86 E.B.

Dynkin
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where P is an operator given by the first formula in (2). (6) is valid also for
n = 0, if P° is taken as the unit operator.

§3. The Green's function

We return to the problem raised in § 1 of describing all excessive functions

corresponding to a transition function p(x, y). From (1) it follows that the
non-negative constants always belong to the set of excessive functions. It may
happen that no other excessive functions exist.
For example, let E be the set of all integers and p(x, y) = - if | x —y | = 1,
and p(x, y) = 0 for remaining pairs x, y. (The corresponding Markov processes
are called simple random walks.) It is evident that

and the condition that/is an excessive function can be written

<p (x + 1 ) < <p (*),
where <p(x) = f(x + 1) ~f(x). For any natural number k
f (x + k) = / (x) + q> (x) + 9 (x + 1) + . . . + <p (x + k - 1 ) <
< / (x) + ky (x)f
/ (x) = / (x - *) + q> (x - k) + . . . + <p (x - 1) > / (x - k) + ftp (x).
Since/is non-negative, it follows from the first inequality that /(*) >~ky(x)
and from the second that/(x) > ky(x). Since A: is arbitrary, it follows that
^?(x) = 0, and therefore/is a constant.
Replying on the notion of a Green's function we derive a class of processes
for which sufficiently many excessive functions exist. The Green's function is
defined by the series
oo

g(*> y)-= 2 P(n, x, y). (7)

The process is called transient iig{x, y) < <» for arbitrary x and >>.
Copyright @ 1982. Cambridge University Press.

We note that by (5)p{n, x, y) = Px ! xn =y} =Mx8(xn,y). Hence

_ (*». y). W

Under the sign of mathematical expectation there stands the number of times
the path hits the pointy. The condition of being transient implies that this
number is almost certainly finite. Thus, for a transient process almost all paths
go only a finite number of times through one and the same state. Hence, if the
states are enumerated in any order, for almost all non-terminating paths the
number of the state tends to infinity.

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 Boundary Theory of Markov Processes (The Discrete Case) 87
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The simple random walk considered above has the property: almost all paths
go infinitely often through any point.1 Processes with this property are called
recurrent. It can be proved that every connected Markov process is either
transient or recurrent. (We say that a Markov process is connected if for any two
states x and y there exists n such that pin, x, y) > 0; in other words, if
g(x, y) > 0 for any x and y.) For any recurrent process, as for the simple random
walk, there do not exist non-constant excessive functions. Henceforth, without
saying so each time, we only discuss transient processes.
The Green's function corresponds to the operators

<?/(*)= 2 * ( * . y)f(y),
u
I»G (0 = 2 I* (*)*(*. 0-
X

From (6) and (7) it is clear that

G
= 2 P". (9)

Hence, for non-negative / and fi

f + PGf --= Gf, |i + tiGP - jiG. (10)
Therefore it is evident that Gf is an excessive function and /xG an excessive
measure.
We put 8y(x) = 3(x, y). It is obvious that

g(x, y) = (G6y)(x) = (6xG)(y).

Hence g(x, y) is an excessive function of x for fixed y and an excessive measure

with respect to y for fixed x. Thus, the Green's function permits us to connect
an excessive measure and an excessive function with each point of E. It is this
initial store of excessive functions and measures from which subsequently all
excessive functions and measures are obtained.
We derive one important property of the Green's function.
Copyright @ 1982. Cambridge University Press.

LEMMA 1. For any states x and y

g(x, y) = n(x, y)g(y, y), (11)

where ir(x, y) = Px \ xn - y for some n } is the probability of hitting y starting

from x.
PROOF. We put

Am = {x0 ¥= y, xi ¥= y, . . ., * m -i ¥= y, xm = y).

1
See, for example, [ 5 ] . Ch. XIII, §3.

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