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Archiv der Mathematik

, Volume 69, Issue 2, pp 146–155 | Cite as

Construction of processes with stationary independent increments in Lie groups

  • Gyula Pap

Abstract.

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.

Keywords

Exact Formula Stochastic Integral Independent Increment Stationary Independent Increment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Birkhäuser Verlag, Basel 1997

Authors and Affiliations

  • Gyula Pap
    • 1
  1. 1.Institute of Mathematics, Lajos Kossuth University, Pf. 12, H-4010 Debrecen, HungaryHU

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