A family of Markov processes in maximal compact subgroups of a semisimple Lie groups

Ahmed Arafat, Jorge Mateu and Pablo Gregori

Statistics & Probability Letters, 2017, vol. 126, issue C, 132-138

Abstract: We propose and define a family of marked point processes in noncompact semisimple Lie groups. We first generate Lévy processes via marked point processes by using jump–diffusion processes. Then we build a family of Markov processes in a maximal compact subgroup of a given semisimple Lie group.

Keywords: Lévy processes; Lie groups; Marked point processes; Martingale measures (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.03.004

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