J A van Casteren
University of Antwerp
Generators of strongly continuous semigroups
Pitman Advanced Publishing Program
BOSTON • LONDON • MELBOURNE
PITMAN PUBLISHING INC 1020 Plain Street, Marshfield, Massachusetts 02050
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© J A van Casteren 1985
First published 1985
AMS Subject Classifications: (main) 47D05, 60J35, 81C35 (subsidiary) 47D07, 47A10, 47A35
ISSN 07430337
Library of Congress Cataloging in Publication Data
Casteren, J. A. van. Generators of strongly continuous semigroups.
(Research notes in mathematics; 115) "Pitman advanced publishing program." Bibliography: p. Includes index.
1. Linear operators. 2. Semigroups of operators.
3. Groups, Theory of—Generators. I. Title. II. Series.
QA329.2.C37 1985 515.7'246 ISBN 0273086693
8425387
British Library Cataloguing in Publication Data
Casteren, J. A. van
Generators of strongly continuous semigroups. (Research notes in mathematics, ISSN 07430337; 115)
1. Semigroups
I. Title II. Series
512'2 QA171
ISBN 0273086693
All rights reserved. No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording and/or otherwise, without the prior written permission of the publishers. This book may not be lent, resold, hired out or otherwise disposed of by way of trade in any form of binding or cover other than that in which it is published, without the prior consent of the publishers.
Reproduced and printed by photolithography in Great Britain by Biddies Ltd, Guildford
Contents
Preface
Chapter 
1: 
Introduction. 
_{1} 

Chapter 2: 
Semigroups and probability theory. _{} 
8 

Chapter 
3: 
Initial value 
problems. 
_{6}_{5} 
Chapter 
4: 
Convergence of semigroups. 
_{7}_{5} 

Chapter 
5: 
Holomorphic semigroups. 
_{8}_{2} 

Chapter 
8: 
Quadratic forms. 
_{9}_{7} 

Chapter 
7: 
Renorming and semigroups. 
_{1}_{3}_{0} 

Chapter 
8: 
Dispersive operators and semigroups. _{} 
_{1}_{5}_{3} 

Chapter 
9: 
Convex invariant subsets of semigroups. _{} 
_{1}_{5}_{8} 

Concluding Remarks 
168 

Appendix. Feynman path integrals and the FeynmanKac formalism 
170 

Acknowledgement _{} 
177 

References 
178 

Index 
_{1}_{9}_{8} 
Preface
This work brings together for the first time recent topics in the theory of strongly continuous oneparameter semigroups of linear operators, discussing the relation ship between several of the properties of the generator of such a semigroup and the corresponding properties of the semigroup itself. Proofs of most of the assertions are given; in each case a precise reference is provided. It is the author's intention to introduce to the reader equipped with a basic knowledge of functional analysis several new and developing branches of semi group theory, and to encourage mathematicians to start work in this interesting field. Moreover, it is hoped that researchers already working with operator semi groups will find a stimulus in the discussion and treatment of the main topics covered and in the number of original results included. Since the present work cannot deal with all the most recent contributions and references, especially in the area of applied semigroup theory, some of the main sources of results are summarized at the end of the book.
1 Introduction
In this book we want to review some of the properties of strongly continuous oneparametric semigroups. Instead of "strongly continuous oneparametric semi group" we usually just say "semigroup". We also want to discuss the relations which exist between semigroup theory and several areas of mathematics. Let X be a real or complex Banach space and let {P(t) : t > 0} be a family of continuous linear maps in X. The family {P(t) : t > 0} is said to be a strongly _{c}_{o}_{n}_{t}_{i}_{n}_{u}_{o}_{u}_{s} _{s}_{e}_{m}_{i}_{g}_{r}_{o}_{u}_{p} _{(}_{o}_{r} _{j}_{u}_{s}_{t} semigroup) if it has the following properties:
(1) P(0)  _{I} _{:}
(ii) P(s + t) = P(8) o P(t), 8, t > 0;
(iii) limelo
P(t)z = 2, x E X.
Property (iii) means that, for all x in X,
lim t o liP(t)x — xil _{=}_{0}
In the presence of (ii), property (iii) is equivalent to weak continuity: i.e.
lmi to
< P(t)x,x* >=< _{x}_{,} _{x}_{*} _{7}
for all x in X and all x* in X* . A semigroup {P(t) : t > 0} may be thought of as a family of operators of the form P(t) = exp(tA), t > 0, where A is some linear operator, which usually is unbounded. The generator A of a semigroup {P(t) : t > 0} is defined by
Ax = limt to —l (P(t)x — x)
for x in _{D}_{(}_{A}_{)}_{,} _{t}_{h}_{e} _{d}_{o}_{m}_{a}_{i}_{n} _{o}_{f} A, which is defined by
_{D}_{(}_{A}_{)} _{=} _{I}_{x} _{E} X : ltimt _{—}_{i} _{(}_{P}_{(}_{t}_{)}_{x} _{—} _{z}_{)}
exists}.
The generator A uniquely determines the semigroup {P(t) : t > 0} and is a closed densely defined linear operator. Here by "closed" we mean that the graph G(A) of A, which is defined by
G(A) = {(x,Ax) : x E MA)}
1
is a closed subspace of X X X. _{L}_{e}_{t} _{{}_{P}_{(}_{t}_{)} _{:} _{t} _{>} _{0}_{}} be a strongly continuous semigroup with generator A. Then there exist w in R and M > 1 such that
11P(t)I1 < M exp(4,
t > 0
So for X > w it makes sense to write
It turns out that
_{R}_{(}_{X}_{)}_{x} _{=}
00
_{0}
_{e} —xtP(t)zdt, z E X.
R(X) = (XI — _{}
_{X} _{>} _{w}_{.}
The crux of the matter is relating properties of the operator A, or of the resolvent family fli(X) : X > w}, to the properties of the semigroup {P(t) : t > _{0}_{}} _{a}_{n}_{d} conversely. If it is possible to choose w = 0 and _{M} _{=} _{1}_{,} then {P(t) : t > 0} is said to be a contraction semigroup. Theorem 1.1., which is due to Hille and Yosida, characterizes generators of strongly continuous semigroups.
Theorem 1.1. (HilleYosida)
Let A be a closed linear operator with domain and range in a Banach space _{X}_{.} Let w be in R and let M > 1. The following assertions are equivalent:
(i) 
The operator A generates a strongly continuous semigroup {P(t) : t > 0} for which 

11P(t)11 c _{M} _{e}_{x}_{p}_{(}_{w}_{t}_{)}_{,} 
_{t} _{>} _{0}_{,} 

(ii) 
The domain D(A) of A is dense, X/ _{A} is invertible for X > w and 
(X — w)nil(X/ A) ^{—} n11< M, X > w, n E N.
For a proof the reader is referred to a standard textbook on semigroup theory; e.g. see Yosida [277] or Davies [58]. Since the norms of all powers of (XI— A) _{}_{1} have to be estimated the above result is most of the time hardly applicable. For a formulation of a similar result in which not all powers of (X — A)1 _{a}_{r}_{e} _{i}_{n}_{v}_{o}_{l}_{v}_{e}_{d}_{,} the reader is referred to Laptev [172]. A drawback of the latter reference is that a suitable bounded zeroneighborhood must be found. See Corollary 9.6. too. A similar problem occurs if Theorem _{1}_{.}_{1}_{.} _{i}_{s} _{r}_{e}_{f}_{o}_{r}_{m}_{u}_{l}_{a}_{t}_{e}_{d} _{a}_{s} _{f}_{o}_{l}_{l}_{o}_{w}_{s}_{.}
2
Theorem 1.2.
Let A be a closed densely defined linear operator in a Banach space X. The operator A then generates a strongly continuous semigroup if and only if X _{c}_{a}_{n} be supplied with some new norm _{1}_{1}_{.}_{1}_{1}_{1}_{y} equivalent to the original one, such that for some real number w the operators XI A are invertible for X > w and satisfy
_{I}_{f}
(X — w)11(X/_Arizili ^{}
^{>} ^{w}^{,} ^{} ^{E}^{x} ^{}
_{{}_{P}_{(}_{t}_{)} : t > 0} is the semigroup generated by
(*) 

