Description
Firstly, I recall two beautiful results of Eberhard Siebert.
• In the first result necessary and sufficient condition is given for a Wiener process with values in a Lie group such that the distrubution of it at a given time point is absolute continuous or singular with respect to the invariant Haar measures.
• In the second result a formula is presented for the support of this distribution.
These results will be illustrated by several examples.
Finally, I will be speaking about explicite formulas for the Fourier transforms of these distributions.