Download Levy Processes in Lie Groups by Ming Liao PDF

By Ming Liao

Levy strategies in Euclidian areas are crucial in likelihood conception. right here, Liao (mathematics, Auburn U.) describes the proscribing and dynamical houses in semi-simple Lie teams of the non-compact kind. He comprises not just a brand new description of those techniques but additionally major effects that display connections among chance and Lie teams. Liao describes Levy procedures in Lie teams, brought about procedures, turbines and stochastic imperative equation of a Levy method, the Levy strategy in compact Lie teams and Fourier research, semi-simple teams of the noncompact variety, restricting homes of Levy techniques, the speed of convergence, and Levy procedures as stochastic flows. He contains appendices with history details on Lie teams and stochastic research

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3 in ch. 4]). 1, the theorem is proved. 32) where Y0 = Z − G x(h) (dh). 29), we see that a general left L´evy process gt in G = G L(d, R) satisfies the following stochastic integral equation obtained by Holevo [30]: m t gt = g0 + i=1 t + Uc 0 t + 0 0 gs− Yi ◦ d Wsi + t t gs Z 0 ds + 0 0 gs− (h − Id ) N˜ (ds dh) U gs− [h − Id ]N (ds dh) gs [h − Id − x(h)] ds (dh), U where Z 0 = Z − Uc x(h) (dh). 33) 2 Induced Processes In this chapter, we consider the processes in a homogeneous space of a Lie group G induced by L´evy processes in G.

2. 22). 1 will be given in Chapter 3. 22) exists and is finite. The following result provides a basic relation between G-invariant Feller processes in M and right K -invariant left L´evy processes in G. 2. Let G be a Lie group and let K be a compact subgroup. If gt is a right K -invariant left L´evy process in G with g0 = e, then its onepoint motion from o = eK in M = G/K is a G-invariant Feller process in M. Conversely, if xt is a G-invariant Feller process in M with x0 = o, then there is a right K -invariant left L´evy process gt in G with g0 = e such that its one-point motion in M from o is identical to the process xt in distribution.

X d } be an orthonormal basis of g such that X 1 , . . , X n form a basis of p and X n+1 , . . , X d form a basis of k. Consider the map y = (y1 , . . , yn ) → π(e φ : Rn n i=1 yi X i ) ∈ M. Restricted to a sufficiently small neighborhood V of 0 in Rn , φ is a diffeomorphism and hence y1 , . . , yn may be used as local coordinates on φ(V ), a neighborhood of o in M. For x = φ(y) in φ(V ), we may write (∂/∂ yi ) f (x) for (∂/∂ yi ) f ◦ φ(y) for f ∈ C 1 (M) and 1 ≤ i ≤ n. In this way, ∂/∂ yi may be regarded as a vector field on φ(V ).

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