A new proof of Doob's theorem

Abstract

We prove that every bounded, positive, irreducible, stochastically continuous semigroup on the space of bounded, measurable functions which is strong Feller, consists of kernel operators and possesses an invariant measure converges pointwise. This differs from Doob's theorem in that we do not require the semigroup to be Markovian and request a fairly weak kind of irreducibility. In addition, we elaborate on the various notions of kernel operators in this context, show the stronger result that the adjoint semigroup converges strongly and discuss as an example diffusion equations on rough domains. The proofs are based on the theory of positive semigroups and do not use probability theory.