A 
and if 
1113(011 < Mexp(wt), t > 0, then 11.11 1 may be defined by
^{1}^{1}^{4}^{1} ^{=} ^{s}^{u}^{p}^{{}^{e}^{—} '11P(t)x11
> 0},
x E X.
This norm then satisfies (*). Conversely if (*) holds, then (XI — A) —1, X > w, satisfy the inequalities in assertion (ii) of Theorem 1.1. In the context of Hilbert space operators we return to this problem later; see Chapter 7. For the moment we continue with some generalities. A linear operator _{i}_{n} _{a} _{B}_{a}_{n}_{a}_{c}_{h} _{s}_{p}_{a}_{c}_{e} is closable if the closure of its graph is again the graph of_a linear operator. This operator is the closure _{o}_{f} _{A}_{.} Usually it is denoted by A. _{T}_{h}_{e} _{o}_{p}_{e}_{r}_{a}_{t}_{o}_{r} _{A} _{i}_{s} _{s}_{a}_{i}_{d} _{t}_{o} _{b}_{e} _{a} pregenerator of a strongly continuous semigroup _{{}_{P}_{(}_{t}_{)} _{:} _{t} _{>} 0} if it is closable and if its closure generates {P(t) : t > 0}. The operator A is said to be dissipative if for all X > 0 and all x in D(A) the inequality
liXz —Axil .> X11x11
holds. If X is a Hilbert space with inner product <, >, then A is dissipative if _{a}_{n}_{d} _{o}_{n}_{l}_{y} _{i}_{f} _{R}_{e} _{<} _{A}_{x}_{,} _{z} _{>} _{<} 0 for all x _{i}_{n} _{D}_{(}_{A}_{)}_{.} We shall prove that in case X _{i}_{s} _{a} _{c}_{o}_{m}_{p}_{l}_{e}_{x} _{s}_{p}_{a}_{c}_{e} _{t}_{h}_{e} _{o}_{p}_{e}_{r}_{a}_{t}_{o}_{r} A is dissipative if and only if for all X in C with Re X > 0 and all x in D(A) the inequality
11Xx —Axil _> Re Xilxli
holds. From the proof it follows that A is dissipative if and only if for every _{x} _{i}_{n} _{D}_{(}_{A}_{)} _{t}_{h}_{e}_{r}_{e} _{e}_{x}_{i}_{s}_{t}_{s} _{a}_{n} _{e}_{l}_{e}_{m}_{e}_{n}_{t} x* in _{X}_{*} such that lix* II = 1, such that < >== 11x11 and such that Re < Ax, > < 0. A proof of all this runs as follows. Let A be dissipative. Fix x in D(A) and choose for each X > 0 an element ek` in X* in such a way that _{I}_{I} xa _{I}_{I} _{<} 1 and that
iiXx Axil  = < Xx — Az,
> .
_{C}_{h}_{o}_{o}_{s}_{e} _{a}_{n} _{e}_{l}_{e}_{m}_{e}_{n}_{t} _{x}_{*} in the intersection
_{n} wealeclosure{4, : X >
is> 0
3
Since the dual unit ball is weak* compact such an element z* exists. From (1.1.) it follows that
_{R}_{e} _{<} _{A}_{z}_{,} _{4}_{,} _{>} _{=} X Re < z,z';, > —11Xx —Axil
= Xiizii — Az —Azil < 0, X > 0
(1.2.)
Here we used the fact that A is supposed to be dissipative. From (1.1.) we also obtain the equality
> 0. (1.3.)
Since z* is a weak limit point of {4 : X > p} for each p > 0 it follows from (1.2.) and (1.3.) that
_{<} _{x}_{,} _{4}_{,} >= Ilz — X1Azi 1 + X1 <
Az,41 >, X
Re < Az, z* >< 0 _{} 
(1.4.) 
< z,z* >= 114, liz*II 5_ 1. 
(1.5.) 
Finally take X in C with Re X > 0. From (1.4.) and (1.5.) it follows that
Pa — Axil > Re < Xx — Az, z* > = Re(X < z, z* >) — Re < Az, z* > Re(Xlix11) — _{0} _{=} _{R}_{e} _{X}_{l}_{i}_{z}_{i}_{l}_{.}
Next we characterize pregenerators of contraction semigroups. For a proof the reader is a referred to Lumer [194] and to burlier and Phillips [196]. See also Lumer [193]. We also include a proof.
_{T}_{h}_{e}_{o}_{r}_{e}_{m} _{1}_{.}_{3}_{.} (LumerPhillips).
Let A be a linear operator in a Banach space _{X}_{.} _{T}_{h}_{e} _{f}_{o}_{l}_{l}_{o}_{w}_{i}_{n}_{g} _{a}_{s}_{s}_{e}_{r}_{t}_{i}_{o}_{n}_{s} _{a}_{r}_{e} equivalent:
_{(}_{1}_{)} _{}
(ii)
The operator A pregenerates a strongly continuous contraction semigroup;
The operator A is dissipative, its domain is dense and there exists X > _{0} such that _{R}_{(}_{X}_{I} _{—} _{A}_{)} is dense in _{X}_{.}
4
Proof.
(i) = (ii). This implication is easy.
_{b}_{e} _{a}
sequence in D(A) for which lim xn = 0 and for which y Az,, exists. We shall
prove that y = 0. Choose yn in D(A) _{i}_{n} _{s}_{u}_{c}_{h} _{a} _{w}_{a}_{y} _{t}_{h}_{a}_{t} _{} Then, since A is dissipative,
(ii) (i). First we prove that the operator A is closable. Let (zn. _{:} _{n} _{E} _{}
Yii <
n E
II x(xxn + ym) A(Xx r, + ym)II > alf ax n + Wiz II
for X > 0, n,m E IN. First let n tend to infinity to obtain
_{I}_{I} _{X}_{Y}_{m} — XV — AYmil > _{X} ilYmil) X > 0,
7n E
Divide by X and let X tend to infinity. We get
VII
Ilihniii
m E
Finally let m tend to infinity and infer y = _{0}_{.} _{S}_{o} _{A} is closable. Let A _{b}_{e} _{i}_{t}_{s} closure. The operator _{A} has the following properties:
(1)
D(A) is dense in X;
_{(}_{2}_{)} 11Xx — Axil ?_ Xlix11, X > 0, z E D(A);
_{(}_{3}_{)} There exists Xo > 0 such that (X0/ — A)D(A) = X.
Since A is dissipative, its closure A, whenever it exists, is so too. Let Xo > 0 be such that R(X0/ — A) is dense in X. The (3) follows from (2) for X = X0. Let Xo > 0 be as in (3) and put R(X0) = (X01 — A)1 . Define for 0 < X < Xo the operator R(X) by
00
R(X) = E
n=0
 XrR(X0r+1
Since IX0 — X111R(X0)II < IX° — XIX"01 < 1, this series converges. Check for 0 < X < 2X0 the equalities
(XI A)R(X)z = z, z E X, R(X)(XI — _{A}_{)}_{x} _{}
E D(A).
Consequently (XI — Art exists for 0 < X < 2X0. Next any real number in the interval (0, 2X0) can play the role of X0. So we infer that (XI — A)1 exists for 0 < X < 4X0. Continuing in this fashion yields the existence of all inverses (XI — X > 0. From the HilleYosida theorem (Theorem 1.1.) it follows that the operator A generates a strongly continuous contraction semigroup.
5
•
We mention two corollaries.
Corollary 1.4.
Let A be a densely defined dissipative operator in a Banach Space X. If R(A) = X, then A is closed and A generates a contraction semigroup. For this corollary we need the following lemma.
Lemma 1.5.
Let A be a dissipative linear operator with range R(A) and kernel N(A). Then R(A) n A r (A) = {0}.
Proof of Lemma 1.5.
_{L}_{e}_{t} _{x} _{b}_{e}_{l}_{o}_{n}_{g} _{t}_{o} _{R}_{(}_{A}_{)} _{f}_{l} _{N}_{(}_{A}_{)}_{.} Then there exists a sequence (xn : n E IN) in N(A) and there is a sequence (y r& : n E N) in D(A) such that x lira x n _{=} _{l}_{i}_{r}_{a} _{A}_{V}_{n}_{.} Since A is dissipative the following inequalities hold:
•••••■ •
Cc
CO]
PI
Le
is
to
tb
X
se
e2
st
w
_{1}_{1}_{X}_{x}_{n} _{+} _{X}_{2}_{Y}_{r}_{n}_{.} —A(Xitm)ii = 11X(xn + Xy m)— ^{A}^{(}^{x}^{n} ^{} Xiixn
First let n tend to infinity, then divide by X and after that let X tend to zero. The inequality
iix —AYmii _{}
_{I}_{I}_{x}_{l}_{I}
will follow. Finally let m tend to infinity. Hence x = 0.
Proof of Corollary 1.4.
_{z} _{E} _{D}_{(}_{A}_{)}_{.} By Lemma 1.5. the
operator _{V} is welldefined. It is everywhere defined. Since A is dissipative and
densely defined it is closable. Since R(A) = X it is closed and so V is closed too. By the closed graph theorem it is continuous. Choose c > 0 in such a way that
cliVII < 1. Then (I+ EV)1(= E 7_r
Define the operator V : X
X by V(Az) =
0(—EV)n) exists and
(cI — V + (Y) —! = (EV — AV)(I + 611 _{}_{1} = (cV + + EV) 1 = I.
Consequently A has all properties of (ii) in Theorem 1.3. We conclude the introduction with the following corollary. For a proof we refer the reader to Balakrishnan [9, Theorem 4.33].
6
Corollary 1.6.
_{L}_{e}_{t} A be a densely defined operator in a Hilbert space. Then A _{g}_{e}_{n}_{e}_{r}_{a}_{t}_{e}_{s} _{a} contraction semigroup if and only if A is closed and _{A} _{a}_{n}_{d} _{A}_{*} _{a}_{r}_{e} _{d}_{i}_{s}_{s}_{i}_{p}_{a}_{t}_{i}_{v}_{e}_{.}
Proof.
_{L}_{e}_{t} X be the Hilbert space in which everything takes place. If A is closed and if A is dissipative, then RV — A) is closed. Suppose that the vector zo is perpendicular _{t}_{o} RV — A). _{T}_{h}_{e}_{n} _{z}_{o} belongs to 1 NA*) and (i—A*)xo = 0. If A* is dissipative too, then we see zo = 0. Hence, if A and A* are both dissipative, then R(I — A) = _{X}_{.} An application of Theorem 1.3. shows then that A generates a contraction semigroup. This proves the sufficiency part. For the necessity part, combine the easy part of Theorem 1.3. with Proposition 7.6.
There are several areas in mathematics in which motivate and influence the study of strongly continuous operator semigroups in Banach spaces. In the sequel we shall describe some of these areas.
7
_{2} Semigroups and probability theory
Let E be a locally compact space with Borel field _{E}_{.} _{E} will serve as the state space
of some strong Markov process. Let P : [0, oo) X E X E 4 [0, 1] be a suitable
Markov transition function. In fact suppose that _{P} has the following properties:
(a) For each (t, x) in [0, oo) X E
fixed, the map B 1* P(t, B), B in E , _{i}_{s} _{a}
subprobability Radon measure on _{E}_{;}
(bl) For each t > 0 and each open subset _{0} _{o}_{f} _{E} the function _{x} _{P}_{(}_{t}_{,} _{z} , _{0}_{)}_{,} x E E, is lower semicontinuous;
(b2) For each t > 0 and each compact subset
K
of
E
_{t}_{h}_{e}
function
P(t, z, K), z _{E} _{E}_{,} P(t, x, K) = 0;
_{i}_{s}
upper semicontinuous and
_{(}_{c}_{)}
(d)
The ChapmanKolmogorov identity holds:
_{P}_{(}_{s} _{+} _{t}_{,} _{x}_{,} _{B}_{)} _{=} _{f} E P(8, y, B)P(t, x, dy), 8,t > 0, z E E, B E E;
lim t _{r}_{o} P(t, z, U) = 1, x E U, U open.
Define for t > 0 and _{f} a bounded or a positive Borel function on E the function
P(t)f by
P(t)f(x)= f f (y)P(t, z, dy), x _{E} _{E}_{.} ^{}
_{(}_{*}_{)}
A Feller semigroup {P(t) : t > 0} is a positivity preserving strongly continuous
contraction semigroup acting in C0(E). _{h}_{e}_{r}_{e} _{p}_{o}_{s}_{i}_{t}_{i}_{v}_{i}_{t}_{y} _{p}_{r}_{e}_{s}_{e}_{r}_{v}_{i}_{n}_{g} means that P(t)f > _{0} _{w}_{h}_{e}_{n}_{e}_{v}_{e}_{r} f > 0. In the following theorem we identify Feller semigroups and Markov transition functions with properties (a), (b), (c) and (d) as described
above. For a proof we refer the reader to Lumer 03]. For completeness we insert an outline of a proof.
8
Theorem 2.1.
_{(}_{a}_{)}
(b)
[0,1] be a Markov transition function with
Let _{P} _{:} _{1}_{0}_{,} _{o}_{o}_{)} _{X}_{E}_{X}_{E}
properties (a), (b), (c) and (d). Define _{{}_{P}_{(}_{t}_{)} _{:} _{t} _{>} 0} as in (*). Then
P(t)Co(E) C Co(E), t > 0, and {P(t) : t > 0} restricted to Co(E) is a Feller semigroup.
Conversely let {P(t) : t > 0} be a Feller semigroup in Co(E). Then there exists a Markov transition function with the properties (a), (b), (c) and (d) for which (*) holds.
Outline of a proof.
(a) Let f _{i}_{n} Co(E) be such that 0 < f < 1 _{a}_{n}_{d} _{p}_{u}_{t}
2 "
gn = 2—n _{E} _{}
k=.1
It is readily verified that
=
_{l}_{i}_{m} I1 _{P}_{(}_{t}_{)} _{f} _{P} _{(}_{t}_{)} _{n} IJ _{c}_{o} _{=} lim IIP(t)f
_{2}_{"}
_{E} 1 {f>k2"I _{•}
_{P}_{(}_{t}_{)}_{h}_{n}_{l}_{l}
= 0, t > 0.
_{S}_{i}_{n}_{c}_{e}
is lower semicontinuous the function
_{d}_{i}_{t}_{i}_{o}_{n}_{,} _{P} _{(}_{t}_{)}_{h}_{n}_{(}_{z}_{)} = 0, the function _{P}_{(}_{t}_{)}_{f} belongs to _{C}_{O}_{)} _{f}_{o}_{r} t > 0. From the ChapmanKolmogorov identity (c), the semigroup property P(8 + = P(a) o P(t), a, t > 0, follows. Since limo P(t, x, U) = 1 for all z in U and for all open subsets U of E, _{i}_{t} _{f}_{o}_{l}_{l}_{o}_{w}_{s} _{t}_{h}_{a}_{t}
P(t)hn,
n E IN, is upper semicontinuous and since
_{P}_{(}_{t}_{)}_{f}
P(t)gn, n _{E} IN,
is continuous. Since, in ad
lim P(t) /(z) _{=} _{1}_{(}_{4} _{f} _{E}
Co(E),
z E E.
From this together with Lebesgue's dominated convergence theorem it follows that
tamfP(t)fdt=ff dµ
for all f in _{C}_{o}_{(}_{E}_{)} and all complex Radon measures it on E. Since Co(E)* can be identified with the space of all complex Radon measures on E, it follows that the semigroup _{{}_{P}_{(}_{t}_{)} _{:} _{t} _{>} 0} is weakly continuous. It is a standard result in semigroup theory that a weakly continuous semigroup is strongly continuous, e.g. see Yosida [277]. This proves (a).
9
(b) Let {P(t) : t > 0} be a Feller semigroup, fix t > 0, fix x in E and consider the continuous linear functional
_{f} _{H} [P(04(4 f E Co(E) .
By the Riesz representation theorem there exists a subprobability measure ittz on
_{E} which is also a Radon measure such that
P(t)f(y) = f f(Y)dittz(0) _{f} E Co(E).
Define the function _{P} : [0, oo) X E X _{} _{[}_{0}_{,}_{1}_{]} _{b}_{y}
P(t, B) = pt(B), t> 0, xE _{E}_{,} _{B}_{E}_{E}_{.}
It is a more or less standard exercise in topological measure theory that the function P has the properties (a), (bl), (b2), (c) and (d).
E be a second countable locally compact Hausdorff space and let
P : [0, co) X E X E > [0,1] be a Markov transition function with the properties
(a), (b), (c) and (d). In Blumenthal and Getoor [25, p. 42.] it is shown that there exists a strong Markov process
Let
f(til M Pz), (X t
:
t
0), (t t : t > 0),
(E, e)}EEE
with right continuous paths such that for all _{x} _{i}_{n} _{E} _{t}_{h}_{e} _{j}_{o}_{i}_{n}_{t} _{d}_{i}_{s}_{t}_{r}_{i}_{b}_{u}_{t}_{i}_{o}_{n}
Ps(Xti _{E} _{B}_{1}_{,}
) _{X}_{t}_{„} _{E} _{B}_{.}_{)} is given by
_{P}_{x}_{(}_{X}_{t}_{i} _{E} B1,
Xtt, E B,) =
f
f
BI B 2
where t1 < t 2 <
_{f} P(t,.
_{B}_{,}
— ;2_1, .P(t2 — ti, xi dx2)P(ti, x, _{d}_{x}_{i}_{)}
< to and where B1, B2,
,
(2.1.)
_{B}_{.} are Borel subsets of _{E}_{.}
Some explanation seems in order.
_{(}_{i}_{)} ^{}
The path space or sample space fl is the collection of all right continuous paths from [0, oo) in E.
10
_{(}_{i}_{i}_{)} _{} 
_{T}_{h}_{e} _{s}_{t}_{a}_{t}_{e} _{v}_{a}_{r}_{i}_{a}_{b}_{l}_{e}_{s} _{(}_{X}_{t} _{:} _{t} > 0) are maps from 12 to E and are defined by 

