡, 𝑦) ∈ 𝑆}.
Then we have 𝐷 𝑠𝐸 ⊂ 𝐷 𝑡𝐸 for 𝑡 ≥ 𝑠 ≥ 0. Given 𝑟 ≥ 0 and 𝑦 1 , 𝑦 2 ∈ 𝐷 𝐸 we define

𝑦 1 /𝑟/𝑦 2 ∈ 𝐷 𝐸 by
n 𝑦 (𝑡) if 0 ≤ 𝑡 < 𝑟,
1
(𝑦 1 /𝑟/𝑦 2 ) (𝑡) =
𝑦 2 (𝑡 − 𝑟) if 𝑟 ≤ 𝑡 < ∞.
The operators 𝑦 ↦→ 𝑦 𝑠 and (𝑟, 𝑦 1 , 𝑦 2 ) ↦→ 𝑦 1 /𝑟/𝑦 2 are Borel measurable; see Del-
lacherie and Meyer (1978, p. 146). We can define an inhomogeneous Borel transition
semigroup ( 𝑃¯𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0) with global state space 𝑆 by
𝑃¯𝑟 ,𝑡 𝑓 (𝑦) = P 𝑦 (𝑟) [ 𝑓 (𝑦/𝑟/𝜉 𝑡−𝑟 )], 𝑦 ∈ 𝐷 𝑟𝐸 , 𝑓 ∈ bℬ(𝐷 𝑡𝐸 ). (A.55)
From Proposition 2.1.2 of Dawson and Perkins (1991, p. 14) it follows that ( 𝑃¯𝑟 ,𝑡 : 𝑡 ≥
𝑟 ≥ 0) is a right transition semigroup. For 𝜔 ∈ 𝐷 𝐸 and 𝑡 ≥ 0 let 𝜉¯𝑡 (𝜔) = 𝜔𝑡 ∈ 𝐷 𝑡𝐸 .
It is easy to see ℱ𝑟0,𝑡 := 𝜎({ 𝜉¯𝑠 : 𝑟 ≤ 𝑠 ≤ 𝑡}) = ℱ𝑡0 for 𝑡 ≥ 𝑟 ≥ 0. For 𝑟 ≥ 0 and
𝑦 ∈ 𝐷 𝑟𝐸 define the probability measure P̄𝑟 ,𝑦 on (𝐷 𝐸 , ℱ 0 ) by
P̄𝑟 ,𝑦 ( 𝐴) = P 𝑦 (𝑟) ({𝜔 ∈ 𝐷 𝐸 : 𝑦/𝑟/𝜔 ∈ 𝐴}), 𝐴 ∈ ℱ0 . (A.56)
Then 𝜉¯ = (𝐷 𝐸 , ℱ 0 , ℱ𝑟0,𝑡 , 𝜉¯𝑡 , P̄𝑟 ,𝑦 ) is a càdlàg realization of ( 𝑃¯𝑟 ,𝑡 : 𝑡 ≥ 𝑟 ≥ 0). This

process is called the path process of 𝜉; see Dawson and Perkins (1991). Clearly, the
path process records all the information of the history of the sample path of 𝜉.
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Subject Index
𝐺 𝛿 set, 8 bounded kernel, 413

