First Hitting Time of the Boundary of the Weyl Chamber by Radial Dunkl Processes
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 second one expresses the tail distribution by means of the W-inv...
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| Format: | Article |
| Language: | English |
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National Academy of Science of Ukraine
2008-11-01
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| Series: | Symmetry, Integrability and Geometry: Methods and Applications |
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| Online Access: | http://dx.doi.org/10.3842/SIGMA.2008.074 |
| Summary: | 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 second one expresses the tail distribution by means of the W-invariant Dunkl-Hermite polynomials. Illustrative examples are given by the irreducible root systems of types A, B, D. The paper ends with an interest in the case of Brownian motions for which our formulae take determinantal forms. |
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| ISSN: | 1815-0659 |