Xt(w) (40, w E 0, and the maps (eh, : h > 0) are the shift operators 

in 0 : [6h(w)1(t) = Lo(t + h), t > h > _{0}_{.} _{C}_{o}_{n}_{s}_{e}_{q}_{u}_{e}_{n}_{t}_{l}_{y} _{X}_{„}_{+}_{t} = X, o et, 8, t > 0. The state variables describle the "motion" of the process. For _{e}_{v}_{e}_{r}_{y} _{z} _{i}_{n} _{X}_{,} the collection 

{(0, .M, Pz), (Xt _{:} _{t} _{>} _{0}_{)}_{,} _{(}_{e}_{h} : h 
0), 
, ell 

is a stochastic process which starts in z. 

_{(}_{i}_{i}_{i}_{)} 
_{T}_{h}_{e} _{s}_{t}_{a}_{t}_{e} _{s}_{p}_{a}_{c}_{e} _{E} and E is the Borel field of _{E}_{.} The symbol .M stands for the oalgebra which makes each state variable Xt measurable as a map from (0, _{)}_{4}_{)} _{t}_{o} _{(}_{E}_{,} _{6}_{)}_{.} 

_{(}_{i}_{v}_{)} 
For every z in E the map I:" is a probability measure in 12. For A in (, Pz(Xo _{E} _{A}_{)} _{=} _{0} _{o}_{r} _{1} _{a}_{n}_{d} f"(X 0 _{=} _{z}_{)} _{=} _{1} 

_{(}_{v}_{)} 
A random variable Y is an .Mmeasurable function from 0 to C. If I : E is Borel measurable, then f o Xt is a random variable. 
C 

(vi) 
The collection {Pz : z E E} is a Markov process in the sense that for every bounded or nonnegative random variable Y the function x 14 Ez(Y) := fYdPx, x E E, is Borel measurable and that 

