Semimartingales with values on groups and Lie algebras

• Date: 1993
• Main Authors: Kovalchuk, L. V., Ковальчук, Л. В.
• Format: Article
• Language: Russian; English
• Published: Institute of Mathematics, NAS of Ukraine 1993
• Online Access: https://umj.imath.kiev.ua/index.php/umj/article/view/5806
• Journal Title: Ukrains’kyi Matematychnyi Zhurnal

We establish a one-to-one correspondence between the processes taking values on the Lie group and its Lie algebra. This correspondence preserves the main properties of the processes: semimartingale property with respect to a certain flow, independence of increments, and continuity.