Towards a characterization of Markov processes enjoying the time-inversion property

DOI10.1007/S10959-007-0104-ZzbMATH Open1141.60046arXivmath/0506013OpenAlexW2009273286MaRDI QIDQ2481392FDOQ2481392

Stephan Lawi

Publication date: 9 April 2008

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Abstract: We give a necessary and sufficient condition for a homogeneous Markov process taking values in $R^n$ to enjoy the time-inversion property of degree $alpha$. The condition sets the shape for the semigroup densities of the process and allows to further extend the class of known processes satisfying the time-inversion property. As an application we recover the result of Watanabe in cite{Wa1975} for continuous and conservative Markov processes on $R_{+}$. As new examples we generalize Dunkl processes and construct a matrix-valued process with jumps related to the Wishart process by a skew-product representation.

Full work available at URL: https://arxiv.org/abs/math/0506013

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zbMATH Keywords

Bessel processesWishart processesDunkl processesHomogeneous Markov processesSemi-stable processesTime-inversion property

Mathematics Subject Classification ID

Diffusion processes (60J60) Markov processes (60J99) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25)

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Cited In (9)

• Reflection groups in analysis and applications
• On the semi-group of a scaled skew Bessel process
• Boundary-crossing identities for diffusions having the time-inversion property
• Time Inversion Property for Rotation Invariant Self-similar Diffusion Processes
• Skew-product representations of multidimensional Dunkl Markov processes
• Shiga-Watanabe's time inversion property for self-similar diffusion processes
• Some new examples of Markov processes which enjoy the time-inversion property
• Independent factorization of the last zero arcsine law for Bessel processes with drift
• The classical bi-Poisson process: an invertible quadratic harness

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