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We consider the coadjoint action of a Loop group of a compact group on the dual of the corresponding centrally extended Loop algebra and prove that a Brownian motion in a Cartan subalgebra conditioned to remain in an affine Weyl chamber - which can be seen as a space time conditioned Brownian motion - is distributed as the radial part process of a Brownian sheet on the underlying Lie algebra.
We prove central and non-central limit theorems for the Hermite variations of the anisotropic fractional Brownian sheet $W^{alpha, beta}$ with Hurst parameter $(alpha, beta) in (0,1)^2$. When $0<alpha leq 1-frac{1}{2q}$ or $0<beta leq 1-frac{1}{2q}$
We derive a system of stochastic partial differential equations satisfied by the eigenvalues of the symmetric matrix whose entries are the Brownian sheets. We prove that the sequence $left{L_{d}(s,t), (s,t)in[0,S]times [0,T]right}_{dinmathbb N}$ of e
In this paper, we prove the Girsanov formula for $G$-Brownian motion without the non-degenerate condition. The proof is based on the perturbation method in the nonlinear setting by constructing a product space of the $G$-expectation space and a linea
We introduce $n$-parameter $Rd$-valued Brownian-time Brownian sheet (BTBS): a Brownian sheet where each time parameter is replaced with the modulus of an independent Brownian motion. We then connect BTBS to a new system of $n$ linear, fourth order, a
We have proved in a previous paper that a space-time Brownian motion conditioned to remain in a Weyl chamber associated to an affine Kac-Moody Lie algebra is distributed as the radial part process of a Brownian sheet on the compact real form of the u