Levy processes in lie groups
Publisher: Cambridge Univ Press
Published: 2004
Place of publication: New York
Language: eng
Format: [electronic resource]
ISBN-13: 9780511194788
Subjects: Levy processes
Description: The theory of Lévy processes in Lie groups is not merely an extension of the theory of Lévy processes in Euclidean spaces. Because of the unique structures possessed by non-commutative Lie groups, these processes exhibit certain interesting limiting properties which are not present in the Euclidean case. A necessary purchase for all whose research brings them into contact with Lévy processes.
Table of contents: title: Cover; Half-title; Title; Copyright; Contents; Preface; List of Symbols; Introduction; 1 Lévy Processes in Lie Groups; 2 Induced Processes; 3 Generator and Stochastic Integral Equation of a Lévy Process; 4 Lévy Processes in Compact Lie Groups and Fourier Analysis; 5 Semi-simple Lie Groups of Noncompact Type; 6 Limiting Properties of Lévy Processes; 7 Rate of Convergence; 8 Lévy Processes as Stochastic Flows; Appendix A Lie Groups; Appendix B Stochastic Analysis; Bibliography; Index.