The theory of Lévy processes in Lie groups is not merely an extension of the theory of Lévy processes in Euclidean spaces. Because of the unique structures possessed by non-commutative Lie groups, these processes exhibit certain interesting limiting properties which are not present for their counterparts in Euclidean spaces. This work provides an introduction to Lévy processes in general Lie groups, the limiting properties of Lévy processes in semi-simple Lie groups of non-compact type and the dynamical behavior of such processes as stochastic flows on certain homogeneous spaces.
Contents
1. Lévy processes in Lie groups; 2. Generator and stochastic integral equation of a Lévy process; 3. Semi-simple Lie groups of non-compact type; 4. Limiting properties of Lévy processes; 5. Rate of convergence; 6. Lévy processes as stochastic flows.
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