Lévy processes in semisimple Lie groups and stability of stochastic flows

DOI10.1090/S0002-9947-98-01730-9MaRDI QIDQ4382935zbMATH OpenOpenAlexWikidataFDO

Publication date 24 March 1998

Published in Transactions of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9947-98-01730-9

Levy processes semisimple Lie groups stability stochastic flows

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Review text

Let \(G\) be a semisimple Lie group of noncompact type with a finite centre, \(K\) be its maximal compact subgroup and \(G=NAK\) be the Iwasawa decomposition with \(A\) being the connected Abelian subgroup of \(G\). Denote by \(X_1,\dots, X_n\) the orthonormal basis of the Lie algebra of \(G\). The author studies the Lévy processes on \(G\), that is Markov processes with generators given by \[ Lf(g)= \frac 1 2 \sum _{i,j=1}^m a_{ij}X_iX_jf(g_0)+\sum _{i=1}^m b_iX_if(g)+ \int_G\left[f(g\tau)-f(g)- \sum _{i=1}^m x_i(\tau)X_if(g)\right]\eta(d\tau) \] for any smooth function on \(G\) with compact support. Here \(a_{ij}\) and \(b_i\) are constants, \(a_{ij}\) is a symmetric nonnegative definite matrix and \(\eta \) is a measure on \(G\) such that \(\eta(\{e\})=0, \int_U\sum _{i=1}^m x_i^2(\tau)\eta (d\tau)<\infty\) and \(\eta(G-U)<\infty\) for some compact neighborhood \(U\) of \(e\). If the measure \(\eta\) is finite, then \[ f(g_t)=f(g_0)+\int_0^t\sum _{i=1}^nU_if(g_{s-})dw^i_s+\int_0^tU_0f(g_s)ds+ \int_0^t[f(g_{s-}\sigma)-f(g_{s-})]N(ds,d\sigma) \] holds for the Lévy process \(g_t\). Here \(w_t\in R^n\) is a Wiener process, \(N(ds,d\sigma)\) is a Poisson point process on \([0,\infty)\times G\) with intensity measure \(dt\eta(d\sigma)\) and elements \(U_1,\dots U_n\) of the Lie algebra of \(G\) are chosen to satisfy \(\sum _{i=1}^nU_iU_i=\sum _{i,j=1}^m a_{ij}X_iX_j\) and \(U_0=\sum _{i=1}^m b_iX_i\). Given the Iwasawa decomposition \(G=NAK\) and a closed subgroup \(Q\subset G\) containing \(NA\) the author considers the (left invariant) Lévy process \(g_t\) with \(g_0=e\) as a stochastic flow on the left coset space \(Q\backslash G\) via the right action of \(G\). He proves that the Lyapunov exponents together with the associated filtration of the tangent space responsible for the local stability of this flow could be expressed in terms of roots of \(G\). It is shown that if \(g_t=n_t\exp(H_t)k_t\) is the Iwasawa decomposition of the Lévy process \(g_t\) with \(g_0=e\), then there exists \(\widetilde H=\lim_{t\to\infty} H_t/t\) and the integral formula is derived for it. Moreover it is proved that almost surely there exists an open subset of \(Q\backslash G\) with a positive-codimensional complement such that each component of this open set is shrunk to a ``moving positive-codimensional limiting set exponentially by \(g_t\) as \(t\to \infty\). In the case of \(Q\subset NAM_0\), where \(M_0\) is the identity component of the centralizer \(M \) in \(K\), \(M=\{k\in K: kak^{-1}=a\), \(\forall a\in A\}\), each limiting set is a single point and all Lyapunov exponents are stricly negative. At the end general results derived in the paper are applied to study several stochastic flows on spheres induced by Lévy processes in \(SL(n,R)\) and \(SO_+(1,n)\).

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