Affine Dunkl processes of type A₁

DOI10.1214/11-AIHP430MaRDI QIDQ441253zbMATH OpenFDO

Authors F. Chapon

Publication date 20 August 2012

Published in Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1010.3680, https://projecteuclid.org/euclid.aihp/1340714875

zbMATH Keywords

affine root systemsDunkl processesHeckman-Opdam processesmartingale decompositionultraspherical polynomialsWeyl groups

Mathematics Subject Classification ID

Orthogonal polynomials and functions associated with root systems (33C52) Harmonic analysis on hypergroups (43A62) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Diffusion processes (60J60)

Abstract: We introduce the analogue of Dunkl processes in the case of an affine root system of type $widetilde{extA}_1$. The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a jump process on the affine Weyl group, where the radial part of the affine Dunkl process is defined as the unique solution of some stochastic differential equation. We prove that the affine Dunkl process is a c`adl`ag Markov process as well as a local martingale, study its jumps, and give a martingale decomposition, which are properties similar to those of the classical Dunkl process.

Review text

It is well-known that Dunkl and Heckman-Opdam processes on \(\mathbb R^d\) can be constructed from their radial parts by adding jumps in a suitable way, where the radial parts are certain diffusions on the associated Weyl chambers.NEWLINENEWLINEIn this paper, a first step is done to define Dunkl-type processes on \(\mathbb R^d\) with jumps from certain classes of diffusions on compact alcoves in \(\mathbb R^d\). For this, the author restricts his attention to Dunkl-type processes of type \(\tilde A_1\), where the radial parts are ultraspherical processes on \([0,1 ]\). For these Dunkl-type processes on \(\mathbb R\), the generator of the associated transition semigroup is studied, and, in particular, a martingale decomposition is presented.NEWLINENEWLINEDue to a natural summation condition in the construction of the generator on \(\mathbb R\), it seems that the approach of this paper is restricted to examples of rank one.

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Cites work

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Cited in

(6)

• Sweetest taboo processes
• Radial Dunkl processes associated with dihedral systems
• Reciprocal of the first hitting time of the boundary of dihedral wedges by a radial Dunkl process
• Dunkl jump processes: relaxation and a phase transition
• Skew-product representations of multidimensional Dunkl Markov processes
• A chaotic representation property of the multidimensional Dunkl processes

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