A duality relation for entrance and exit laws for Markov processes

J. Theodore Cox and Uwe Rösler

Stochastic Processes and their Applications, 1984, vol. 16, issue 2, 141-156

Abstract: Markov processes Xt on (X, FX) and Yt on (Y, FY) are said to be dual with respect to the function f(x, y) if Exf(Xt, y) = Eyf(x, Yt for all x [epsilon] X, y [epsilon] Y, t [greater-or-equal, slanted] 0. It is shown that this duality reverses the role of entrance and exit laws for the processes, and that two previously published results of the authors are dual in precisely this sense. The duality relation for the function f(x, y) = 1{x

Date: 1984
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