_{E}_{x}_{(}_{Y} _{o} _{e}_{t} _{I} _{i}_{t}_{)} _{=} _{E}_{x} t(Y), 
Px almost surely. (2.2.) 
Here 4 is the oalgebra generated by _{{}_{X}_{9} _{:} _{0} _{<} _{a} < t} . In other words
=
: 0 < 8 < t).
The symbol Ex(Y o t9t I it) is the conditional expectation of the random _{v}_{a}_{r}_{i}_{a}_{b}_{l}_{e} _{Y} _{a} _{e}_{t} with respect to the aalgebra 4. Thus Ex(Y 0 6t _{1} .7t) is a 4measurable function for which
f Ex(Y o et _{I} _{7}_{t}_{)}_{d}_{P}_{z} _{=} f Y o etdPx, _{A} _{E}
A
A
(2.3.)
The RadonNikodym Theorem guarantees the existence of such a function. From (2) and (3) it follows that
_{f} _{Y} _{o} _{t}_{,}_{t} dPz = I Ex t (y) _{d}_{r} rIX _{A} _{E} _{I}_{t}_{)}
A
A
_{t} _{>} _{0}
(2.4.)
Using the monotone class theorem it is fairly easy to show that (2.2.) follows from (2.1.).
11
_{(}_{v}_{i}_{i}_{)}
_{(}_{v}_{i}_{i}_{i}_{)}
From property (d) much more follows. Using (d) it can be proved that
_{E}_{z}_{(}_{Y} _{o} _{V}_{t} _{I} _{i}_{t}_{+}_{)} _{=} _{E}_{x}_{t} _{(}_{Y}_{)}_{,} _{P}_{z}
almost surely.
_{f}_{o}_{r} _{a}_{l}_{l} _{t} _{>} 0 and all suitable random variables Y. Here
(2.5.)
n.›t _{7}_{8}_{•}
Even more is true. Equality (2.5.) is not only true for constant times but also for pathdependent socalled optional or stopping times. An (4.0stopping _{t}_{i}_{m}_{e} _{T} is a map T from fl to [0, oo] such that for every t > _{0} _{t}_{h}_{e} _{s}_{e}_{t} {T < t} belongs to it. So for bounded or nonnegative random variables
Y the equality
(2.6.)
Ez(Y 0 t9T I .7T+) _{=} _{E}_{x}_{T}_{(}_{Y}_{)} _{}
holds Px almost surely. Here IT+ is the aalgebra defined by
IT+ =
n
c>o
: S C _{T} _{+} _{E}_{,} _{S} stopping time).
So for a subset A of 11 defined solely in terms of stopping times _{S} _{<} _{T}_{,} the function Ez(Y 0 6T I IT+) is _{I}_{T}_{+} _{m}_{e}_{a}_{s}_{u}_{r}_{a}_{b}_{l}_{e} _{a}_{n}_{d}
A
Y 0 OtTdPx = f ExT(Y)dPz, _{A} _{E} _{T}_{T}_{+} A
Often the latter is rewritten as
Ex (Y 0 6T : A) = Ez(ExT(Y) _{:} _{A}_{)}_{,} _{A} _{E} _{F}_{T}_{+}_{.}
(ix)
Let B be a Borel subset or, more generally, an analytic subset of _{E}_{.} _{U}_{s}_{i}_{n}_{g} Choquet's capacity theorem it can be proved that the first hitting time T : w —+ [0, oo] defined by
_{T}_{(}_{w}_{)} =
inf{t co
> 0 : _{X}_{t}_{(}_{c}_{d}_{)} E B}
if Xt(u.)) E B for some 0 < _{t} _{<} _{o}_{o}_{,}
if Xt(w)
for some 0 < _{t} _{C} _{c}_{o}_{.}
_{B}
is 
a stopping time. These first hitting times or first exit times can be used 
to 
solve Dirichlet's problem for open subsets of Ir. 
(x) From the Markov property (2.2.) follows the semigroup property of the maps {P(t) : t > 0} defined by
[P(t)fax) = Ex(f(Xt)), t > 0,
E E.
Here f is a suitable Borel measurable function defined on _{E}_{.}
12
(xi) If for some _{z} _{i}_{n} _{E} and some t > 0, _{P}_{(}_{t}_{,} _{x}_{,} _{E}_{)} _{<} _{1}_{,} then in (i) through (x) the _{s}_{t}_{a}_{t}_{e} _{s}_{p}_{a}_{c}_{e} _{E} should be replaced by EU{oo}, the onepoint compactification of E. Moreover in this case the subset 1I of _{(}_{E} _{U} _{{}_{o}_{o}_{}}_{)}_{[}_{°}_{}}_{"}_{)} may be chosen in such a way that if w in II is such that Xt(w) _{=} _{o}_{o} _{f}_{o}_{r} _{s}_{o}_{m}_{e} t > 0, then X.(w) oo for all s > t. We also have
_{1}_{3}_{x} _{(}_{X}_{t} = oo) = 1— P(t, x, E), _{}
_{t} _{>} _{0}_{,}
x E E.
It is pointed out that, by property (d),
_{l}_{i}_{m} _{P}_{z} _{(}_{I}_{t} = oo) = lim(1
do
do
(t , E)) == 1 — 1 = 0
for all _{z} _{i}_{n} _{E}_{.} _{F}_{i}_{x} 23 in E. If P(t, x, E) = 1 for all t > 0, the process, which starts at x, is said to _{h}_{a}_{v}_{e} _{i}_{n}_{f}_{i}_{n}_{i}_{t}_{e} _{l}_{i}_{f}_{e}_{}_{t}_{i}_{m}_{e}_{.} If, on the other hand _{P}_{(}_{t}_{,} _{x}_{,} _{E}_{)} _{<} _{1} for some t > _{0}_{,} _{t}_{h}_{e}_{n}
P(8., x, E) = f P(s — t, y, E)P(t, x, dy) < f P(t, x, dy) = P(t, z, E) < 1
for all s > t. In this case the process which starts in x is said to have finite lifetime. It is mentioned that (2.1.) and its consequences (2.2.), (2.4.) and (2.8.) are the relevant equalities in the study of (strong) Markov processes. It is also mentioned that if property (d) is augmented to
lim do C _{I}_{} _{s}_{u}_{p}
zEic
_{(}_{1} _{—} P(t, x, U)) = _{0}_{,}
_{K}_{C} _{U}_{,} _{K}
compact, K open,
then there exists a realization of the above Markov kernel as a strong Markov process with continuous sample paths. For further information see Bauer [14], Chung [49], Port and Stone [228] and Blumenthal and Getoor [25]. If the sample _{s}_{p}_{a}_{c}_{e} _{1}_{2}_{,} _{t}_{h}_{e} _{s}_{t}_{a}_{t}_{e} _{s}_{p}_{a}_{c}_{e} E and the probability measures _{{}_{1}_{3}_{z} : x E E} are clear from the context, then the Markov process is usually denoted by (Xt : t > 0). As a main example one should think of Brownian notion in W', where Px(Xt E A), t > 0, A E £, is given by
Px(Xt E A) = WiTrtrn
^{j} exp(—(201
A
y(2)dy•
In view of what is written above it seems fair to study generators of Feller
semigroups. An operator A with domain and range in Co(E) satisfies the maximum
principle _{i}_{f} _{f}_{o}_{r} _{e}_{a}_{c}_{h} _{f} _{i}_{n} D(A) with supfEE _{R}_{e} _{A}_{O} _{>} 0 there exists which
in E for
13
0 < sup
fEE
and for which the inequality
Re f = Re f(6)
ReAf(eo)<0
holds. Notice that operators which satisfy the maximum principle generalize second derivative operators; e.g. see Hunt [144], Arendt, Chernoff and Kato [7] or Sato [239]. An operator which satisfies the maximum principle is dissipative. We outline a proof. For another proof see Lamperti [170]. The result is due to Feller
[94].
Theorem 2.2.
A linear operator with domain and range in _{C}_{o}_{(}_{E}_{)} is the pregenerator of a Feller semigroup if and only if it has the following properties:
_{(}_{a}_{)}
(b)
_{(}_{c}_{)}
Proof.
Its domain D(A) is dense in _{C}_{o}_{(}_{E}_{)}_{;}
It satisfies the maximum principle;
There exists X > 0 such that _{R}_{(}_{X}_{I} _{—} _{A}_{)} _{i}_{s} _{d}_{e}_{n}_{s}_{e} _{i}_{n} _{C}_{O}_{)}_{.}
Sufficiency. As is readily verified an operator A in Co (E) satisfies the maximum principle if and only if for all X > 0, all 6 in R and all _{f} in D(A) the inequality
II{Re(XI — A)(ei6 f)1+ II cc _{}
_{X}_{I}_{I}_{{}_{R}_{e}_{(}_{e}_{i}_{6}_{f}_{)}_{+}_{1}_{1} _{0}_{0}
holds. Here g+ = max(g, 0), whenever g is a realvalued function. Since for real functions g in _{C}_{o} _{(}_{E}_{)} the equality
Ilg+11,, = inf{Ilu + gli : u > 0,
_{u} _{E} Co(E)}
_{h}_{o}_{l}_{d}_{s}_{,} _{w}_{e} _{s}_{e}_{e} _{t}_{h}_{a}_{t} _{A} satisfies the maximum principle if and only if for all X > 0, all 6 in R and all _{f} in D(A) the inequality
inffliu + Re{(X/ —A)(el6i)lii00
u ?: 0, u E Co(E)}
X inlay + Re(e16 f)11 _{0}_{0} : v > 0, v E Co(E)) (*)
14
holds. From inequality (*) it follows among others that A is dissipative. Since _{D}_{(}_{A}_{)} is dense, by (a), the operator A is closable. Let A be its closure. By Theorem 1.3. the operator A generates a contraction semigroup _{{}_{P}_{(}_{t}_{)} : t > _{0}_{}}_{.} _{F}_{r}_{o}_{m} _{(}_{*}_{)} _{i}_{t} _{r}_{e}_{a}_{d}_{i}_{l}_{y} _{f}_{o}_{l}_{l}_{o}_{w}_{s} _{t}_{h}_{a}_{t} g in D(A) satisfies g > 0 whenever Xg — Ag > 0. Notice that inequality (*) remains true with A replaced by A. Consequently (XI — A) _{—}_{1} _{f} _{>} _{0} _{f}_{o}_{r} _{a}_{l}_{l} f _{i}_{n} _{C}_{o}_{(}_{E}_{)} is nonnegative. _{N}_{e}_{c}_{e}_{s}_{s}_{i}_{t}_{y}_{.} If A is closable and its closure generates a Feller semigroup, then (a)
_{f}_{i}_{n} _{I}_{N}_{A}_{)} be such that )l {Re !lc, is
strictly positive. Put g = (Re f)+ = max(Re _{f} _{,} _{0}_{)} _{a}_{n}_{d} _{c}_{h}_{o}_{o}_{s}_{e} _{e}_{o} in E for which
and (c) are automatically satisfied. Let
g(e0) = supfg(e) : C E E}.
Then, Re f(4) = g(e0), and so, since P(t)(Re _{f}_{)} _{<} _{P}_{(}_{t}_{)}_{g} _{,}
Re Af (Co) = lim t
t o
Re(P(t)f (Co) — f(ea
_{=}_{t}_{i}_{o} _{t}  i(P(t)(Re i)(eo) — Re f(eo))
< lira sup t1 (P(t)g(e0) — g(6))
suP tie t1 (HMI co — 1191100)
^{l}^{i}^{m} ^{s}^{u}^{p} tie ^{t} —l aigiloo — 1191100) = _{0} _{.}
Consequently the operator A _{h}_{a}_{s} _{p}_{r}_{o}_{p}_{e}_{r}_{t}_{y} _{(}_{b}_{)} _{t}_{o}_{o}_{.}
If E = R.' and if A is the Laplacian in Co(Rn), then the closure of A generates a Feller semigroup. Using Theorem 2.2., the following corollary is easy to prove. A proof can also be found in Lumer [193].
Corollary 2.3.
Let E be a bounded open subset of R' for which Dirichlet's problem is solvable. Let A be the Laplace operator in Co (E). Then A pregenerates a Feller semigroup.
Proof.
Let vn be the fundamental solution of the Laplace operator in Rn. So _{v}_{n}_{(}_{z}_{)} _{=} _{c}_{n}_{i}_{x}_{1}_{—}_{(}_{1}_{}_{2}_{)}_{,} _{x} E Rn\{0}, n > 3, v2(z) = C2 logixl, x E R2 \{0}, and vi(z) = cilzi, x E 1111.
where .1(z) = 1(x), C (E) as follows. For f
Define the operator Vn _{:} _{C}_{o}_{(}_{E}_{)}
_{C}_{o}_{(}_{R}_{n}_{)} _{b}_{y} _{V}_{n}_{f} _{=}
_{f} _{*}
