CONSTRUCTION OF PROCESSES WITH STATIONARY INDEPENDENT INCREMENTS IN LIE-GROUPS

Authors
PAP G
Citation
G. Pap, CONSTRUCTION OF PROCESSES WITH STATIONARY INDEPENDENT INCREMENTS IN LIE-GROUPS, Archiv der Mathematik, 69(2), 1997, pp. 146-155
Citations number
13
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Archiv der Mathematik → ACNP
ISSN journal
0003889X
Volume
69
Issue
2
Year of publication
1997
Pages
146 - 155
Database
ISI
SICI code
0003-889X(1997)69:2<146:COPWSI>2.0.ZU;2-F
Abstract
It is shown that a process with stationary independent increments in a n exponential Lie group can be considered as a time-homogeneous diffus ion with jumps. In case of nilpotent Lie groups exact formula is given for construction. The formula involves stochastic integrals with resp ect to the corresponding process with stationary independent (additive ) increments in the corresponding Lie algebra, and reflects the group law.