Lévy processes and their subordination in matrix Lie groups (Q2465752)

The author investigate Lévy processes in matrix Lie groups. After an introductory section, they prove the quasi-invariance for the Brownian motion in compact Lie groups and in non compact, semi-simple Lie groups. Subsequently the authors examine spherically symmtric process by means of the spherical Fourier transform. Then they introduce the subordination procedure, which is a random time-change of one stochastic process by another. They use this tool to show that quasi-invariance of Brownian motion in a Lie group induces absolute continuity of the laws of the corresponding pure jump process. In the final section, they apply the previous results to several specific Lie groups: \(R\), \(R_+\), \(SL(2,R)\), \(GL(2,R)_+\) and the Heisenberg group. They give several explicit formulas of independent interest (among them, an explicit formula for the heat kernel on \(SL(2,R)\)).