Fourier Transform on the Homogeneous Space of 3D Positions and Orientations for Exact Solutions to Linear Parabolic and (Hypo-)Elliptic PDEs

DOI10.3390/E21010038arXiv1811.00363WikidataQ103832573 ScholiaQ103832573MaRDI QIDQ6309079FDOQ6309079

Authors: Remco Duits, E. J. Bekkers, Alexey P. Mashtakov 

Publication date: 1 November 2018

Abstract: Fokker-Planck PDEs (incl. diffusions) for stable L'{e}vy processes (incl. Wiener processes) on the joint space of positions and orientations play a major role in mechanics, robotics, image analysis, directional statistics and probability theory. Exact analytic designs and solutions are known in the 2D case, where they have been obtained using Fourier transform on $SE(2)$. Here we extend these approaches to 3D using Fourier transform on the Lie group $SE(3)$ of rigid body motions. More precisely, we define the homogeneous space of 3D positions and orientations $mathbb{R}^{3}times{S}^2:=SE(3)/(mathbf0imesSO(2))$ as the quotient in $SE(3)$. In our construction, two group elements are equivalent if they are equal up to a rotation around the reference axis. On this quotient we design a specific Fourier transform. We apply this Fourier transform to derive new exact solutions to Fokker-Planck PDEs of $alpha$-stable L'{e}vy processes on $mathbb{R}^{3}times{S}^2$. This reduces classical analysis computations and provides an explicit algebraic spectral decomposition of the solutions. We compare the exact probability kernel for $alpha=1$ (the diffusion kernel) to the kernel for $alpha=frac12$ (the Poisson kernel). We set up SDEs for the L'{e}vy processes on the quotient and derive corresponding Monte-Carlo methods. We verify that the exact probability kernels arise as the limit of the Monte-Carlo approximations.

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42B10) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Transform methods (e.g., integral transforms) applied to PDEs (35A22)

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