Abstract
We define a Lévy process on a smooth manifold M with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of M, driven by a holonomy-invariant Lévy process on a Euclidean space. On a Riemannian manifold, our definition (with Levi-Civita connection) generalizes the Eells-Elworthy-Malliavin construction of the Brownian motion and extends the class of isotropic Lévy process introduced in Applebaum and Estrade [3]. On a Lie group with a surjective exponential map, our definition (with left-invariant connection) coincides with the classical definition of a (left) Lévy process given in terms of its increments.
Our main theorem characterizes the class of Lévy processes via their generators on M, generalizing the fact that the Laplace-Beltrami operator generates Brownian motion on a Riemannian manifold. Its proof requires a path-wise construction of the stochastic horizontal lift and anti-development of a discontinuous semimartingale, leading to a generalization of Pontier and Estrade [32] to smooth manifolds with non-unique geodesics between distinct points.
Funding Statement
AM and VM are supported by The Alan Turing Institute under the EPSRC grant EP/N510129/1; AM supported by EPSRC grant EP/P003818/1 and the Turing Fellowship funded by the Programme on Data-Centric Engineering of Lloyd’s Register Foundation; VM supported by the PhD scholarship of Department of Statistics, University of Warwick.
Acknowledgments
We thank David Applebaum for helpful comments, which greatly improved an earlier version of the paper. This paper forms a part of the PhD thesis of the second author and we would like to thank the examiners Andreas Kyprianou and Kenneth David Elworthy for thorough reading and in-depth comments which greatly improved the contents of the paper.
Citation
Aleksandar Mijatović. Veno Mramor. "Lévy processes on smooth manifolds with a connection." Electron. J. Probab. 26 1 - 39, 2021. https://doi.org/10.1214/21-EJP702
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