𝛼-stable CIR-model, 305 bounded pointwise convergence, 411
bounded set in a nuclear space, 394
absolutely continuous linear part, branch point, 426
373 branching mechanism, 46, 76, 158,
adapted process, ℰ-, 415 159, 255, 256
additive functional, 433 branching particle system, 100
admissible additive functional, 36, branching property, 31, 314
434 Brownian motion with drift, 92
admissible family of branching Brownian snake, 𝜉-, 108
mechanisms, 309
affine process, 97 càdlàg path, 415
affine semigroup, 97 càdlàg process, 415
age-structured superprocess, 150 Campbell measure, 62
announcing sequence, 414 canonical entrance rule, 35, 207, 248
augmentation by a probability, 414 catalyst measure, 49
augmentation of a filtration, 420 catalytic super-Brownian motion, 49
augmented filtration, 414, 420 CB-process, 49
CB-process in Lévy environment,
Bernstein functions, 28 307
Bernstein polynomials, 22 CBI-process, 76
binary local branching mechanism, Chapman–Kolmogorov equation,
49 416, 444
Borel 𝜎-algebra, 1, 413 characteristic function, 29
Borel function, 1 characteristic functional, 366
Borel measure, 2 CIR-model, 78
Borel right process, 423 classical Mehler formula, 369
Borel transition semigroup, 416 classical OU-process, 368
bounded entrance law, 417 closable entrance law, 417
bounded entrance rule, 417 closable entrance path, 376

468 Subject Index
closed entrance law, 417 downcrossing, 𝛿-, 92

cluster representation, 18
compensated Poisson random entrance law, 374, 416
measure, 14 entrance path, 376
complete measure space, 412 entrance rule, 416
completely monotone function, 22 entrance space, 376, 429
completion, 𝜇-, 412 ergodic process, 417
compound Poisson random measure, evanescent process, P 𝜇 (𝒢)-, 422
16 excessive function, 417
conditioned superprocess, 155 excessive function, 𝛼-, 417
conservative extension, 424 excessive measure, 417
conservative process, 424 excursion, 227
conservative resolvent, 417 excursion law, 227
conservative transition semigroup, exit measure, 162
416 exit time, 161
continuous part of immigration, 289 explosion time, 316
continuous process, 415 exponential distribution, 21
continuous-state branching process, extinction time, 68, 153
49 extremal entrance law, 417
continuous-state branching process
Feller semigroup, 425
with immigration, 76
Feller’s branching diffusion, 78
continuous-state nonlinear branching
Feynman–Kac formula, 46, 438
process, 306
filtered probability space, 414
convolution, 16
filtration, 414
countably Hilbert nuclear space, 395 fine topology, 423
coupling, 58 finite kernel, 413
covariance measure of orthogonal finite-dimensional distributions, 415
martingale measure, 184 Fleming–Viot superprocess, 63
covariance measure of worthy flow of CBI-processes, 324
martingale measure, 184
Cox–Ingersoll–Ross model, 78 Galton–Watson branching process,
critical CB-process, 66 87
critical MB-process, 52 Galton–Watson branching process
critical superprocess, 52 with immigration, 87
cumulant semigroup, 33, 66 Gamma distribution, 21
Gaussian type SC-semigroup, 369
Dawson’s Girsanov transform, 200 general branching particle system,
Dawson–Watanabe superprocess, 45 110
decomposable branching generalized CBI-process, 305
mechanism, 50 generalized Mehler semigroup, 367
difference operator, 21 generalized Ornstein–Uhlenbeck
diffuse measure, 2 process, 367
discontinuous part of immigration, generalized OU-process, 367
289 global state space, 444
dominating measure, 184 Grey’s condition, 69
Subject Index 469
Gronwall’s inequality, 438 interactive immigration superprocess

