Abstract
In this chapter we extend some recent results on moment identities, Hermite polynomials, and measure invariance properties on the Wiener space, to the setting of path spaces over Lie groups. In particular we prove the measure invariance of transformations having a quasi-nilpotent covariant derivative via a Girsanov identity and an explicit formula for the expectation of Hermite polynomials in the Skorohod integral on path space.
Mathematics Subject Classification: 60H07, 58G32.
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Privault, N. (2012). Measure Invariance on the Lie-Wiener Path Space. In: Decreusefond, L., Najim, J. (eds) Stochastic Analysis and Related Topics. Springer Proceedings in Mathematics & Statistics, vol 22. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29982-7_6
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DOI: https://doi.org/10.1007/978-3-642-29982-7_6
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