In this paper we propose a framework to leverage Lie group symmetries on arbitrary spaces exploiting \textit{algebraic signal processing} (ASP). We show that traditional group convolutions are one particular instantiation of a more general Lie group algebra homomorphism associated to an algebraic signal model rooted in the Lie group algebra $L^{1}(G)$ for given Lie group $G$. Exploiting this fact, we decouple the discretization of the Lie group convolution elucidating two separate sampling instances: the filter and the signal. To discretize the filters, we exploit the exponential map that links a Lie group with its associated Lie algebra. We show that the discrete Lie group filter learned from the data determines a unique filter in $L^{1}(G)$, and we show how this uniqueness of representation is defined by the bandwidth of the filter given a spectral representation. We also derive error bounds for the approximations of the filters in $L^{1}(G)$ with respect to its learned discrete representations. The proposed framework allows the processing of signals on spaces of arbitrary dimension and where the actions of some elements of the group are not necessarily well defined. Finally, we show that multigraph convolutional signal models come as the natural discrete realization of Lie group signal processing models, and we use this connection to establish stability results for Lie group algebra filters. To evaluate numerically our results, we build neural networks with these filters and we apply them in multiple datasets, including a knot classification problem.