Duality theory for self-similar processes (Q1085889)

Let \((X_ t,t\geq 0)\) be a time homogeneous strong Markov process on \({\mathbb{R}}^ n\setminus \{0\}\) with transition function \((P_ t(\cdot,\cdot))_{t\geq 0}\) and with nice sample paths. Assume that (i) for some \(\alpha >0\), \(P_ t(x,A)=P_{ct}(c^{\alpha}x,c^{\alpha}A)\) for \(t\geq 0\), \(x\in {\mathbb{R}}^ n\setminus \{0\}\), \(A\in {\mathcal B}({\mathbb{R}}^ n\setminus \{0\})\) and \(c>0\), and (ii) \(P_ t(x,A)=P_ t(T(x),T(A))\) for \(T\in {\mathcal O}({\mathbb{R}}^ n)\) (the group of orthogonal transformations on \({\mathbb{R}}^ n)\). In short, \((X_ t,t\geq 0)\) is taken to be an \(\alpha\)-self similar, rotation invariant Markov process. It is shown that for the process X there exists another rotation invariant \(\alpha\)-self similar Markov process which is in a weak duality with X with respect to the measure \(| x|^{1/\alpha -n}dx\). Two characterizations of the dual process are also given.