_{x} _{E} _{E}_{,} _{7}_{(}_{x}_{)} _{=} _{0}_{,} _{x} _{¢} _{E}_{.} Define the operator HE _{:} _{C}_{(}_{6} _{E}_{)}
15
_{i}_{n} 
_{C}_{(}_{S}_{E}_{)}_{,} _{H}_{E} _{f} is the unique continuous function defined on E, whose restriction 
_{t}_{o} 
_{E} is harmonic and for which HE f (z) = f (x) for z in SE. Since the problem of 
_{D}_{i}_{r}_{i}_{c}_{h}_{l}_{e}_{t} _{i}_{s} _{s}_{o}_{l}_{v}_{a}_{b}_{l}_{e} _{f}_{o}_{r} _{E}_{,} _{s}_{u}_{c}_{h} _{a} _{f}_{u}_{n}_{c}_{t}_{i}_{o}_{n} _{H}_{E}_{!} exists and is uniquely determined
by f . Then
A((V,J — E(V„f Is E)) 1E) = 1,
_{f} E Co(E).
_{C}_{o}_{n}_{s}_{e}_{q}_{u}_{e}_{n}_{t}_{l}_{y} _{R}_{(}_{A}_{)} = Co (E). Corollary 1.4. applies to the effect that A generates _{a} _{c}_{o}_{n}_{t}_{r}_{a}_{c}_{t}_{i}_{o}_{n} _{s}_{e}_{m}_{i}_{g}_{r}_{o}_{u}_{p} _{i}_{n} Co(E). Since A satisfies the maximum principle, this is a Feller semigroup.
Remark.
In the terminology and notation of Theorem 6.7. the operator A of Corollary 2.3.
pregenerates the semigroup {Q(t) : t > _{0}_{}} _{g}_{i}_{v}_{e}_{n} _{b}_{y}
[CM) fi(x)
(f (Xt) T > t), f E Co(E), zEE,
Here T is the first exit time from E:
t> 0.
T = inf{t > 0 : Xt _{E} _{E}_{c}_{}}
In the following definition we fix a nonnegative strictly positive Radon measure
m on a locally compact Hausdorff space E. _{W}_{e} _{a}_{l}_{s}_{o} _{f}_{i}_{x} _{1} _{<} _{p} _{<} _{o}_{o}_{.}
_{1}_{1}_{.}_{1}_{1}_{p} _{d}_{e}_{f}_{i}_{n}_{e}_{d} _{b}_{y}
_{E} LP(E, m). Notice that C00(E) is a dense subspace of
LP(Eon). For this we have used the fact that in is a Radon measure and
_{I}_{I} _{f} _{l}_{i} _{p} _{=} _{(}_{f} _{I} _{f}_{l}_{P}_{d}_{m}_{)}_{1}_{/}_{P}_{,} _{f}
The space
_{L}_{P}_{(}_{E}_{,} m) will be equipped with the norm
that 1 5_ p < oo. So if _{T} _{:} _{(}_{C}_{o}_{o}_{(}_{E}_{)}_{,} _{1}_{1}_{.}_{1}_{1}_{p}_{)} _{1}_{}_{÷} _{(}_{L}_{P}_{(}_{E}_{,} m), 11.11p) is a continuous linear
operator, it can be extended to all of _{L}_{P}_{(}_{E}_{,} _{m}_{)}_{.} _{T}_{h}_{i}_{s} _{e}_{x}_{t}_{e}_{n}_{s}_{i}_{o}_{n} _{i}_{s} _{a}_{g}_{a}_{i}_{n} _{d}_{e}_{n}_{o}_{t}_{e}_{d}
by T and its adjoint by T* . The operator T* then acts from Lq (E , m) to Lq(E, m)
where q1 _{+} _{p}_{}_{1} _{=} _{1} _{f}_{o}_{r}
_{1} _{<} p < co and where _{q} _{=} oo for p = 1.
Definition 2.4.
Let {Po(t) : t > 0} be a Feller semigroup in _{C}_{o}_{(}_{E}_{)} and let in. be a non negative strictly positive Radon measure on _{E}_{.} Fix 1 p < co. The semigroup {Po(t) : t > 0} is said to act on LP(E,m) if it has the followng properties:
(i) ^{}
_{T}_{h}_{e}_{r}_{e} _{i}_{s} _{a}
0 < t <
_{6} _{>} 0 and
_{S} and such that
11P0(t)flip 5_ _{}
Af > 1 _{s}_{u}_{c}_{h} _{t}_{h}_{a}_{t}
_{P}_{o}_{(}_{t}_{)}_{C}_{o}_{o}_{(}_{E}_{)} _{C}
_{I}_{f}
_{I} E Coo(E), 0 < t 5_ s;
I (E, m) for
16
(ii)
If the semigroup {P0(t) : t > 0} has property (i) and if f belongs to _{C}_{o}_{o}_{(}_{E}_{)}_{,} _{t}_{h}_{e}_{n} the entire orbit {Po(t) : t > 0} is a subset of LP(E,m). Moreover there exists a real number w such that
limt _{l}_{o} 11Po(t)f — f II p = _{0}_{,} f E Coo(E).
11/30(i)f11p 5_ Mewililli»
t
_{0}_{,}
_{f} _{E} Coo(E).
Since Coo(E), is dense in LP(E,m) it follows by continuity and by (ii) that the semigroup {Po(t) : t > 0} can be extended to a strongly continuous semigroup in (E, in). This semigroup will again be denoted by _{{}_{P}_{o}_{(}_{t}_{)} _{:} t > _{0}_{}}_{.} _{T}_{o} _{p}_{r}_{o}_{v}_{e} _{t}_{h}_{e}_{s}_{e}
f in
assertions it suffices to estimate 11P0(nt)/ Il p for 0 < t < 5, n E IN, and for
_{C}_{o}_{o}_{(}_{E}_{)}_{.} _{H}_{e}_{r}_{e} S > 0 is as in property (i). Write _{M} _{=} exp(w5) where
M = sup{11P0(t)flip : f E _{C}_{o}_{o}_{(}_{E}_{)}_{,} _{I}_{l}_{l} _{l}_{l}_{p} 5. 1, 0 < t 5_ 61.
_{F}_{i}_{x} _{f} and g in Coo(E) and n in N. Then we have, for _{0} _{<} t < 6,
_{I}_{f} Po((n + 1)t)f g dint
_{=} _{I}_{f} _{P}_{o}_{(}_{n}_{t}_{)}_{.}_{f}_{P}_{o}_{(}_{t}_{)} ^{*} _{g} _{d}_{m}_{'} _{}
iiPo(nt)flipliNtr gliq
Po(t)h.g dmi : h _{E} _{C}_{o}_{o}_{(}_{E}_{)}_{,} Ilhllp < 1}
_{h} _{E} Coo(E))
h E Coo(E),
MI6 IC 1}
ilhllp 5_ 1}
=
5_ IIPo(nt)f
5_ 11Po(nOillp.suP{MIlh11P11911q
M.11Po(nt)fli•g11q•
Since g _{i}_{n} _{C}_{o}_{o}_{(}_{E}_{)} is arbitrary we infer by induction that
_{1}_{1}_{P}_{0} _{(}_{n} _{t} _{)}_{f} _{l}_{l}_{p} _{}
_{0} _{1}_{5}_{.} _{t} _{}
By the definition of u.) it follows that
11 130(t)i1112
_{M}_{e}_{w}_{t} _{I}_{l}_{f}_{l}_{l}_{p}_{,} _{}
_{t}
_{>} _{0}_{,} _{}
n E N,
_{f} E Coo(E).
_{f} E Coo(E).
In the following proposition we collect some of the relevant properties of Feller semigroups in relation to LPspaces. Among others it shows that if a Feller semi group has property (i) in Definition 2.4., then it acts on _{L}_{P}_{(}_{E}_{,} m) for 1 < p < oo.
Proposition 2.5.
Let {Po(t) : t > 0} be a Feller semigroup in _{C}_{o}_{(}_{E}_{)} and let m be a strictly positive _{R}_{a}_{d}_{o}_{n} _{m}_{e}_{a}_{s}_{u}_{r}_{e} _{o}_{n} _{E}_{.} Let A0 be its generator. Let _{S} _{>} 0, M > 1 and define in It by M = exp(cd5). Suppose
17
_{I} _{i}_{P}_{a}_{(}_{t}_{)}_{f} Idni < m flfldm, f E Coo(E), 0< t< 6.
The following assertions are valid:
(a)
If 1 < _{p} _{<} oo , then the semigroup {Po(t) : t > 0} acts in LP(E, m). It satisfies
(b)
UP0(t)filp 5_ (Ad exP(wt))11111/11p) f E IJ(E,m),
t > 0.
If the subspace _{{}_{f} _{E} _{M}_{A}_{O} 110 f E (E m)} is I
then the semigroup {Po(t) : > 0} acts in LL1(E,m) 1.
_{1}_{1}_{P}_{o}_{N}_{f}_{I}_{l}_{i} _{5}_{_} _{m} exP(4411fIll , f E Ll (E, m),
tiloicI dIenssaeinL1(E, It satisfies
t> 0.
Here m is said to be strictly positive if m(0) > 0 for every nonvoid open subset 0 of E.
Proof.
From the above discussion it follows that
11P0(t)fIli 5_ m exp(cot)11f111,
_{f}
_{E} Coo(E),
t > 0
(2.7.)
(a) Let (t, z, B) Po(t, z B), t > 0, z _{E} _{E}_{,} _{B}_{E}_{E}_{,} be the Markov transition function corresponding to the semigroup {Po(t) : _{t} _{>} _{0}_{}}_{.} _{B}_{y} _{H}_{o}_{l}_{d}_{e}_{r}_{'}_{s} _{i}_{n}_{e}_{q}_{u}_{a}_{l}_{i}_{t}_{y} we have, for f in _{C}_{o}_{o}_{(}_{E}_{)} and z in E,
_{I}_{P}_{0}_{(}_{O}_{f}_{(}_{x}_{)} _{I} _{=} If f(v)Po (t,
_{f} _{I}_{f} (v)IP0(t, z, dv)
< (f lq Po(t, x, dy)) 11gUlf(Y)IPP0(t, x, dy))' ^{I} ^{'}
(LP0(t)I f I _{P}_{1}_{(}_{x}_{)}_{)}_{1}_{I}_{P}
Here 1 < p < co and q 1 + p1 _{a}_{n}_{d} t > 0,
1. So from (2.7.) we obtain, for fin Coo(E),
_{1}_{1}_{P}_{0}_{(}_{t}_{)}_{i}_{l}_{1}_{f}_{,} c 11P0M1i1P111 < mexp(wOl11f1P111 = mexppoilfg. (2.8.)
Hence the inequality in (a) follows from (2.8.). By density and by (2.8.) it suffices to prove the strong continuity of the semigroup {P0 _{(}_{t}_{)} _{:} _{t} _{>} 0} in _{L}_{P}_{(}_{E}_{,} _{m}_{)} _{f}_{o}_{r} functions f in Coo(E). So let f be in Coo(E). Then
18
11P0(t)f — f IIp = flPo(t)f — f
IP0(t) f — Mtn
liPo(t)f
f it1 111)0(t)f —f llr
5_ 11130(t)f — f
(1 + m
_{S}_{i}_{n}_{c}_{e} f is a Feller semigroup it follows that
iimilPo(t)f _{—}_{1}_{1}_{1}_{p} _{=} _{0}_{,}
to
_{1} E Coo(E).
_{(}_{b}_{)} _{L}_{e}_{t} _{f} _{i}_{n} _{D}_{(}_{A}_{.}_{o}_{)} be such that Ao f belongs to 1) (E m). For 0 < t < S we have
t
_{H}_{A}_{M} _{f} _{—} _{f}_{i}_{l}_{l} _{=} _{I}_{I}_{I} Po(8)(Aond8111
0
t
filPo(8)A0filids 5_ Mt1140/111.
0
So limtiollP0(t)f — flii = 0 for
The density of the collection of such functions _{f} implies the strong continuity of
_{{}_{P}_{o}_{(}_{t}_{)} _{:} t > 0} in Ll (E , m).
fin D(A0) such that Ao f belongs to Ll
Corollary 2.8.
_{L}_{e}_{t} _{{}_{P}_{o}_{(}_{t}_{)} _{:} t > 0} be a Feller semigroup which is symmetric in the sense that
_{I} _{N}_{W} _{.}_{9} _{d}_{m} _{=} _{f} _{f} Po (t)g dm, f, g E 000(E), t > 0.
Then
11P0(t)filp
Ilfilp)
f E Coo(E), t >
0,
_{a}_{n}_{d} _{t}_{h}_{e} _{s}_{e}_{m}_{i}_{g}_{r}_{o}_{u}_{p} _{{}_{P}_{o}_{(}_{t}_{)} _{:} _{t} _{>} _{0}_{}} _{a}_{c}_{t}_{s} _{i}_{n} _{L}_{p}_{(}_{E}_{,} m) for 1 < p < oo. For p = 2 the semigroup {P0 _{(}_{t}_{)} _{:} _{t} _{>} _{0}_{}} is selfadjoint and has a selfadjoint generator.
Proof.
Fix f in _{C}_{o}_{o}_{(}_{E}_{)} _{a}_{n}_{d} _{t} _{>} _{0}_{.} Then
IIP0(t)/111 = suP{If Po(t)f.g dmi : g E Coo(E); _{}
(t)g dmi : g _{E} _{C}_{o}_{o}_{(}_{E}_{)}_{,} _{}
=
supflf f
ligii00 < 1}
1}
_{1}_{1}_{9}_{1}_{1}_{0}_{0} _{C} .
_{<} _{s}_{u}_{P}_{t}_{i} If .P0(t)gldrn : _{g} _{E} _{C}_{o}_{o}_{(}_{E}_{)}_{)}
5_ supff If Idm.11P0(i)g1100
_{1}_{1}_{0}_{0}_{0} _{<} _{1}_{}} C 1}
_{g} _{E} _{C}_{o}_{o}_{(}_{E}_{)}_{,} _{}
sup{f l f idm.11g11,,,, : g E Coo (E),
1}
= 11/111.
19
As above it follows that IIP0(t)illp <
it follows that {Po (t): t > 0} acts in I (E
_{o}_{p}_{e}_{r}_{a}_{t}_{o}_{r} _{P}_{o}_{(}_{t}_{)}_{,} t > 0, extends as a selfadjoint operator to L2(E,m).
_{I}_{l}_{l}_{1}_{1}_{,}_{,} _{f} _{E} _{c}_{o}_{o}_{(}_{E}_{)}_{.} From Proposition 2.5.
m) for 1 < p < oo. For p = 2 each
Remark 1.
Fukushima [102] founds the theory of symmetric Markov processes on symmetric (Feller) semigroups.
Remark 2.
