Lévy Processes in Lie Groups
Title | Lévy Processes in Lie Groups PDF eBook |
Author | Ming Liao |
Publisher | Cambridge University Press |
Pages | 292 |
Release | 2004-05-10 |
Genre | Mathematics |
ISBN | 9780521836531 |
Up-to-the minute research on important stochastic processes.
Lévy Processes in Lie Groups
Title | Lévy Processes in Lie Groups PDF eBook |
Author | Ming Liao (Mathematician) |
Publisher | |
Pages | 266 |
Release | 2004 |
Genre | Lie groups |
ISBN | 9781107150089 |
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. 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 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. The reader is assumed to be familiar with Lie groups and stochastic analysis, but no prior knowledge of semi-simple Lie groups is required.
Stochastic Analysis of Lévy Processes on Lie Groups
Title | Stochastic Analysis of Lévy Processes on Lie Groups PDF eBook |
Author | Nicolas Privault |
Publisher | |
Pages | 24 |
Release | 1997 |
Genre | |
ISBN |
Lévy Processes
Title | Lévy Processes PDF eBook |
Author | Ole E Barndorff-Nielsen |
Publisher | Springer Science & Business Media |
Pages | 414 |
Release | 2012-12-06 |
Genre | Mathematics |
ISBN | 1461201977 |
A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov processes, and diffusions are extensions and generalizations of these processes. In the past, representatives of the Lévy class were considered most useful for applications to either Brownian motion or the Poisson process. Nowadays the need for modeling jumps, bursts, extremes and other irregular behavior of phenomena in nature and society has led to a renaissance of the theory of general Lévy processes. Researchers and practitioners in fields as diverse as physics, meteorology, statistics, insurance, and finance have rediscovered the simplicity of Lévy processes and their enormous flexibility in modeling tails, dependence and path behavior. This volume, with an excellent introductory preface, describes the state-of-the-art of this rapidly evolving subject with special emphasis on the non-Brownian world. Leading experts present surveys of recent developments, or focus on some most promising applications. Despite its special character, every topic is aimed at the non- specialist, keen on learning about the new exciting face of a rather aged class of processes. An extensive bibliography at the end of each article makes this an invaluable comprehensive reference text. For the researcher and graduate student, every article contains open problems and points out directions for futurearch. The accessible nature of the work makes this an ideal introductory text for graduate seminars in applied probability, stochastic processes, physics, finance, and telecommunications, and a unique guide to the world of Lévy processes.
Invariant Markov Processes Under Lie Group Actions
Title | Invariant Markov Processes Under Lie Group Actions PDF eBook |
Author | Ming Liao |
Publisher | Springer |
Pages | 370 |
Release | 2018-06-28 |
Genre | Mathematics |
ISBN | 3319923242 |
The purpose of this monograph is to provide a theory of Markov processes that are invariant under the actions of Lie groups, focusing on ways to represent such processes in the spirit of the classical Lévy-Khinchin representation. It interweaves probability theory, topology, and global analysis on manifolds to present the most recent results in a developing area of stochastic analysis. The author’s discussion is structured with three different levels of generality:— A Markov process in a Lie group G that is invariant under the left (or right) translations— A Markov process xt in a manifold X that is invariant under the transitive action of a Lie group G on X— A Markov process xt invariant under the non-transitive action of a Lie group GA large portion of the text is devoted to the representation of inhomogeneous Lévy processes in Lie groups and homogeneous spaces by a time dependent triple through a martingale property. Preliminary definitions and results in both stochastics and Lie groups are provided in a series of appendices, making the book accessible to those who may be non-specialists in either of these areas. Invariant Markov Processes Under Lie Group Actions will be of interest to researchers in stochastic analysis and probability theory, and will also appeal to experts in Lie groups, differential geometry, and related topics interested in applications of their own subjects.
Lévy Processes and Stochastic Calculus
Title | Lévy Processes and Stochastic Calculus PDF eBook |
Author | David Applebaum |
Publisher | Cambridge University Press |
Pages | 461 |
Release | 2009-04-30 |
Genre | Mathematics |
ISBN | 1139477986 |
Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics of systems interacting with random noise. Here, the author ties these two subjects together, beginning with an introduction to the general theory of Lévy processes, then leading on to develop the stochastic calculus for Lévy processes in a direct and accessible way. This fully revised edition now features a number of new topics. These include: regular variation and subexponential distributions; necessary and sufficient conditions for Lévy processes to have finite moments; characterisation of Lévy processes with finite variation; Kunita's estimates for moments of Lévy type stochastic integrals; new proofs of Ito representation and martingale representation theorems for general Lévy processes; multiple Wiener-Lévy integrals and chaos decomposition; an introduction to Malliavin calculus; an introduction to stability theory for Lévy-driven SDEs.
Probability on Compact Lie Groups
Title | Probability on Compact Lie Groups PDF eBook |
Author | David Applebaum |
Publisher | Springer |
Pages | 236 |
Release | 2014-06-26 |
Genre | Mathematics |
ISBN | 3319078429 |
Probability theory on compact Lie groups deals with the interaction between “chance” and “symmetry,” a beautiful area of mathematics of great interest in its own sake but which is now also finding increasing applications in statistics and engineering (particularly with respect to signal processing). The author gives a comprehensive introduction to some of the principle areas of study, with an emphasis on applicability. The most important topics presented are: the study of measures via the non-commutative Fourier transform, existence and regularity of densities, properties of random walks and convolution semigroups of measures and the statistical problem of deconvolution. The emphasis on compact (rather than general) Lie groups helps readers to get acquainted with what is widely seen as a difficult field but which is also justified by the wealth of interesting results at this level and the importance of these groups for applications. The book is primarily aimed at researchers working in probability, stochastic analysis and harmonic analysis on groups. It will also be of interest to mathematicians working in Lie theory and physicists, statisticians and engineers who are working on related applications. A background in first year graduate level measure theoretic probability and functional analysis is essential; a background in Lie groups and representation theory is certainly helpful but the first two chapters also offer orientation in these subjects.