Strong Feller semigroups and Markov processes: A counter example

Abstract: The aim of this note is to show, by providing an elementary way to construct counter-examples, that the strong Feller and the joint (space-time) continuity for a semigroup of Markov kernels on a Polish space are not enough to ensure the existence of an associated c`adl`ag Markov process on the same space. One such simple counter-example is the Brownian semigroup on $\mathbb{R}$ restricted to $\mathbb{R}\setminus {0}$, for which it is shown that there is no associated c`adl`ag Markov process. Using the same idea and results from potential theory we then prove that the analogous result with c`adl`ag Markov process replaced by right Markov process also holds, even if one allows to change the Polish topology to another Polish topology with the same Borel $\sigma$-algebra.