Stochastic equations on projective systems of groups

DOI10.1007/978-1-4614-6240-8_2zbMATH Open1271.60079arXiv1106.2837OpenAlexW1923234020MaRDI QIDQ5326164FDOQ5326164

Authors: Steven Neil Evans, Tatyana Gordeeva 

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We consider stochastic equations of the form $X_k=ph{i}_k(X_{k+1})Z_k$, $kinmathbbN$, where $X_k$ and $Z_k$ are random variables taking values in a compact group $G_k$, $ph{i}_k:G_{k+1}o{G}_k$ is a continuous homomorphism, and the noise $(Z_k{)}_{kinmathbbN}$ is a sequence of independent random variables. We take the sequence of homomorphisms and the sequence of noise distributions as given, and investigate what conditions on these objects result in a unique distribution for the "solution" sequence $(X_k{)}_{kinmathbbN}$ and what conditions permits the existence of a solution sequence that is a function of the noise alone (that is, the solution does not incorporate extra input randomness "at infinity"). Our results extend previous work on stochastic equations on a single group that was originally motivated by Tsirelson's example of a stochastic differential equation that has a unique solution in law but no strong solutions.

Full work available at URL: https://arxiv.org/abs/1106.2837

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zbMATH Keywords

strong solutionextreme pointgroup representationuniqueness in lawtoral automorphismLucas theorem

Mathematics Subject Classification ID

Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Random operators and equations (aspects of stochastic analysis) (60H25)

Cited In (6)

• Projective Stochastic Equations and Nonlinear Long Memory
• Stochastic equations on compact groups in discrete negative time
• The Stochastic Group
• Representations and stochastic processes on groups of type-H
• A stochastic difference equation with stationary noise on groups
• Extremal solutions for stochastic equations indexed by negative integers and taking values in compact groups

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