Lévy processes and Fourier analysis on compact Lie groups

2004/04/01 by Ming Liao
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Probability and Risk Models #Random Matrices and Applications #Stochastic processes and financial applications #math.PR #msc:58J65. #msc:60B15

paper · pdf · doi:10.1214/009117904000000306

published as Annals of Probability 2004, Vol. 32, No. 2, 1553-1573 · Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000306

openalex publication_date 2004/04/01 · arxiv created 2004/10/06 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28

Abstract

We study the Fourier expansion of the distribution density of a Lvy process in a compact Lie group based on the Peter-Weyl theorem.

Citations

• DYNAMICAL PROPERTIES OF LÉVY PROCESSES IN LIE GROUPS

Related

• Lévy Processes in a Step 3 Nilpotent Lie Group
• Martingale transform and Lévy Processes on Lie Groups
• Lacunary Fourier series and a qualitative uncertainty principle for compact Lie groups
• Integration formulas for Brownian motion on classical compact Lie groups
• Transferring Fourier Multipliers from Rn to Compact Lie Groups