Notice that the Laplace operator in R ri generates a symmetric Feller semigroup which also acts in _{L}_{l}
Remark 3.
Let {Po(t) : t > 0} be a Feller semigroup in _{C}_{o}_{(}_{E}_{)} and let (t, x, B) 14 Po(t, z B), t > 0, z E E, B E 6, be the corresponding Markov transition function. We write
Po(t) f (z) = I f (y)P0(t, x, dy), t > 0,
for those Borel measurable functions for which the right hand side makes sense. If (Xt : t > 0) is the Markov process which corresponds to the semigroup _{{}_{P}_{o}_{}}_{(}_{t}_{)} _{:} _{t} _{>} 01, we have
_{P}_{o}_{(}_{t}_{)}_{i}_{(}_{z}_{)} _{=} Ex(f(Xt )), t > 0,
for all suitable Borel measurable functions _{f} _{.}
Remark 4.
Theorem 2.8. has its ramifications in the theory of the Schrodinger semigroups. The proof uses the FeynmanKac formalism. In Chapter 6 some results on Schrodinger operators are stated without proof. The FeynmanKac formalism says the following. Let
_{{}_{(}_{f}_{i}_{,} M , PT), (Xt t > 0), (t _{h} _{:} _{h} _{>} _{0}_{)}_{,} _{(}_{E} _{8}_{)}_{1}
be a Markov process with state space E and let V be a suitable Borel measurable function. Define for an appropriate Borel function _{f} _{a}_{n}_{d} _{t} _{>} 0 the function _{P}_{(}_{t}_{)} _{f} by
t
P(t) f (x) = E2(exp(— .10 V(Xe)ds)f(Xt)), x E E.
20
Then the family {P(t) : t > 0} has the semigroup property; i.e.
[P(8 + t)fi(x) = [P(8)(P(t)f)](x), x E E, 8,1 7] 0.
For the state variables one often takes Brownian motion and for V a suitable potential function. In this case the generator of the semigroup {P(t) : t > 0} is a suitable selfadjoint version of the operator _{2} O — V. In the following definition we define the class of potential functions we have in mind.
Definition 2.7.
_{F}_{i}_{x} _{a} _{F}_{e}_{l}_{l}_{e}_{r} _{s}_{e}_{m}_{i}_{g}_{r}_{o}_{u}_{p} {Po(t) : t > 0} in _{C}_{o}_{(}_{E}_{)}_{.} A Borel measurable function V _{o}_{n} _{E} is said to be in Kato's class with respect to {Po(t) : t > 0} if it has the following properties:
(i) 
The integrals ft _{[}_{P}_{o}_{(}_{s}_{)}_{V}_{+}_{1}_{(}_{z}_{)}_{d}_{s} are finite for z in E and t > 0; 
(ii) 
limtlo _{s}_{u}_{p}_{z}_{E}_{E} _{f}_{t}_{)} [Po(8)V_1(x)ds = 0. 
_{I}_{f} 
_{V}_{_} _{h}_{a}_{s} _{p}_{r}_{o}_{p}_{e}_{r}_{t}_{y} _{(}_{i}_{i}_{)}_{,} _{t}_{h}_{e}_{n} _{f}_{t}_{)} [Po(s)V_1(z)da is finite for all t > 0 and all re in 
E 
Here V+ = max(V, 0), V_ = max(—V , 0) and we only consider real functions
V.
_{I}_{n} _{t}_{h}_{e} _{f}_{o}_{l}_{l}_{o}_{w}_{i}_{n}_{g} _{t}_{h}_{e}_{o}_{r}_{e}_{m}
E denotes a second countable locally compact
Hausdorff space, m denotes a strictly positive Radon measure on E and {P0(1) : t > 0} denotes a fixed Feller semigroup, which in part (b) is supposed
to act in Ll(E,m). Thus it acts in all spaces _{L}_{P}_{(}_{E}_{,} _{m}_{)}_{,} _{1} _{<} _{p} _{<} oo. In fact if
p
> 1 we just need the fact that
M := suP{11P0(t)flii 111111 5_ 1,
f E Ceo(E),
0 C t C 1}
is
semigroup {P0 (t) : t > 0}. The Markov process associated to this fixed semigroup
is denoted by
finite; see Proposition 2.5. By "Kato class" we mean with respect to the fixed
{(11,.M,Ps), (Xt _{,} _{t}_{>} _{0}_{)}_{,} _{(}_{t}_{h}_{y} _{h}_{>} _{0}_{)}_{,}
_{(}_{B}_{)} _{e}_{)}_{}}_{.}
Theorem 2.8.
Let the notation and hypotheses be as above.
(a)
Let V be a continuous function defined on _{E} such that both V+ and V_ belong to Kato's class and let A0 be the generator of the semigroup
_{C}_{o}_{(}_{E}_{)}_{.} Then there exists a closed linear operator A
_{4} ^{} _{{}_{P}_{o}_{(}_{t}_{)} _{:} _{t} _{>} _{0}_{}} _{i}_{n}
_{I} ^{}
21
which extends Ao — V and which generates a strongly continuous positivity preserving semigroup {P(t) : t > 0} in Co(E). If V > 0, then this semi group is again a Feller semigroup.
(b) Let I < p < oo and suppose that the semigroup {Po(t) : t > 0} acts in _{(}_{E}_{,} m). Let V be a function in Kato's class and let Ao be the generator of {Po(t) : t > 0} considered as a semigroup in LP(E, m). Then there ex ists a closed linear operator A which extends Ao — V and which generates a strongly continuous positivity preserving semigroup {P(t) _{:} _{t} _{>} _{0}_{}} _{i}_{n} LP(E,m). If p = 2 and if {Po(t) : t > 0} is symmetric, then the operator _{A} is selfadjoint and it generates a selfadjoint semigroup.
_{A}_{n} _{o}_{p}_{e}_{r}_{a}_{t}_{o}_{r} T is positivity preserving _{i}_{f} _{T} _{f} _{>} _{0} _{f}_{o}_{r} _{f} _{>} _{0}_{.}
Proof.
(a) Let f be in Co(E) and define the functions _{P}_{(}_{t}_{)}_{f} _{,} _{t} _{>} _{0}_{,} _{b}_{y}
t
[P(t) Az) = Ex (exp(— f V(X8 _{)}_{c}_{i}_{a}_{)}_{.} _{f} _{(}_{X}_{t}_{)}_{)}_{,}
0
_{z}
_{E} _{E}_{.} _{}
_{(}_{2}_{.}_{9}_{.}_{)}
From the Markov property it follows that, for _{s}_{,}_{t} _{>} _{0} _{a}_{n}_{d} _{z} _{i}_{n} _{E}_{,}
8+t
[P(8 + t)f](z) = (exp(— f V (X8r)do). f (X8+0)
0
t
= Ex (exp(— f V (X 4dcr). exp(— f V (X r+8)dr) f t+
0
0
= Ex (exp(— f V (L)dcr).E x •(exp(— _{f} _{V} _{(}_{X}_{T} _{)}_{d}_{r}_{)}_{f} _{(}_{X}_{t}_{)}_{)}_{)}
8
= Ex (exp(— of V (Xa)do.).[P(0 _{f}_{]}_{(}_{X}_{,}_{J}_{)}
[P(8)(P(t)f)i(x) •
Next define the families of operators _{{}_{7}_{1}_{,}_{4}_{(}_{0} _{:} _{t} _{>} _{0}_{}}_{,} _{n} _{E} _{I}_{N}_{,} _{b}_{y}
[7111(t)gz) =
1
_{E} _{z} ((f V(X8)dsr f(Xt)), t > 0,
0
f E Co(E), n > 1, (2.10.)
[TO) f](x) = Po(t)f(z) = Ez (f(Xt)), t > 0,
f E Co(E).
Since V(z)V(y) = _{V} _{(}_{y}_{)}_{V}_{(}_{x}_{)}_{,} _{x}_{,} _{y} _{E} _{E}_{,} _{i}_{t} _{f}_{o}_{l}_{l}_{o}_{w}_{s} _{t}_{h}_{a}_{t}
22
[Tn(t) f](x) = Ez ((
f
o<81.<82‹
<en<t
vpc8j
17(xsid8n
d81)
ftxt)),
(2.11.)
_{f}_{o}_{r} _{f} _{i}_{n} _{C}_{o}_{(}_{E}_{)}_{,} _{t} _{>} 0, zEE,n> 1. Using the Markov property it readily follows _{t}_{h}_{a}_{t} _{f}_{o}_{r} x in E and t > 0,
t
[Tn+ift)filx) = f Po(8)(vTn(t — 8) f)(x)(18, f E Co (E), n = 0, 1, 2,
0
(2.12.)
Here we use the convention of Remark 3. Put
t
a(t) = sup{f P0(8)1171(z)ds : z _{E} _{E}_{}}_{.}
0
_{S}_{i}_{n}_{c}_{e} V+ and V_ belong to Kato's class it follows that
lim a(t) = 0
By induction on n it follows that, for t > 0,
sup{P;( 8)/1100 _{}
t} 5 a(t)n sup{11130(8)fil : 0 C 8 5 t }, f E Co(E)
(2.15.)
From the definition of {P(t) : t > 0} it follows that
CO
_{[}_{P}_{(}_{t}_{)}_{f}_{]}_{(}_{x}_{)} _{=} E(1)n [Tn (t) f 1(x), t > 0, z E E,
n=0
(2.113.)
whenever the sum at the right hand side converges. Fix f in Co(E). From (2.14.) and (2.15.) it follows that
(1)" ETn (t) fl(x)
n=0
converges uniformly and absolutely on E in x and on [0, 5] in t for sufficiently small positive _{6}_{.} From (2.6.) it follows that each function Tn(t)/ belongs to Co(E). Consequently the functions
00
_{P}_{(}_{t}_{)}_{f} _{=} E (1)n IVO ,
n=0
0 < t < 6,
23
_{b}_{e}_{l}_{o}_{n}_{g} _{t}_{o} _{C}_{o}_{(}_{E}_{)}_{.} _{S}_{i}_{n}_{c}_{e} _{{}_{P}_{(}_{t}_{)} _{:} _{t} _{>} 0} has the semigroup property it follows that P(t)C0(E) C Co(E) for t > 0. For the strong continuity we notice the inequalities:
IIP(t)f — 11100
11 Po (t)1 — 11100 +
00
11Tn(t) f 1100
n=1
00
11Po(t) f — 11100 +
a(t)n 11 f 1100
n=1
a(t)(1 — a(t)) 1 1111100 ^{} (2.17.)
for f in Co(E) and for t > 0 such that a(t) < _{1}_{.} _{S}_{i}_{n}_{c}_{e} _{l}_{i}_{m}_{t}_{l}_{o} _{a}_{(}_{t}_{)} = _{0} _{a}_{n}_{d} _{s}_{i}_{n}_{c}_{e} _{{}_{P}_{o} _{(}_{t}_{)} _{:} _{t} _{>} _{0}_{}} is a Feller semigroup the strong continuity follows from (2.17.). Let A be the generator of the semigroup {P(t) : t > 0}. We shall prove that A extends the operator /44) — V. To prove this, pick _{f} _{i}_{n} _{C}_{o}_{(}_{E}_{)} _{a}_{n}_{d} _{p}_{i}_{c}_{k} _{t} _{>} _{0}_{.} _{U}_{s}_{i}_{n}_{g} _{t}_{h}_{e} Markov property we see
11P0(t)f — /1100
+
t
f Po(8)(v P(t — s)f)(z)ds
^{0}
t
=1 Ez(V(L) [P(t — s)J](X _{8} _{)}_{)}_{d}_{s}
0
t
t8
_{=} _{f}
o
t
_{E}_{z} _{[}_{V} (X.).Ex. (exp(— _{f}
t8
_{o}
V(X7.)dr)./(Xt„))]da
= f Ez [V (L). exp(— f V(X,±8 _{)}_{d}_{r}_{)}_{.}_{f}_{(}_{X} _{t} _{)}_{l}_{d}_{s}
= Ex [f IT(. 71E) exp(— f V (Xr )dr).ds. f(Xt)lds
o
o
t
0
t
a
t
= Ex [exp(— f V (X,)dr) _{I} _{B} ^{s} _{=} = 0 t f WO]
= [Po(t)1](x) — [P(t)4(z)•
Define for X > 0 the operators V(X) by
(2.18.)
CO
[V (X)f](x) = X f C" Po(s)(V f)(x)ds ^{o}
co
= X Ex( f e —x8V(X8).f(L)d8), _{z} _{E} _{E}_{,} _{}
o
(2.19.)
24
_{w}_{h}_{e}_{r}_{e} f is in Co(E). Notice that for f in Co(E), such that V f is in C0 (E),
(2.20.)
_{w}_{h}_{e}_{r}_{e} _{a}_{s} _{a}_{l}_{w}_{a}_{y}_{s} _{A}_{0} is the generator of the semigroup {Po(t) : t > 0}. Since the semigroup {P(t) : t 7 0} is strongly continuous there exists a constant M > 1 and a real number to such that
V(X)f = X(XI Apr1.17 _{f} _{}
_{I}_{I}_{P}_{(}_{t}_{)}_{f} _{1}_{1}_{0}_{0} _{<} _{M} exP(EA)11/1100) t > Define for t > 0 the number OM by
0,
f
E Co(E).
t
i3(t) = sup{E'(f
0
_{V}_{_}_{(}
7(8)d8)
_{:} _{z} _{E} _{E}_{}}_{.}
(2.21.)
For X > 0 we have, by the Markov property,
0 0
Ex( f e —)"'
0
=
Ex( _{}
V.4)( 9 )ds)
e—
Ict5
X(k1)8 (k1)8
e—X( ■—(k11.0) _{I}_{T}
(x8_
k_ i 6+
k_ i Od8)
k1 

