Related papers: Affine Dunkl processes
We stduy radial Dunkl processes associated with dihedral systems: we derive the semi group, the generalized Bessel function, the Dunkl-Hermite polynomials. Then we give a skew product decomposition by means of independent Bessel processes…
In this paper we study time-inhomogeneous affine processes beyond the common assumption of stochastic continuity. In this setting times of jumps can be both inaccessible and predictable. To this end we develop a general theory of finite…
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…
Dunkl processes are multidimensional Markov processes defined through the use of Dunkl operators. These processes have discontinuities, and they can be separated into their continuous (radial) part, and their discontinuous (jump) part.…
We consider the numerical approximation for a class of radial Dunkl processes corresponding to arbitrary (reduced) root systems in $\mathbb{R}^{d}$. This class contains some well-known processes such as Bessel processes, Dyson's Brownian…
We give shorter proofs of the following known results: the radial Dunkl process associated with a reduced system and a strictly positive multiplicity function is the unique strong solution for all times of a stochastic differential equation…
A general affine Markov semigroup is formulated as the convolution of a homogeneous one with a skew convolution semigroup. We provide some sufficient conditions for the regularities of the homogeneous affine semigroup and the skew…
We begin with the study of some properties of the radial Dunkl process associated to a reduced root system $R$. It is shown that this diffusion is the unique strong solution for all $t \geq 0$ of a SDE with singular drift. Then, we study…
A new class of representations of affine Weyl groups on rational functions are constructed, in order to formulate discrete dynamical systems associated with affine root systems. As an application, some examples of difference and…
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of an affine process, namely as…
The extended affine Weyl group of a root system is the semidirect product of the corresponding Weyl group by its coweight lattice. The stabilizer subgroup of the extended affine Weyl group with respect to the corresponding fundamental…
Let $W$ be a finite Weyl group and ${\hat{W}}$ be the corresponding affine Weyl group. We show that a large element in ${\hat{W}}$, randomly generated by (reduced) multiplication by simple generators, almost surely has one of $|W|$-specific…
In affine models, both the martingale property of stochastic exponentials and non-explosion of affine processes is characterized in terms of minimality of solutions to a system of generalized Riccati differential equations. This is the…
It is an open conjecture that generalized Bessel functions associated with root systems have a positive product formula for non-negative multiplicity parameters of the associated Dunkl operators. In this paper, a partial result towards this…
We provide two equivalent approaches for computing the tail distribution of the first hitting time of the boundary of the Weyl chamber by a radial Dunkl process. The first approach is based on a spectral problem with initial value. The…
We establish existence of exponential moments and the validity of the affine transform formula for affine jump-diffusions with a general closed convex state space. This extends known results for affine jump-diffusions with a canonical state…
We define a multiple Dirichlet series whose group of functional equations is the Weyl group of the affine Kac-Moody root system $\tilde{A}_n$, generalizing the theory of multiple Dirichlet series for finite Weyl groups. The construction is…
We introduce seven families of stochastic systems of interacting particles in one-dimension corresponding to the seven families of irreducible reduced affine root systems. We prove that they are determinantal in the sense that all…
We present simple new examples of pure-jump strict local martingales. The examples are constructed as exponentials of self-exciting affine Markov processes. We characterize the strict local martingale property of these processes by an…
We construct a sequence of Markov processes on the set of dominant weights of an affine Lie algebra $\mathfrak{g}$ considering tensor product of irreducible highest weight modules of $\mathfrak{g}$ and specializations of the characters…