Homogeneous space-valued semi-martingales
Consider a Lie group \(G\) of Lie algebra \({\mathfrak G}\) with neutral element \(e\). Let \(Lg\) \((g\in G)\) be the left application of \(G\) on \(G:g'\to gg'\), \(X\in{\mathfrak G}\), \(M\) be a semi-martingale on \({\mathfrak G}\). Then the stochastic exponent \({\mathcal E}(M)\) of \(M\) is the solution of the stochastic differential equation of Stratonovich: \(\delta X=(L_ X)_ *\delta M\), \(X_ 0=e\). Then Lie groups and some homogeneous space-valued semi-martingales are considered (with the help of stochastic exponent) as developments of semi-martingales with values in the Lie algebra or a subspace of the Lie algebra. Homogeneous space-valued martingales and Brownian motion on noncompact symmetric spaces \(G/K\) are characterized in that way. Also the Iwasawa and Cartan decomposition of Brownian motion obtained by M. P. and P. Malliavin are deduced.
- Domains of attraction for semi-martingales taking values in the tempered distributions space
- Semimartingales with values on groups and Lie algebras
- Homogenisation on homogeneous spaces
- Projections of regularized Brownian motions by the action of a Hilbertian Lie group
- Local characteristics of semi-martingales and changes of probabilities
- Laplace's method for iterated complex Brownian integrals
- scientific article; zbMATH DE number 3897892 (Why is no real title available?)
- scientific article; zbMATH DE number 3986262 (Why is no real title available?)
- scientific article; zbMATH DE number 1336709 (Why is no real title available?)
- Nonstandard construction of Brownian motion and G-martingales on Lie groups
- Warped Riemannian metrics for location-scale models
- Martingales in reductive homogeneous spaces
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