Infinitely divisible central probability measures on compact Lie groups-regularity, semigroups and transition kernels

DOI10.1214/10-AOP604zbMATH Open1237.60005arXiv1006.4711WikidataQ115240882 ScholiaQ115240882MaRDI QIDQ653311FDOQ653311

Authors: David Applebaum 

Publication date: 9 January 2012

Published in: The Annals of Probability (Search for Journal in Brave)

Abstract: We introduce a class of central symmetric infinitely divisible probability measures on compact Lie groups by lifting the characteristic exponent from the real line via the Casimir operator. The class includes Gauss, Laplace and stable-type measures. We find conditions for such a measure to have a smooth density and give examples. The Hunt semigroup and generator of convolution semigroups of measures are represented as pseudo-differential operators. For sufficiently regular convolution semigroups, the transition kernel has a tractable Fourier expansion and the density at the neutral element may be expressed as the trace of the Hunt semigroup. We compute the short time asymptotics of the density at the neutral element for the Cauchy distribution on the $d$-torus, on SU(2) and on SO(3), where we find markedly different behaviour than is the case for the usual heat kernel.

Full work available at URL: https://arxiv.org/abs/1006.4711

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zbMATH Keywords

pseudo differential operatortransition densitycompact Lie groupscentral measurescontinuous convolution semigroups

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov semigroups and applications to diffusion processes (47D07) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Measures on groups and semigroups, etc. (43A05)

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Cited In (22)

• Some \(L^{2}\) properties of semigroups of measures on Lie groups
• Heat trace asymptotics of subordinate Brownian motion in Euclidean space
• On the equivalence of probability spaces
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• Pseudo-differential operators and Markov semigroups on compact Lie groups
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• Lévy copulae for financial returns
• Gaussian bounds for derivatives of central Gaussian semigroups on compact groups
• The cut-off phenomenon for Brownian motions on compact symmetric spaces
• Stationary random fields on the unitary dual of a compact group
• The positive maximum principle on Lie groups
• Transition densities and traces for invariant Feller processes on compact symmetric spaces
• Probabilistic trace and Poisson summation formulae on locally compact abelian groups

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