Affine Dunkl processes

Francois Chapon (1)

1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

We introduce the analogue of Dunkl processes in the case of an affine root system of type $\widetilde{\text{A}}_1$. The construction of the affine Dunkl process is achieved by a skew-product decomposition by means of its radial part and a jump process on the affine Weyl group, where the radial part of the affine Dunkl process is defined as the unique solution of some stochastic differential equation. We prove that the affine Dunkl process is a càdlàg Markov process as well as a local martingale, study its jumps, and give a martingale decomposition, which are properties similar to those of the classical Dunkl process.

Mots clés: Dunkl processes; diffusion processes; orthogonal polynomials; skew-product decomposition; affine root system; Weyl group

Domaines: Probabilités [math.PR]

Francois Chapon. Affine Dunkl processes. 2010. ⟨hal-00527315⟩