Stochastic analysis on Lie groups
Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Random operators and equations (aspects of stochastic analysis) (60H25)
This article is mainly intended to be a survey on the Sobolev analysis on path groups, including most of the proofs. Left and right derivatives and their adjoints are systematically explored, and a lot of formulas relative to them are derived. Applications are given to the Ornstein-Uhlenbeck operator, to the Wiener chaos, and to the quasi-invariance on both path and loop groups. The article is completed with a section presenting a (new) extension to the group setting of some results established by Üstünel and Zakai in the flat case. As a matter of fact, dealing with the multiplication by an anticipative absolutely continuous path or loop, the author deduces from their flat analogues the Campbell-Baker-Hausdorff formula and then the Ramer and degree theorems. For the entire collection see [Zbl 0880.00043].
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- Quantum stochastic calculus applied to path spaces over Lie groups
- Malliavin calculus for stable processes on homogeneous groups
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- A new approach to the group analysis of one-dimensional stochastic differential equations
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- The Stochastic Group
- Stochastic geodesics and forward-backward stochastic differential equations on Lie groups
- Random Action of Compact Lie Groups and Minimax Estimation of a Mean Pattern
- The Ito exponential on Lie groups
- On Lie Group Classification of a Scalar Stochastic Differential Equation
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