GW-process, 87 with dependent spatial
GWI-process, 87 motion, 364
invariant measure, 417
height distribution of a compound Itô’s excursion law, 433
Poisson random measure,
16 kernel, 413
Hermite functions, 397 killing density, 45
Hermite polynomials, 397 killing functional, 45
Hilbert–Schmidt embedding, 395 Kuznetsov measure, 221
historical superprocess, (𝜉, 𝜙)-, 160
Hunt process, 423, 424 Lévy process, 384
Lévy white noise, 289
immigration mechanism, 76, 246, Lévy–Khintchine formula, 29
255, 256 Lamperti transformation, 293
immigration process, 242 Langevin equation, 368
immigration superprocess, 242 Langevin type equation, 386
immigration superprocess with Langevin type equation, mild form,
dependent spatial motion, 389
364 Laplace functional, 9, 13
infinitely divisible distribution, 16 Laplace transform, 13
infinitely divisible random measure, Lipschitz constant, 58
16 local branching mechanism, 49
inhomogeneous CB-process, 159 local part of a branching mechanism,
inhomogeneous CBI-process, 256 50
inhomogeneous Dawson–Watanabe local projection of branching
superprocess, 158 mechanism, 140
inhomogeneous immigration rate, locally bounded function, 433
341 locally bounded stochastic process,
inhomogeneous immigration 433
superprocess, 255 locally integrable process, 300
inhomogeneous Markov process, 444 locally square integrable entrance
inhomogeneous right transition path, 376
semigroup, 445 Lusin measurable space, 8, 413
inhomogeneous skew-convolution Lusin topological space, 8, 413
semigroup, 255
inhomogeneous transition Markov kernel, 413
semigroup, 444 Markov process, ℬ• (𝐸)-, 419
initial law, 418 Markov resolvent, 417
intensity of a compound Poisson Markov transition semigroup, 416
random measure, 16 martingale functional, 184
intensity of a Poisson random martingale measure, 183
measure, 13 MB-process, 32
intensity of orthogonal martingale measure, 2
measure, 184 measure-valued branching process,
interactive growth rate, 200 32
470 Subject Index
minimal entrance law, 417 progressive process, ℰ-, 415

modification, 415 progressive two-parameter process,
monotone vector space, 411 186
multitype superprocess, 149 purely atomic, 2
purely excessive measure, 417
natural 𝜎-algebras, ℰ-, 414
nearly Borel function, 422 quasi-left continuous filtration, 414
nearly optional function, 422 quasi-left continuous process, 423
Neveu’s CB-process, 96
non-branch point, 426 Radon measurable space, 413
non-local part of a branching Radon topological space, 413
mechanism, 50 random measure, 13
normal transition semigroup, 416 rational cone, 426
nuclear space, 395 rational Ray cone, 426
null set, 𝜇-, 412 Ray extension of a resolvent, 428
number of 𝜀-oscillations, 415 Ray extension of a semigroup, 428
Ray resolvent, 425
one-sided 𝛼-stable noise, 201 Ray semigroup, 426
one-sided stable distribution (with Ray space, 429
index 0 < 𝛼 < 1), 21 Ray topology, 427, 429
one-sided stable distribution (with Ray–Knight completion, 428
index 1 < 𝛼 < 2), 29 Ray–Knight theorem, 92
optional time, 414 realization, 415
orthogonal martingale measure, 184 realization of a semigroup, 419
OU-type process, 406 regular affine process, 97
regular branching property, 31
Palm distributions, 63 regular entrance rule, 416
path process, 447 regular MB-process, 32
path-valued growing process, 314 regular SC-semigroup, 246, 368
pathwise uniqueness of solutions, resolvent, 417
280, 285 resolvent equation, 417
Poisson random measure, 13 resolvent of a transition semigroup,
positive definite operator, 365 418
positive definite signed measure, 183 restriction of a 𝜎-algebra, 412
positive solution, 169 restriction of a measure, 412
potential operator of a transition right continuous filtration, 414
semigroup, 418 right continuous inhomogeneous
potential operator, 𝛼-, 418 Markov process, 444
predictable immigration rate, 347 right continuous Markov process,
predictable process, 300 419
predictable time, 414 right continuous process, 415
predictable two-parameter process, right Markov process, 423
186 right process, 423, 424
predictable version of a progressive right transition semigroup, 423, 424
process, 300
probability entrance law, 417 sample path, 414
Subject Index 471
SC-semigroup (on a Hilbert space), subprocess of a superprocess, 142,

