Space and time inversions of stochastic processes and Kelvin transform

DOI10.1002/MANA.201700152MaRDI QIDQ4632095zbMATHOpenAlexWikidataFDO

Authors Loïc Chaumont, Piotr Graczyk, Tomasz Żak, Larbi Alili

Publication date 25 April 2019

Published in Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.00916

zbMATH Keywords

diffusionKelvin transformself-similar Markov processesDoop \(h\)-transforms

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Harmonic, subharmonic, superharmonic functions on other spaces (31C05) Probabilistic potential theory (60J45)

Abstract: Let $X$ be a standard Markov process. We prove that a space inversion property of $X$ implies the existence of a Kelvin transform of $X$-harmonic, excessive and operator-harmonic functions and that the inversion property is inherited by Doob $h$-transforms. We determine new classes of processes having space inversion properties amongst transient processes {satisfying the} time inversion property. {For these processes, some explicit inversions, which are often not the spherical ones, and excessive functions are given explicitly.} We treat in details the examples of free scaled power Bessel processes, non-colliding Bessel particles, Wishart processes, Gaussian Ensemble and Dyson Brownian Motion.

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Cited in

(6)

• \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
• On inversions and Doob \(h\)-transforms of linear diffusions
• Some new examples of Markov processes which enjoy the time-inversion property
• Towards a characterization of Markov processes enjoying the time-inversion property
• On Kelvin transformation
• Criticality of Schrödinger forms and recurrence of Dirichlet forms

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