E 
(E 
e —x0 1)5 
(f 
e —x* VL(X.)ds)) 
k=1
< (1 — e—>5)1 fl(5).
Since /9(5) < 1 for S sufficiently small we obtain
000
_{s}_{u}_{p}_{{}_{E}_{2}_{(} _{f}
_{e}_{}_{}_{x}_{8} V
4_2(8)ds)
: z E E} < co, X> 0.
(2.23.)
Fix X > max(0, w). By (2.23.) we may apply Fubini's theorem in the equality
0 0
f e ^{—}^{A}^{t} Po(8)(VP(t —8)f)d8)dt
o
_{0}
f e ^{—}^{a}^{t} Po(t)f dt
0
f r xt P(t)fdt, f _{E} Co(E), f> 0.
^{0}
(2.24.)
This equality follows from (2.18.). From (2.19.) and from the identity
000
(XI — A)—1 f= f e —xt P(t)f dt, f
E Co(E),
25
we obtain
_{(}_{I} _{+} _{X} _{}_{1} _{V}_{(}_{X}_{)}_{)}_{(}_{X}_{I} _{—} _{A}_{)} —1 f = (XI — A 0 ) 1 f, f E Co (E). (2.25.)
First (2.25.) is valid for nonnegative functions and so (2.25.) is also true for arbitrary functions in Co(E). From (2.25.) we conclude
_{(}_{X}_{I} _{—} A) f = (XI — Ao)(I + X1V (X)) f , f E D(A)
(2.26.).
So from (2.20.) and (2.26.) we infer the equality
(XI — _{A}_{)}_{f} _{=} _{(}_{X}_{I} _{—} _{A}_{o} _{+} _{V}_{)}_{f} _{,} _{f} _{E} D(440) n D(V)•
It follows that A extends Ao — V. This proves (a).
(b)
Again define the semigroup _{{}_{P}_{(}_{t}_{)} _{:} _{t} _{>} _{0}_{}} _{a}_{s} _{i}_{n} _{(}_{a}_{)}_{.} _{S}_{o}
t
[P(t)fj(z)= _{E}_{x} _{(}_{e}_{x}_{p}_{(} _{—} o f V(L)d8). _{f} _{(}_{X}_{t}_{)}_{)}_{,}
_{f} _{E} _{L}_{"}_{(}_{E}_{,} m), t > 0 . (2.27.)
Let 1 < q < oo be such that q1 +p1 = 1. Since V_ belongs to Kato's class,
so does qV such that
Consequently there exists a constant _{M} _{>} 1 and a real number ce
t 