367 154
SC-semigroup (on a space of super-Brownian motion, 49
measures), 241 super-mean-valued function, 417
Schwartz distribution, 399 super-mean-valued function, 𝛼-, 417
Schwartz space, 396 supercritical CB-process, 66
Schwarz’s inequality, 183 supercritical MB-process, 52
separate points, 411 supercritical superprocess, 52
shift operator, 419 supermedian function, 𝛼-, 417
simple ℬ• (𝐸)-Markov property, 418 superprocess with dependent spatial
simple Markov property, 444 motion, 203
simplex, 417 superprocess, (𝜉, 𝜙)-, 46
superprocess, (𝜉, 𝜙, 𝜓)-, 50
skew convolution semigroup (on a
superprocess, (𝜉, 𝐾, 𝜙)-, 45, 144
Hilbert space), 367
superprocess, (𝜉, 𝐾, 𝜙, 𝜓)-, 50
skew convolution semigroup (on a
superprocesses with coalescing
space of measures), 241
spatial motion, 364
solution to a stochastic equation,
symmetric difference, 412
280, 285
symmetric operator, 365
spatial motion, 45, 158, 255
symmetric signed measure, 183
spatially constant branching
mechanism, 46 tempered measure, 13
state space, 414 the 𝑛-th root of a probability
state-dependent branching measure, 16
mechanism, 360 time–space Gaussian white noise,
state-dependent immigration rate, 184
352 time–space process, 445
stationary distribution, 417 time–space semigroup, 445
step process, 186, 300 topology of weak convergence, 3
stochastic Fubini’s theorem, 190 total population, 134
stochastic immigration rate, 305 total variation, 58
stochastic integral (with respect to a total variation norm, 58
martingale measure), 189 totally inaccessible stopping time,
stochastic process, 414 414
stopped path, 108 trace class operator, 365
stopping time, 414 trace of a 𝜎-algebra, 412
trace of a bounded linear operator,
strong Feller property, 61, 251
366
strong Markov property, 421
trace of a measure, 412
strong solution to a stochastic
transition semigroup, 416
equation, 280, 285
strong topology, 394 uniform convergence, 411
sub-Markov kernel, 413 uniform elliptic condition, 147
subcritical CB-process, 66 uniform motion to the right, 425
subcritical MB-process, 52 universal completion, 412
subcritical superprocess, 52 usual hypotheses, 414
472 Subject Index
Wasserstein distance, 58 weighted Sobolev space, 398

weak convergence, 2 worthy martingale measure, 184
weak generator of a semigroup, 436 worthy martingale measure, 𝜎-finite,
Weibull distribution, 95 191
weighted occupation time, 133
Symbol Index
(𝑁𝑡 )𝑡 ≥0 : SC-semigroup on a space 𝐵 : set of branching points of a Ray

