XXVI: 11, 127-145, LNM 1526 (1992)
ESTRADE, Anne;
PONTIER, Monique
Relèvement horizontal d'une semimartingale càdlàg (
Stochastic differential geometry,
Stochastic calculus)
For filtering purposes, the lifting of a manifold-valued semimartingale $X$ to the tangent space at $X_0$ is extended here to the case when $X$ has jumps. The value of $L_t$ involves the inverse of the exponential at $X_{t-}$ applied to $X_t$, and a parallel transport from $X_0$ to $X_{t-}$
Comment: The same method is described in a more general setting by Kurtz-Pardoux-Protter
Ann I.H.P. (1995). In turn, this is a particular instance of a very general scheme due to Cohen (
Stochastics Stoch. Rep. (1996)
Keywords: Stochastic parallel transport,
Stochastic differential equations,
JumpsNature: Original
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