The theory of Levy processes in Lie groups is not merely an extension of the theory of Levy 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. These properties reveal a deep connection between the behaviour of the stochastic processes and the underlying algebraic and geometric structures of the Lie groups themselves. The purpose of this work is to provide an introduction to Levy processes in general Lie groups, the limiting properties of Levy processes in semi-simple Lie groups of non-compact type and the dynamical behavior of such processes as stochastic flows on certain homogeneous spaces. The reader is assumed to be familiar with Lie groups and stochastic analysis, but no prior knowledge of semi-simple Lie groups is required.

Up-to-the minute research on important stochastic processes.
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'... an outstanding addendum to the literature on modern probability theory.' Mathematical Reviews



Book Information
ISBN 9780521836531
Author Ming Liao
Format Hardback
Page Count 276
Imprint Cambridge University Press
Publisher Cambridge University Press
Weight(grams) 530g
Dimensions(mm) 236mm * 161mm * 23mm