Stochastic equations on projective systems of groups

June, 2011
Report Number: 
Steven N. Evans and Tatyana Gordeeva

We consider stochastic equations of the form $X_k = \phi_k(X_{k+1}) Z_k$, $k \in \mathbb{N}$, where $X_k$ and $Z_k$ are random variables taking values in a compact group $G_k$, $\phi_k: G_{k+1} \to G_k$ is a continuous homomorphism, and the noise $(Z_k)_{k \in \mathbb{N}}$ is a sequence of independent random variables. We take the sequence of homomorphisms and the sequence of noise distributions as given, and investigate what conditions on these objects result in a unique distribution for the "solution" sequence $(X_k)_{k \in \mathbb{N}}$ and what conditions permits the existence of a solution sequence that is a function of the noise alone (that is, the solution does not incorporate extra input randomness "at infinity"). Our results extend previous work on stochastic equations on a single group that was originally motivated by Tsirelson's example of a stochastic differential equation that has a unique solution in law but no strong solutions.

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