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Some new examples of Markov processes which enjoy the time-inversion property
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  • Published: 27 December 2004

Some new examples of Markov processes which enjoy the time-inversion property

  • Léonard Gallardo1 &
  • Marc Yor2 

Probability Theory and Related Fields volume 132, pages 150–162 (2005)Cite this article

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  • 28 Citations

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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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Author information

Authors and Affiliations

  1. Université de Tours Laboratoire de Mathématiques et Physique Théorique-UMR 6083 Parc de Grandmont, 37200, Tours, France

    Léonard Gallardo

  2. Universités Paris VI et VII Laboratoire de Probabilités et Modèles Aléatoires Casier, 188 - 4, Place Jussieu, 75252, Paris Cedex 05, France

    Marc Yor

Authors
  1. Léonard Gallardo
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  2. Marc Yor
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Corresponding author

Correspondence to Léonard Gallardo.

Additional information

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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  • Received: 01 June 2004

  • Revised: 01 October 2004

  • Published: 27 December 2004

  • Issue Date: May 2005

  • DOI: https://doi.org/10.1007/s00440-004-0399-y

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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
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