Ez(exp(q f 
V_(X8)ds)) _{<} _{M} _{e}_{x}_{p}_{(}_{w}_{t}_{)}_{,} _{t} _{>} _{0}_{,} _{x} _{E} _{E}_{.} 
(2.28.) 
o 
Let f be in _{1}_{1}_{(}_{E}_{,} m). From (2.27.), (2.28.) and Wilder's inequality it follows that
t
Ez(exp(— .1'0 V(X8)(18)./(Xt))
t
< (Ex(exp(—q f
o
5 _ (Ex(exp(q f V_(X 8 )ds))) 11q (P0 (t)IfjP)11P
V(X,Jd8))11q(E _{x} _{l}_{f}_{(}_{X}_{t}_{)}_{r}_{)}_{1}_{/}_{P}
t
o
(M exP(wt))11q (Po(t)i.f1P)1/13
Since {Po(t) : t > 0} acts in Ll (E,ra) _{w}_{e} _{o}_{b}_{t}_{a}_{i}_{n} _{f}_{r}_{o}_{m} _{t}_{h}_{e} _{l}_{a}_{t}_{t}_{e}_{r}
26
11P(Of11; 5_ (M exP(wt))P I q f
Po(t)IPP _{d}_{m}
< (M exp(wt))th _{M}_{0}
exp(wot) _{f}_{l}_{i}_{r}_{d}_{m}
= m; exp(p LI pt) IIf IT,.
Here Mp =M 1/q MV q ,
_{P} _{—}_{l} wo + and
flPo(t)gidm C M c exp(cdo t) flg'dm, g E (E , m).
Consequently
11P(t)illp C M, exp(u.,p 011 f _{l}_{i}_{p}_{,} t
0, f
E LP (E, m).
(2.29.)
To prove that the semigroup {P(t) : t > 0} is strongly continuous we pick _{f} _{a}_{n}_{d} _{g} _{i}_{n} _{C}_{o}_{o} _{(}_{E}_{)}_{.} Since V is in Kato's class and since the paths of the underlying Markov process are right continuous, it follows from Lebesgue's dominated, convergence theorem that
lim
f (P(t) f (x) f (x)) g(x) drn(z) = 0.
(2.30.).
_{S}_{i}_{n}_{c}_{e} _{C}_{o}_{o}_{(}_{E}_{)} _{i}_{s} _{d}_{e}_{n}_{s}_{e} _{i}_{n} DIE, m) as well as in Lq (E m) it follows from (2.29.) and (2.30.) that
lim
t _{i}_{o}
f (P(t)/ (z) — f (z)) g(x) dm(x) = 0
(2.31.)
for all f in LP(E, in) and g in Lq (E m). So the semigroup {P(t) : t > 0} is weakly continuous. Consequently it is strongly continuous and hence
lint IIP(t) f — f _{f}_{l} _{p} = 0, f E _{L}_{P}_{(}_{E}_{,} m).
_{L}_{e}_{t} _{A} be its generator. As in the proof (a) it follows that
(XI — AV = (XI — A0)(1 + X 1 V(X)) f f E D(A)
for X sufficiently large. Again the operator V(X), X > 0, is defined by
co
_{V}_{(}_{X}_{)}_{/}_{(}_{x}_{)} _{=} _{X} if) e —x8 EE(Ir(X,V(X 8))d8
_{f}_{o}_{r} _{t}_{h}_{o}_{s}_{e} _{f}_{u}_{n}_{c}_{t}_{i}_{o}_{n}_{s} _{f} for which this definition makes sense. Consequently for f in D(An) n D (V) we have
Af =Ao f —V f.
This proves (b) for general 1 < p < co. Next we consider the case p = 2. Define the functions _{V}_{,}_{,}_{,}_{k}_{,} n E IN, by
„(x) _{}
,;T;( ^{x} _{)}
—7/ < V(z) elsewhere,
k
27
and define the semigroups {Pn,k(t) : t > 0}, n, k E IN, by
[Pn,k(t)f](x) = Ex(exp(—
0 _{f} Vn,k(X8)d8)./(Xt )),
t > 0, f E L2 (E , m).
From what is proved above it follows that every semigroup {P„,k(t) : t > 13} is _{s}_{t}_{r}_{o}_{n}_{g}_{l}_{y} _{c}_{o}_{n}_{t}_{i}_{n}_{u}_{o}_{u}_{s}_{.} _{L}_{e}_{t} _{A} _{r}_{z}_{,}_{k} ) n, k E IN, be the corresponding generator. Then
AnA f = A.of — Vn,k _{}
MAO.
From Corollary 2.6. it follows that each _{A}_{r}_{z}_{,}_{k} is selfadjoint. So the semigroups {Pn,k(t) : _{t} _{>} _{0}_{}}_{,} _{n}_{,} _{k} E IN, are selfadjoint. _{S}_{i}_{n}_{c}_{e}
P(t) f = lim
lim
n.00 k.co
Pn,k(t)f , f _{E} _{L}_{2}_{(}_{E}_{,}_{m}_{)}_{,} t > 0,
it follows that the semigroup {P(t) : t > 0} is selfadjoint. So its generator A is selfadjoint. In the following theorem we investigate the domain of A, the generator of _{t}_{h}_{e} _{s}_{e}_{m}_{i}_{g}_{r}_{o}_{u}_{p} _{{}_{P}_{(}_{t}_{)} _{:} t > 0}, defined by the FeynmanKac formalism, in case
(E, m). A function f in _{L}_{P}_{(}_{E}_{,} _{m}_{)} is said to be in D((u Aor) if
_{t}_{h}_{e}_{r}_{e} _{e}_{x}_{i}_{s}_{t}_{s} _{a} _{s}_{e}_{q}_{u}_{e}_{n}_{c}_{e} (f n : n E IN) in D(A0) _{s}_{u}_{c}_{h} _{t}_{h}_{a}_{t} _{f} _{=} lim fn and such that
V is in go
,
(u Ao)— f lim u(Ao _{f} _{n}_{)} exists. Here u is some measurable function.
Theorem 2.9.
Let the hypotheses and notation be as in Theorem 2.8. (b). The following asser tions hold true (1 < p < oo):
(a)
(b)
The subspace _{I}_{f} E D(A)
Suppose that V, as well as being in Kato's class, also belongs to go _{,} (E, m).
_{L}_{e}_{t} _{(}_{t}_{i}_{n} : n E IN) be a sequence in Coo(E) _{f}_{o}_{r} _{w}_{h}_{i}_{c}_{h} 0 < un < _{1}_{,} _{n} _{E} _{I}_{N}_{,}
un(x) = 1 for all x in E. Then every f in D(A)
and for which
which is bounded belongs to D((un A0) —), n E IN, and
_{m}_{)} _{:} _{A}_{f} _{E} _{L}_{°}_{°}_{(}_{E}_{,} _{m}_{)}_{}} is a core for A;
Af =
lim (u n AO—f —V(un f)}.
n'—PCC
(c) Suppose in addition that in (ii) the sequence (un : n E IN) can be chosen in such a way that if f belongs to D(A) n L"(E, m) and is such that _{A}_{f} belongs to _{L}_{"} _{(}_{E}_{,} m), then the functions u nf, n E N, belong to MAO and
lim {(u n Ao)—f — Ao(un f = 0.
28
The subspace L of 17(E m) defined by
L=IfE D(A4)) n
is a core for A.
Proof.
(E,
: _{} _{O}_{r} _{c}_{o}_{m}_{p}_{a}_{c}_{t}
_{}}
_{(}_{a}_{)} Let f be in D(A) and let X > 0 be sufficiently large. Then
Xf — Af = lira
n—,.00 gn
_{w}_{h}_{e}_{r}_{e} _{g}_{n} in _{L}_{'}_{N}_{E}_{,} in) has the form gn _{=} _{X}_{f}_{n}
_{A}_{f}_{n}_{.} _{T}_{h}_{e}_{n}
co _{i}_{n}_{(}_{z}_{)} _{=} _{(}_{X}_{I} _{—} _{} _{g}_{n}_{(}_{x}_{)} = Ez Jo'
e— _{a}_{t} _{e}_{x}_{p}_{(}_{—} _{f} V (X „)(18) gn(Xt _{)}_{d}_{t}_{)}_{.}
As in the proof of (2.23.) in Theorem 2.8 (a) it follows that
Ihz(x)1
00
Ex( f
0
_{e} ^{—}^{a}^{t} exp(f
0
C (X)II nil co
V_(X8)(18)•g„,(Xt )dt)
_{C}_{o}_{n}_{s}_{e}_{q}_{u}_{e}_{n}_{t}_{l}_{y} _{f}_{n} belongs to D(A) _{f}_{l} _{L}_{°}_{°}_{(}_{E}_{,} _{m}_{)}_{.} _{S}_{i}_{n}_{c}_{e} _{g}_{n} is also in VIE, in) we see that Af,,, is in L°° (E, m). From (XI — f = limn, _{(}_{X}_{I} _{—} _{A}_{)}_{f}_{n} it follows
that f = _{l}_{i}_{r}_{a}
(b) Let
f _{b}_{e} _{i}_{n} _{D}_{(}_{A}_{)} _{n} _{} , in) and let the sequence (u _{n} _{:} _{n} E IN) in Coo(E) be
as in (b). Then, since V belongs to Liao (E, in), the functions _{V}_{(}_{u}_{n}_{f}
n E IN, belong
to _{L}_{P}_{(}_{E}_{,} m). Fix X > 0 sufficiently large and let the functions _{V}_{o}_{c}_{y} n, k E IN, be defined as in the proof of Theorem 2.8. (b). Define the functions fn,k, k, n E IN,
in D(A0) by
_{f}_{r}_{i}_{,} and that Af = lim Af n _{.} This proves (a).
(2.32.)
_{F}_{i}_{r}_{s}_{t} _{a}_{s}_{s}_{u}_{m}_{e} _{t}_{h}_{a}_{t} _{A}_{f} is in L°°(E, m) too. Then sup{II fn,k _{I}_{I} _{I} : n, k E is finite
f
— Af = (XI — _{}
and
tti(XI —
=
lira
lira ua(X/ Ao) _{}
_{+} V(tti f),
_{f} E IN.
Since _{f} _{}
general f in _{D}_{(}_{A}_{)} n m) there are functions ft in D(A) n (E , m) such that Aft is in Le° (E m) for t in ll\T and such that _{f} _{=} _{l}_{i}_{r}_{a} _{f}_{t} and Af = lira Af t .
_{l}_{i}_{m}_{k}_{.} _{f}_{n}_{,}_{k} we see that f belongs to D((ui Ao)—). For
29
_{M}_{o}_{r}_{e}_{o}_{v}_{e}_{r} _{w}_{e} _{m}_{a}_{y} _{a}_{s}_{s}_{u}_{m}_{e} _{t}_{h}_{a}_{t} _{l}_{i}_{d} _{<} _{i}_{f} _{1}_{,} _{t} _{E}
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