Construction of processes with stationary independent increments in Lie groups

被引：2

作者：

Pap, G

机构：

[1] Institute of Mathematics, Lajos Kossuth University, H-4010 Debrecen

来源：

ARCHIV DER MATHEMATIK | 1997年 / 69卷 / 02期

关键词：

Exact Formula; Stochastic Integral; Independent Increment; Stationary Independent Increment;

D O I：

10.1007/s000130050104

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

It is shown that a process with stationary independent increments in an exponential Lie group can be considered as a time-homogeneous diffusion with jumps. In case of nilpotent Lie groups exact formula is given for construction. The formula involves stochastic integrals with respect to the corresponding process with stationary independent (additive) increments in the corresponding Lie algebra, and reflects the group law.

引用

页码：146 / 155

页数：10

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