Stochastic areas, winding numbers and Hopf fibrations (Q1682496): Difference between revisions

The authors consider two analogues of the Lévy's stochastic area formula, on the complex symmetric spaces \(\mathbb{CP}^n\) and \(\mathbb {CH}^n\). They take advantage of their Kähler structure, inherited from some explicit fibration, which allows to lift the Brownian motion horizontally, to \(\mathcal S^{2n+1}\!\) and \(\mathbb H^{2n+1}\) respectively. This lift lets some stochastic area \((\theta_t)\) appear naturally. Then the authors specify some positive Jacobi diffusion \((r_t)\), such that the two-dimensional \((r_t,\theta_t)\) diffusion has the skew-product form. Finally the authors use existing formulas for the heat kernel \(\,p_t(r,\theta)\), in order to deduce a Lévy-like formula for the law of \(\theta_t\) conditioned by \(r_t\,\), and to derive the (Cauchy) limit law of \(\theta_t/t\,\) and \(\theta_t\) (respectively).