of measures, 241 semigroup, 426
(𝑄 𝑡𝑁 )𝑡 ≥0 : transition semigroup of an 𝐵 𝑎 (𝐸) : set of functions 𝑓 ∈ 𝐵(𝐸)
immigration process, 242 satisfying ∥ 𝑓 ∥ ≤ 𝑎, 1
𝛾
(𝑄 𝑡 )𝑡 ≥0 : generalized Mehler 𝐵 ℎ (𝐸) : set of Borel functions on 𝐸
semigroup, 367 bounded by const. · ℎ, 13
(𝑄 𝑡 )𝑡 ≥0 : transition semigroup of an
𝐶 (𝐸) : space of bounded continuous
MB-process, 31
real functions on 𝐸, 1
(𝑄 ◦𝑡 )𝑡 ≥0 : restriction of (𝑄 𝑡 )𝑡 ≥0 to
𝑀 (𝐸) ◦ , 34 𝐶 (𝐸) ++ : set of strictly positive
∗
(𝑇𝑡 )𝑡 ≥0 : dual semigroup of (𝑇𝑡 )𝑡 ≥0 , functions 𝑓 ∈ 𝐶 (𝐸), 1
367 𝐶 2 (R𝑑 ): set of bounded continuous
(𝑉𝑡 )𝑡 ≥0 : cumulant semigroup of an real functions on R𝑑 with
MB-process, 33 bounded continuous
¯
( 𝐸, 𝜌)¯ : Ray–Knight completion of derivatives up to the
(𝐸, 𝜌), 428 second order, 147
( 𝑃¯𝑡 )𝑡 ≥0 : (Ray) extension of (𝑃𝑡 )𝑡 ≥0 , 𝐶 2 (R+ ): set of bounded continuous
428 real functions on R+ with
(𝑈¯ 𝛼 ) 𝛼>0 : (Ray) extension of bounded continuous
(𝑈 𝛼 ) 𝛼>0 , 428 derivatives up to the
(·, ·) 𝐾 ,𝑇 : a bilinear form, 183 second order, 77
(𝛾𝑡 )𝑡 ≥0 : SC-semigroup on a Hilbert 𝐶 ∞ (R𝑑 ) : set of bounded infinitely
space, 367 differentiable functions on
(𝑣 𝑡 )𝑡 ≥0 : cumulant semigroup of a R𝑑 with bounded
CB-process, 66 derivatives, 396
𝐵(𝐸) = bℬ(𝐸) : space of bounded 𝐶0 (𝐸) : space of continuous real
Borel functions on 𝐸, 1 functions on locally
𝐵(𝐸) + : set of positive functions compact space 𝐸 vanishing
𝑓 ∈ 𝐵(𝐸), 1 at infinity, 1, 413

474 Symbol Index
𝐶ℎ (𝐸) : set of continuous functions 𝑆(𝐸, 𝑑) : a dense sequence in 𝐶𝑢 (𝐸),

on 𝐸 bounded by const. · ℎ, 5
13 𝑆1 (𝐸, 𝑑) : a dense sequence in
𝐶𝑢 (𝐸) = 𝐶𝑢 (𝐸, 𝑑) : subset of 𝐶 (𝐸) { 𝑓 ∈ 𝐶𝑢 (𝐸) + : ∥ 𝑓 ∥ ≤ 1},
of 𝑑-uniformly continuous 5
