Selfdecomposable measures on simply connected nilpotent groups (Q5918049)

During the last decades most investigations into limit theory on groups were concerned with row-products of i.i.d. random variables. This branch of the theory is well understood now whereas the knowledge of the behaviour of non-i.i.d. row-products on non-Abelian groups is still lacunary. Selfdecomposability and class-\(L\) laws in the ``classical'' set-up are closely related to (operator-)normalized non-i.i.d. row-products. The author investigates systematically the relations between self-decomposable laws and limit laws on non-Abelian groups. In fact, the investigations start with exponential Lie groups, but it turns out that simply connected nilpotent Lie groups are the natural framework. Following the investigations for operator-normalized sums on finite-dimensional vector spaces [cf. e.g. \textit{Z. J. Jurek} and \textit{J. D. Mason}, ``Operator limit distributions in probability theory'' (New York, 1993)], \(\mu\in {\mathcal M}^1(G)\) is called ``class \(L\)'' if \(\mu\) is representable as \(\mu=\lim A_n(\mu_1* \cdots*\mu_n)* \varepsilon_{x_n}\), where \(A_n\in \Aut(G)\), \(x_n\in G\), and \(\{A_n\mu_i\}\) are infinitesimal. \(\mu\) is called ``selfdecomposable'' if the decomposability semigroup \(D(\mu):= \{A\in \text{End} (G):\mu= a(\mu)* \nu\}\) contains a contractive continuous one-parameter semigroup. As in the vector spaces case, selfdeomposable laws are class \(L\), but the converse is more complicated: Full class \(L\) probabilities are representable as \(\mu=\lambda_1* \cdots* \lambda_n\), where \(\lambda_i\) are probabilities concentrated on closed subgroups \(G_i\) such that the restrictions \(\lambda_i|_{G_i}\) are selfdecomposable (on \(G_i)\). Under additional assumptions it can be shown that \(\mu\) itself is self-decomposable.