An important object of study in harmonic analysis is the heat equation. On a Euclidean space, the fundamental solution of the associated semigroup is known as the heat kernel, which is also the law of Brownian motion. Similar statements also hold in the case of a Lie group. By using the wrapping map of Dooley and ildberger, we show how to wrap a Brownian motion to a compact Lie group from its Lie algebra (viewed as a Euclidean space) and find the heat kernel. This is achieved by considering It??o type stochastic differential equations and applying the Feynman-Ka??c theorem. We also consider wrapping Brownian motion to various symmetric spaces, where a global generalisation of Rouvi`ere???s formula and the e-function are considered. Additionally, we extend some of our results to complex Lie groups, and certain non-compact symmetric spaces.

Thesis (Ph. D.)--University of North Texas, Aug., 2007. / Title from title page display. Includes bibliographical references.

Thesis (Ph.D.)--Australian National University, 2002.

Thesis (Ph. D.)--Missouri University of Science and Technology, 2008. / Vita. The entire thesis text is included in file. Title from title screen of thesis/dissertation PDF file (viewed August 21, 2008) Includes bibliographical references (p. 124-131).

Thesis (Ph. D.)--University of Hong Kong, 1997. / Includes bibliographical references (leaf 142-147).

Thesis (M.S.)--Worcester Polytechnic Institute. / Keywords: drawdowns, maximum drawdowns. Includes bibliographical references (p.23).

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The dynamic approach to fractional Brownian motion (FBM) establishes a link between non-Poisson renewal process with abrupt jumps resetting to zero the system's memory and correlated dynamic processes, whose individual trajectories keep a non-vanishing memory of their past time evolution. It is well known that the recrossing times of the origin by an ordinary 1D diffusion trajectory generates a distribution of time distances between two consecutive origin recrossing times with an inverse power law with index m=1.5. However, with theoretical and numerical arguments, it is proved that this is the special case of a more general condition, insofar as the recrossing times produced by the dynamic FBM generates process with m=2-H. Later, the model of ballistic deposition is studied, which is as a simple way to establish cooperation among the columns of a growing surface, to show that cooperation generates memory properties and, at same time, non-Poisson renewal events. Finally, the connection between trajectory and density memory is discussed, showing that the trajectory memory does not necessarily yields density memory, and density memory might be compatible with the existence of abrupt jumps resetting to zero the system's memory.

As an extension of the geometric Brownian motion, a geometric fractional Brownian motion (GFBM) is considered as a stock-price model. The modeled GFBM is compared with empirical Chinese stock prices. Comparisons are performed by considering logarithmic-return densities, autocovariance functions, spectral densities and trajectories. Since logarithmic-return densities of GFBM stock prices are Gaussian and empirical stock logarithmic-returns typically are far from Gaussian, a GFBM model may not be the most suitable stock price model.