Stochastics Seminar

Speaker: Dr. Ming Liao

Title:  Independent increments and semimartingale property on Lie groups

Abstract:  On a Euclidean space, it is well known that a process with independent increments is a semimartingale if and only if its (deterministic) drift has a finite variation.  The same holds on a Lie group.  Various representations of a process with independent increments in a Euclidean space are not affected by whether it is a semimartingale, but the proofs of these formulae may be easier in the semimartingale case.  However, such a process in a Lie group has a simpler and more direct martingale representation when it is a semimartingale.