Markov processes invariant under a Lie group action

Ming Liao

Stochastic Processes and their Applications, 2009, vol. 119, issue 4, 1357-1367

Abstract: We show that a Markov process in a manifold invariant under the action of a compact Lie group K induces a Lévy process in each K-orbit by "forcing" it to run in the orbit.

Keywords: Markov; processes; Lévy; processes; Lie; groups; Homogeneous; spaces (search for similar items in EconPapers)
Date: 2009
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