Moments of Brownian Motions on Lie Groups

Let (B_t)_{t ≥ 0} be a Brownian motion on with the corresponding Gaussian convolution semigroup (μ_t)_{t ≥ 0} and generator L. We show that algebraic relations between L and the generators of the matrix semigroups lead to for t → s, k ≥ 1, and all coordinates i,j. These relations will form the basis for a martingale characterization of (B_t)_{t ≥ 0} in terms of generalized heat polynomials. This characterization generalizes a corresponding result for the Brownian motion on in terms of Hermite polynomials due to J. Wesolowski and may be regarded as a variant of the Lévy characterization without continuity assumptions.