Skew-product representations of multidimensional Dunkl Markov processes (Q731689): Difference between revisions

The study of multidimensional Dunkl processes was originated by \textit{M. Rösler} [Commun. Math. Phys. 192, No. 3, 519--542 (1998; Zbl 0908.33005)] and by \textit{M. Rösler} and \textit{V. Voit} [Adv. Appl. Math. 21, No. 4, 575--643 (1998; Zbl 0919.60072)]; see also \textit{L. Gallardo} and \textit{K. Yor} [Some remarkable properties of the Dunkl martingales. Berlin: Springer. Lecture Notes in Mathematics 1874, 337--356 (2006; Zbl 1128.60027)]. In Section 2, some notation for martingale problems and extended infinitesimal generators for Markov processes is introduced. Section 3 contains the definition of a Dunkl process \(X\) and its radial part \(X^W\). In particular, the invariance property of \(X\) under the action of the group \(O(\mathbb{R}^n)\) is obtained. Section 4 contains the study of \(X^W\). In particular, conditions on the parameters of \(X^W\) are obtained which guarantee that \(X^W\) does not hit the walls of a Weyl chamber \(C\). If this holds, then \(X^W\) can be characterized as the unique solution of a certain stochastic integral equation or as the unique solution of the corresponding martingale problem. In Section 5, the skew-product decomposition (given in the above-mentioned paper by Gallardo and Yor) is generalized to multidimensional Dunkl processes.