Abstract.
In this paper we give a sufficient condition on the semi group densities of an homogeneous Markov process taking values in ℝn which ensures that it enjoys the time-inversion property. Our condition covers all previously known examples of Markov processes satisfying this property. As new examples we present a class of Markov processes with jumps, the Dunkl processes and their radial parts.
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Mathematics Subject Classification (2000): 60J25, 60J60, 60J65, 60J99
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Gallardo, L., Yor, M. Some new examples of Markov processes which enjoy the time-inversion property. Probab. Theory Relat. Fields 132, 150–162 (2005). https://doi.org/10.1007/s00440-004-0399-y
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DOI: https://doi.org/10.1007/s00440-004-0399-y
Keywords
- Homogeneous Markov processes
- Semi-stable processes
- Time inversion property
- “Opérateur carré du champ”
- Bessel processes
- Wishart processes
- Dunkl processes
- Radial Dunkl processes
- Dunkl processes with drift
- Brownian motion in a Weyl chamber