  Dunkl processes are martingales as well as c\`{a}dl\`{a}g homogeneous Markov
processes taking values in $\mathbb{R}^d$ and they are naturally associated
with a root system. In this paper we study the jumps of these processes, we
describe precisely their martingale decompositions into continuous and purely
discontinuous parts and we obtain a Wiener chaos decomposition of the
corresponding $L^2$ spaces of these processes in terms of adequate mixed
multiple stochastic integrals.

Probability