Towards a Characterization of Markov Processes Enjoying the Time-Inversion Property

Stephan Lawi ()
Additional contact information
Stephan Lawi: Université Paris VI & Université Paris VII

Journal of Theoretical Probability, 2008, vol. 21, issue 1, 144-168

Abstract: 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 α. 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 (Z. Wahrscheinlichkeitstheor. Verwandte Geb. 31:115–124, 1975) 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.

Keywords: Homogeneous Markov processes; Time-inversion property; Bessel processes; Dunkl processes; Wishart processes; Semi-stable processes; 60J25; 60J60; 60J65; 60J99 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10959-007-0104-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:21:y:2008:i:1:d:10.1007_s10959-007-0104-z

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-007-0104-z

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().