Carmona, Philippe; Petit, Frédérique; Yor, Marc Beta-gamma random variables and intertwining relations between certain Markov processes. (English) Zbl 0919.60074 Rev. Mat. Iberoam. 14, No. 2, 311-367 (1998). The paper deals with the intertwining relation of two semigroups \((P_t)\) and \((Q_t)\) of Markov processes on possibly different state spaces with respect to a Markov kernel \(\Lambda\) from one space to the other: \(Q_t \Lambda = \Lambda P_t\). Six concrete examples are presented to illustrate the relation. Some detail properties of the resulting processes are studied. The relationship of the above notion with the duality with respect to a probability measure or a function is also established. It seems to the reviewer that such a relation should have a wider range of applications. Reviewer: Chen Mu-fa (Beijing) Cited in 1 ReviewCited in 40 Documents MSC: 60J25 Continuous-time Markov processes on general state spaces Keywords:Markov process; intertwining relation; beta-gamma random variable PDFBibTeX XMLCite \textit{P. Carmona} et al., Rev. Mat. Iberoam. 14, No. 2, 311--367 (1998; Zbl 0919.60074) Full Text: DOI EuDML