real functions, 1 𝑆2 (𝐸, 𝑟) : a dense sequence in
𝐷 : set of non-branch points of a Ray 𝐶 (𝐸, 𝑟) ++ , 10
semigroup, 426 𝑆¯2 (𝐸, 𝑟) := 𝑆2 (𝐸, 𝑟) ∪ {0}, 10
𝐸𝐶 : a subset of 𝐸 determined by a 𝒢¯ : augmentation of 𝒢, 419
cumulant semigroup, 35 𝒢¯ 𝑡 : augmentation of 𝒢𝑡 , 419
𝐸 𝐷 : entrance space of a transition 𝑣¯ 𝑡 : function on 𝐸 defined by
semigroup, 429 𝑣¯ 𝑡 (𝑥) = lim𝜆→∞ 𝑉𝑡 𝜆(𝑥), 34
𝐸 𝑅 : Ray space of a transition 𝛿 𝑥 : unit measure concentrated at
semigroup, 429 point 𝑥, 2
𝐸 𝐷𝐶 : a subset of 𝐸 𝐷 determined by 𝜈ˆ : characteristic functional of 𝜈, 366
a cumulant semigroup, 215 R : real line or 1-dimensional
𝐼 (𝜆, 𝐿) : an infinitely divisible Euclidean space, 1, 411
probability determined by R𝑑 : 𝑑-dimensional Euclidean space,
(𝜆, 𝐿), 18 147
𝐼 (𝑏, 𝑅, 𝑀) : an infinitely divisible
R+ = [0, ∞) : positive half line, 1
probability determined by
bℱ : = { 𝑓 ∈ ℱ : 𝑓 is bounded}, 1,
(𝑏, 𝑅, 𝑀), 366
411
𝐼1 (𝛽, 𝑅, 𝑀) : an infinitely divisible
pℱ : = { 𝑓 ∈ ℱ : 𝑓 is positive}, 1,
probability determined by
411
(𝛽, 𝑅, 𝑀), 367
ℬ(𝐸) : Borel 𝜎-algebra on 𝐸, 1
𝐿 1 (𝐻1 ) : Banach space of
𝐻1 -integrable functions on 𝒞(𝐸) = 𝒞(𝐸, 𝑑) : space of
𝑀 (𝐸) ◦ , 337 𝑑-continuous real
1
𝐿 (𝜂0 ) : Banach space of functions on (𝐸, 𝑑), 413
𝜂0 -integrable functions on 𝒞𝑢 (𝐸) = 𝒞𝑢 (𝐸, 𝑑) : subset of 𝒞(𝐸)
𝐸, 337 of 𝑑-uniformly continuous
𝐿 𝑄 : Laplace functional of 𝑄, 9 real functions, 413
𝐿 var (𝐹) : Lipschitz constant of a ℰ(𝑄 ◦ ) : a set of excessive measures
function 𝐹 on 𝑀 (𝐸), 58 for (𝑄 ◦𝑡 )𝑡 ≥0 , 269
∗
ℰ (𝑄) : a set of probabilities on
𝑀 (𝐸) : space of finite Borel
measures on 𝐸, 2 𝑀 (𝐸), 269
𝑀 (𝐸) ◦ : = 𝑀 (𝐸) \ {0}, where 0 is ℰ : universal completion of ℰ, 412
𝑢
the null measure, 12 ℰ𝐴 : trace/restriction of ℰ on 𝐴, 412

