Beta-gamma random variables and intertwining relations between certain Markov processes

From MaRDI portal
Publication:1271363

DOI10.4171/RMI/241zbMath0919.60074OpenAlexW1990204677MaRDI QIDQ1271363

Marc Yor, Philippe Carmona, Frédérique Petit

Publication date: 23 August 1999

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/39554




Related Items

Pinching and twisting Markov processesOn times to quasi-stationarity for birth and death processesAsian Options Under One-Sided Lévy ModelsSpectral expansions of non-self-adjoint generalized Laguerre semigroupsOn a gateway between the Laguerre process and dynamics on partitionsFractional intertwinings between two Markov semigroupsOn the construction of Wiener integrals with respect to certain pseudo-Bessel processesExponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorizationBernstein-gamma functions and exponential functionals of Lévy processesOn the construction of measure-valued dual processesCycles and eigenvalues of sequentially growing random regular graphsRisk‐neutral pricing techniques and examplesCouplings of Brownian motions with set-valued dual processes on Riemannian manifoldsLaw of the absorption time of some positive self-similar Markov processesIntertwining certain fractional derivativesExact solution of interacting particle systems related to random matricesOrthogonal intertwiners for infinite particle systems in the continuumStationary local random countable sets over the Wiener noiseInterlacing DiffusionsOn interweaving relationsHitting times and interlacing eigenvalues: a stochastic approach using intertwiningsOn the notion(s) of duality for Markov processesOn matching diffusions, Laplace transforms and partial differential equationsApproximate and exact solutions of intertwining equations through random spanning forestsA representation for exchangeable coalescent trees and generalized tree-valued Fleming-Viot processesDuality and intertwining for discrete Markov kernels: relations and examplesRandom forests and networks analysisThe harmonic measure and a Reuter-type result for a process with Bessel componentsStochastic Duality of Markov Processes: A Study Via GeneratorsSome properties of the Wishart processes and a matrix extension of the Hartman-Watson laws\(\text{SLE}(\kappa,\rho)\) martingales and dualityA Ciesielski-Taylor type identity for positive self-similar Markov processesInvariance formulas for stopping times of squared Bessel processLarge Deviations for Clocks of Self-similar ProcessesIntertwining wavelets or multiresolution analysis on graphs through random forestsExponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigrationProjections of scaled Bessel processsOn a gateway between continuous and discrete Bessel and Laguerre processesGaps and interleaving of point processes in sampling from a residual allocation modelA transformation for spectrally negative Lévy processes and applicationsMarkov semi-groups associated with the complex unimodular group \(\mathrm{Sl}(2,{\mathbb{C}})\)