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Levy Processes in Lie Groups

Levy Processes in Lie Groups

by Ming Liao
Hardback
Publication Date: 10/05/2004

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The theory of Levy processes in Lie groups is not merely an extension of the theory of Levy 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 for their counterparts in Euclidean spaces. These properties reveal a deep connection between the behaviour of the stochastic processes and the underlying algebraic and geometric structures of the Lie groups themselves. The purpose of this work is to provide an introduction to Levy processes in general Lie groups, the limiting properties of Levy processes in semi-simple Lie groups of non-compact type and the dynamical behavior of such processes as stochastic flows on certain homogeneous spaces. The reader is assumed to be familiar with Lie groups and stochastic analysis, but no prior knowledge of semi-simple Lie groups is required.
ISBN:
9780521836531
9780521836531
Category:
Algebra
Format:
Hardback
Publication Date:
10-05-2004
Language:
English
Publisher:
Cambridge University Press
Country of origin:
United Kingdom
Pages:
276
Dimensions (mm):
236x161x23mm
Weight:
0.53kg

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