𝑀ℎ (𝐸) : space of Borel measures 𝜇 ℱ 𝜇 : P 𝜇 -completion of ℱ 𝑢 , 420
on 𝐸 satisfying 𝜇(ℎ) < ∞, 𝒢 𝜇 : P 𝜇 -completion of 𝒢, 419
𝜇
13 𝒢𝑡 : augmentation of 𝒢𝑡 , 419
𝑀ℎ (𝐸) ◦ : = 𝑀ℎ (𝐸) \ {0}, where 0 is ℐ(𝐸) : a convex cone of functionals
the null measure, 143 on 𝐵(𝐸) + , 16
𝑃(𝐸) : space of probability measures ℐ : a convex cone of functions on
on 𝐸, 2 [0, ∞), 20
Symbol Index 475
𝒦(𝑃) : a set of entrance laws for ℛ : rational Ray cone of a resolvent,

(𝑃𝑡 )𝑡 ≥0 , 207 427
𝒦(𝑃) ◦ : = 𝒦(𝑃) \ {0}, where 0 is 𝒮(R𝑑 ) : Schwartz space on R𝑑 , 396
the trivial entrance law of 𝒮 𝛼 : set of 𝛼-excessive functions for
(𝑃𝑡 )𝑡 ≥0 , 210 a semigroup, 417
𝒦(𝑄) : a set of entrance laws for 𝒮 ′ (R𝑑 ) : dual space of 𝒮(R𝑑 ), 399
(𝑄 𝑡 )𝑡 ≥0 , 209 𝜇( 𝑓 ) : integral of 𝑓 with respect to
𝒦(𝑄 ◦ ) : a set of entrance laws for 𝜇, 2, 411
(𝑄 ◦𝑡 )𝑡 ≥0 , 209 𝜇 𝐴 : trace of 𝜇 on 𝐴, 412
𝒦(𝜋) : a set of entrance laws for 𝜎(𝒢) : 𝜎-algebra generated by 𝒢, 1,
(𝜋𝑡 )𝑡 ≥0 , 207 411
𝒦 𝑎 (𝑄) : a subset of 𝒦(𝑄), 210 𝑑2 (·, ·) : a metric on ℒ𝐾2 (𝐸), 186
𝒦 𝑎 (𝑄 ◦ ) : a subset of 𝒦(𝑄 ◦ ), 210
| · | : Euclidean norm, 147
𝒦𝑚𝑎 (𝑄) : set of minimal elements of
∥ · ∥ : supremum/uniform norm of
𝒦 𝑎 (𝑄), 210
functions, 1, 411
𝒦𝑚𝑎 (𝑄 ◦ ) : set of minimal elements
∥ · ∥ : total variation norm of signed
of 𝒦 𝑎 (𝑄 ◦ ), 210
measures, 58
ℒ 0 : set of step processes in ℒ 1 , 300
ℒ𝐾0 (𝐸) : set of step processes in ∥ · ∥ 𝐻1 ,𝑡 : a seminorm on
ℒ𝐾2 (𝐸), 186 ℒ𝐻1 1 (𝑀 (𝐸) ◦ ), 342
1
ℒ : a space of predictable processes, ∥ · ∥ 𝐻1 : the norm of the Banach
300 space 𝐿 1 (𝐻1 ), 337
ℒ𝐾2 (𝐸) : a space of two-parameter ∥ · ∥ 𝐾 ,𝑇 : a seminorm on ℒ𝐾2 (𝐸), 186
predictable processes, 186 ∥ · ∥ 𝜂0 ,𝑡 : a seminorm on ℒ𝜂10 (𝐸),
𝒩(𝒢) : family of null sets in 𝒢, ¯ 419 342
𝒩 (𝒢) : family of P 𝜇 -null sets in
𝜇 ∥ · ∥ 𝜂0 : the norm of the Banach
𝒢 𝜇 , 419 space 𝐿 1 (𝜂0 ), 337

(Probability Theory and Stochastic Modelling 103) Zenghu Li - Measure-Valued Branching Markov Processes-Springer-Verlag GMBH (2023)

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Probability Theory and Stochastic Modelling 103

as well as applications that include (but are not restricted to):

 Branching processes, and other models of population growth

Probability Theory and Stochastic Modelling is a merger and continuation of

ISSN 2199-3130 ISSN 2199-3149 (electronic)

© Springer-Verlag GmbH Germany, part of Springer Nature 2011, 2022

A considerable number of extensions and improvements have been made in this

ments of distributional properties of continuous-state branching processes. I would

Beijing, China Zenghu Li

sures, multitype models, age-structured models and time-inhomogeneous models.

Beijing, China Zenghu Li

Preface to the Second Edition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . v

Preface to the First Edition . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . vii

Conventions and Notations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xv

1 Random Measures on Metric Spaces . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

2 Measure-Valued Branching Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

3 One-Dimensional Branching Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . 65

4 Branching Particle Systems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99

5 Basic Regularities of Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 119

6 Constructions by Transformations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 143

7 Martingale Problems of Superprocesses . . . . . . . . . . . . . . . . . . . . . . . . . . 165

8 Entrance Laws and Kuznetsov Measures . . . . . . . . . . . . . . . . . . . . . . . . . . 205

9 Structures of Independent Immigration . . . . . . . . . . . . . . . . . . . . . . . . . . 241

9.5 Constructions of the Trajectories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 261

10 One-Dimensional Stochastic Equations . . . . . . . . . . . . . . . . . . . . . . . . . . . 279

11 Path-Valued Processes and Stochastic Flows . . . . . . . . . . . . . . . . . . . . . . . 309

12 State-Dependent Immigration Structures . . . . . . . . . . . . . . . . . . . . . . . . . 337

13 Generalized Ornstein–Uhlenbeck Processes . . . . . . . . . . . . . . . . . . . . . . . 365

14 Small-Branching Fluctuation Limits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 391

A Markov Processes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 411

Subject Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 467

Symbol Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 473

N: set of positive integers;

For any 𝑎 ≤ 𝑏 ∈ R we understand that

Other notations are explained as they first appear.

