Wrapping Brownian motion and heat kernels. I: compact Lie groups

MaRDI QIDQ4902914zbMATH OpenFDO

Authors David G. Maher

Publication date 18 January 2013

Full work available at URL https://arxiv.org/abs/1005.4746, http://www.heldermann.de/JLT/JLT22/JLT224/jlt22052.htm

zbMATH Keywords

Brownian motioncompact Lie groupwrapping map

Mathematics Subject Classification ID

Analysis on real and complex Lie groups (22E30) Harmonic analysis on general compact groups (43A77) Diffusion processes and stochastic analysis on manifolds (58J65)

Abstract: An important object of study in harmonic analysis is the heat equation. On a Euclidean space, the fundamental solution of the associated semigroup is known as the heat kernel, which is also the law of Brownian motion. Similar statements also hold in the case of a Lie group. By using the wrapping map of Dooley and Wildberger, we show how to wrap a Brownian motion to a compact Lie group from its Lie algebra (viewed as a Euclidean space) and find the heat kernel. This is achieved by considering It^o type stochastic differential equations and applying the Feynman-Kav{c} theorem.

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(8)

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