Processes with independent increments on a Lie group

Feinsilver, Philip

doi:10.1090/S0002-9947-1978-0483034-3

Processes with independent increments on a Lie group
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Trans. Amer. Math. Soc. 242 (1978), 73-121 Request permission

Abstract:

The Lévy-Khinchin representation for processes with independent increments is extended to processes taking values in a Lie group. The basis of the proof is to approximate continuous time processes by Markov chains. The processes involved are handled by the technique, developed by Stroock and Varadhan, of characterizing Markov processes by associated martingales.

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