Quaternionic stochastic areas

Abstract

We study quaternionic stochastic areas processes associated with Brownian motions on the quaternionic rank-one symmetric spaces $\mathbb{H}{H}^n$ and $\mathbb{H}{P}^n$. The characteristic functions of fixed-time marginals of these processes are computed and allows for the explicit description of their corresponding large-time limits. We also obtain exact formulas for the semigroup densities of the stochastic area processes using a Doob transform in the former case and the semigroup density of the circular Jacobi process in the latter. For $\mathbb{H}{H}^n$, the geometry of the quaternionic anti-de Sitter fibration plays a central role , whereas for $\mathbb{H}{P}^n$, this role is played by the quaternionic Hopf fibration.

V2: Theorem 4.8 is changed and typos have been corrected