In this chapter, we discuss the basic properties of Laplace functionals of random

1.1 Borel Measures

© Springer-Verlag GmbH Germany, part of Springer Nature 2022 1

A Borel measure, or simply a measure, on some topological space 𝐸 means

|𝑑 (𝑥, 𝐴) − 𝑑 (𝑦, 𝐴)| ≤ 𝑑 (𝑥, 𝑦), 𝑥, 𝑦 ∈ 𝐸 . (1.1)

In particular, 𝑥 ↦→ 𝑑 (𝑥, 𝐴) is a uniformly continuous function on 𝐸.

Proof For any 𝑥, 𝑦 ∈ 𝐸 and 𝑧 ∈ 𝐴 we have

𝑑 (𝑥, 𝐴) − 𝑑 (𝑦, 𝑧) ≤ 𝑑 (𝑥, 𝑧) − 𝑑 (𝑦, 𝑧) ≤ 𝑑 (𝑥, 𝑦).

Then we take the supremum over 𝑧 ∈ 𝐴 in both sides to get

𝑑 (𝑥, 𝐴) − 𝑑 (𝑦, 𝐴) ≤ 𝑑 (𝑥, 𝑦).

By the symmetry of 𝑑 (·, ·) we have

𝑑 (𝑦, 𝐴) − 𝑑 (𝑥, 𝐴) ≤ 𝑑 (𝑥, 𝑦).

Combining the two preceding inequalities gives (1.1). □

It is easy to show that the family 𝒰0 of sets 𝑈 ( 𝑓1 , . . . , 𝑓 𝑘 ; 𝐺 1 , . . . , 𝐺 𝑘 ) obtained

𝐶𝑢 (𝐸) ⊂ { 𝑓 : e 𝑓 ∈ 𝐶𝑢 (𝐸) ++ } ⊂ { 𝑓 : e 𝑓 ∈ 𝒢}.

Proof Let 𝒢 be the family of functions 𝑓 ∈ 𝐵(𝐸) such that 𝜇( 𝑓 ) = 𝜈( 𝑓 ). Then

Proof Let 𝒢 be the family of functions 𝑓 ∈ 𝐵(𝐸) such that 𝜇 ↦→ 𝜇( 𝑓 ) is Borel

Theorem 1.7 Suppose that 𝐸 is a Borel subspace of a metrizable topological space

Proof Since the restriction of a bounded continuous function is also a bounded

lim 𝜇 𝑛 (𝐸) = lim 𝜈𝑛 (𝐹) = 𝜈(𝐹) = 𝜇(𝐸).

For any closed subset 𝐶 of 𝐸, there is a closed subset 𝐷 of 𝐹 such that 𝐶 = 𝐷 ∩ 𝐸.

lim sup 𝜇 𝑛 (𝐶) = lim sup 𝜈𝑛 (𝐷) ≤ 𝜈(𝐷) = 𝜇(𝐶).

Then lim𝑛→∞ 𝜇 𝑛 = 𝜇 in 𝑀 (𝐸) by Theorem 1.6. □

If 𝐸 is a separable metric space, its topology can be defined by a totally bounded

Theorem 1.8 If 𝐸 is a separable metric space, then 𝑀 (𝐸) is separable.

Proof It is clear that 𝜇 𝑛 → 𝜇 in 𝑀 (𝐸) implies 𝜇 𝑛 ( 𝑓𝑖 ) → 𝜇( 𝑓𝑖 ) for every 𝑓𝑖 ∈

Since there is a sequence { 𝑓 𝑘𝑖 } ⊂ 𝑆(𝐸, 𝑑) satisfying ∥ 𝑓 𝑘𝑖 − 𝑓 ∥ → 0, it is easy to

Corollary 1.10 In the setup of Theorem 1.9, let 𝑆1 (𝐸, 𝑑) = {ℎ0 , ℎ1 , ℎ2 , . . .} be a