Summary
Continuous time changes of Markov processes preserve duality, but a discontinuous time change recently proposed by Weidenfeld does not. We modify his procedure to obtain a time change which preserves duality when the time changing functional is natural.
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Research supported in part by a Taft Grant-in-Aid of Research from the Charles Phelps Taft Memorial Fund, University of Cincinnati
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Mitro, J.B. A discontinuous time change for natural additive functionals which preserves duality. Probab. Th. Rel. Fields 72, 463–470 (1986). https://doi.org/10.1007/BF00334196
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DOI: https://doi.org/10.1007/BF00334196