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

DOI10.1007/S10959-007-0104-ZMaRDI QIDQ2481392zbMATH OpenOpenAlexFDO

Authors Stephan Lawi

Publication date 9 April 2008

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

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

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)

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.

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

(10)

• Reflection groups in analysis and applications
• Markov processes, time-space harmonic functions and polynomials
• On the semi-group of a scaled skew Bessel process
• Space and time inversions of stochastic processes and Kelvin transform
• 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
• Time inversion property for rotation invariant self-similar diffusion processes

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