Space and time inversions of stochastic processes and Kelvin transform

DOI10.1002/MANA.201700152zbMATH Open1415.31004arXiv1704.00916OpenAlexW2742464136WikidataQ129247545 ScholiaQ129247545MaRDI QIDQ4632095FDOQ4632095

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

Publication date: 25 April 2019

Published in: Mathematische Nachrichten (Search for Journal in Brave)

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.

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

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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)

Cited In (6)

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

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