Laplace's method for iterated complex Brownian integrals

被引：0

作者：

Liorit, G ^{[1
]}

机构：

[1] Univ Poitiers, Dept Math, SP2MI, F-86962 Futuroscope, France

来源：

PROBABILITY THEORY AND RELATED FIELDS | 2005年 / 133卷 / 01期

关键词：

random matrix; Gaussian Unitary Ensemble; symmetric space; Weyl chamber; complex semisimple group; representation theory; Pitman's theorem; iterated stochastic integrals; Laplace's method;

D O I：

10.1007/s00440-004-0409-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A kind of Laplace's method is developped for iterated stochastic integrals where integrators are complex standard Brownian motions. Then it is used to extend properties of Bougerol and Jeulin's path transform in the random case when simple representations of complex semisimple Lie algebras are not supposed to be minuscule.

引用

页码：18 / 42

页数：25

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