Skew-product representations of multidimensional Dunkl Markov processes

DOI10.1214/07-AIHP108MaRDI QIDQ731689zbMATH OpenFDO

Authors Oleksandr Chybiryakov

Publication date 8 October 2009

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/0808.3033, https://eudml.org/doc/77984

zbMATH Keywords

Dunkl processesFeller processesskew-productWeyl group

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Abstract: In this paper we obtain skew-product representations of the multidimensional Dunkl processes which generalize the skew-product decomposition in dimension 1 obtained in L. Gallardo and M. Yor. Some remarkable properties of the Dunkl martingales. S'{e}minaire de Probabilit'{e}s XXXIX, 2006. We also study the radial part of the Dunkl process, i.e. the projection of the Dunkl process on a Weyl chamber.

Review text

The study of multidimensional Dunkl processes was originated by \textit{M. Rösler} [Commun. Math. Phys. 192, No. 3, 519--542 (1998; Zbl 0908.33005)] and by \textit{M. Rösler} and \textit{V. Voit} [Adv. Appl. Math. 21, No. 4, 575--643 (1998; Zbl 0919.60072)]; see also \textit{L. Gallardo} and \textit{K. Yor} [Some remarkable properties of the Dunkl martingales. Berlin: Springer. Lecture Notes in Mathematics 1874, 337--356 (2006; Zbl 1128.60027)]. In Section 2, some notation for martingale problems and extended infinitesimal generators for Markov processes is introduced. Section 3 contains the definition of a Dunkl process \(X\) and its radial part \(X^W\). In particular, the invariance property of \(X\) under the action of the group \(O(\mathbb{R}^n)\) is obtained. Section 4 contains the study of \(X^W\). In particular, conditions on the parameters of \(X^W\) are obtained which guarantee that \(X^W\) does not hit the walls of a Weyl chamber \(C\). If this holds, then \(X^W\) can be characterized as the unique solution of a certain stochastic integral equation or as the unique solution of the corresponding martingale problem. In Section 5, the skew-product decomposition (given in the above-mentioned paper by Gallardo and Yor) is generalized to multidimensional Dunkl processes.

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Cited in

(11)

• Markov processes related with Dunkl operators
• Towards a characterization of Markov processes enjoying the time-inversion property
• Some aspects of a process generalizing the Brownian motion in the Dunkl theory
• Affine Dunkl processes of type \(\widetilde{\mathrm{A}}_{1}\)
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