Brownian sheet and time inversion -- From $G$-orbit to $L(G)$-orbit

Abstract

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 underlying finite dimensional Lie algebra, the radial part being defined considering the coadjoint action of a loop group on the dual of a centrally extended loop algebra. We present here a very brief proof of this result based on a time inversion argument and on elementary stochastic differential calculus.