Ornstein–Uhlenbeck processes on Lie groups

Abstract

We consider Ornstein–Uhlenbeck processes (OU-processes) associated to hypo-elliptic diffusion processes on finite-dimensional Lie groups: let L be a hypo-elliptic, left-invariant “sum of the squares”-operator on a Lie group G with associated Markov process X, then we construct OU-processes by adding negative horizontal gradient drifts of functions U. In the natural case U ( x ) = − log p ( 1 , x ) , where p ( 1 , x ) is the density of the law of X starting at identity e at time t = 1 with respect to the right-invariant Haar measure on G, we show the Poincaré inequality by applying the Driver–Melcher inequality for “sum of the squares” operators on Lie groups. The resulting Markov process is called the natural OU-process associated to the hypo-elliptic diffusion on G. We prove the global strong existence of these OU-type processes on G under an integrability assumption on U. The Poincaré inequality for a large class of potentials U is then shown by a perturbation technique. These results are applied to obtain a hypo-elliptic equivalent of standard results on cooling schedules for simulated annealing on compact homogeneous spaces M.