Lévy processes and their subordination in matrix Lie groups |
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| Authors: | Sergio Albeverio Maria Gordina |
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| Affiliation: | a Institut für Angewandte Mathematik, Universität Bonn, Wegelerstraße 6, 53115 Bonn, SFB 611 (Bonn), BiBoS (Bielefeld-Bonn), Germany
b Department of Mathematics, University of Connecticut, Storrs, CT 06269, USA |
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| Abstract: | Lévy processes in matrix Lie groups are studied. Subordination (random time change) is used to show that quasi-invariance of the Brownian motion in a Lie group induces absolute continuity of the laws of the corresponding pure jump processes. These results are applied to several examples which are discussed in detail. |
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| Keywords: | primary, 60B15 secondary, 43A05, 43A80, 60G51 |
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