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I wanted to know if it was true that if we are given a one-dimensional Feller process taking values in $\mathbb{R}$ and a hitting time $\tau_A=\inf\{t>0 s.t. X_t\in A\}$ with $A$ a open set (this to avoid measurability complexities but I would be also interested in the general case)

then if $X_0\in \bar{A}^c$ we have :

$\lim_{t\to 0}P[\tau_A<t]=0$

Regards

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I think it is more usually called a Feller process –  Henry Feb 24 '11 at 14:53
    
@Henry : post edited accordingly. –  TheBridge Feb 24 '11 at 18:24

1 Answer 1

up vote 4 down vote accepted

Some useful facts about Feller processes are at http://almostsure.wordpress.com/2010/07/19/properties-of-feller-processes/.

In particular, every Feller process admits a cadlag modification. If you are willing to assume you are dealing with such a modification, then your question becomes pretty easy, since by continuity of probability $\lim_{t \to 0} P(\tau_A < t) = P(\tau_A = 0)$. But $\bar{A}^c$ is open and $X_t$ is a.s. continuous at 0 so this has probability 0. It doesn't much matter that $A$ be open or even measurable, since if you replace $A$ by $\bar{A}$ the answer is the same.

If you insist on using a non-cadlag modification, I am not sure that you can say much.

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Ok I Got it Nate Thanks –  TheBridge Feb 25 '11 at 13:18

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