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Convolution Semigroups of Measures

  • David ApplebaumEmail author
Chapter
  • 1.7k Downloads
Part of the Probability Theory and Stochastic Modelling book series (PTSM, volume 70)

Abstract

Properties of convolution semigroups of probability measures and associated Hunt semigroups of operators on general Lie groups are described. We outline a proof of Hunt’s theorem which gives a Lévy-Khintchine type representation for the infinitesimal generator of such semigroups. Then we study \(L^{2}\)-properties of these semigroups, specifically finding conditions which guarantee self-adjointness, injectivity, analyticity and the trace-class property. We then use the Fourier transform on a compact Lie group to find a direct analogue of the Lévy-Khintchine formula. We prove the central limit theorem for Gaussian semigroups of measures. Then we describe the technique of subordination, and discuss regularity of densities for some semigroups of measures that are obtained by subordinating the standard Gaussian. Finally we investigate the small-time asymptotic behaviour of some subordinated densities.

Keywords

Convolution Semigroup Gaussian Semigroup Standard Gaussian Infinite Divisibility Bernstein Function 
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.

Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  1. 1.School of Mathematics and StatisticsUniversity of SheffieldSheffieldUK

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