XXIX: 16, 166-180, LNM 1613 (1995)
APPLEBAUM, David
A horizontal Lévy process on the bundle of orthonormal frames over a complete Riemannian manifold (Stochastic differential geometry, Markov processes)
This is an attempt to define a manifold-valued Lévy process by solving a SDE driven by a Euclidean Lévy process; but the author shows that the so-obtained processes are not Markovian in general.
Comment: The existence and uniqueness statements are a particular case of general theorems due to Cohen (Stochastics Stochastics Rep. 56, 1996). The same question is addressed by Cohen in the next article 2917
Keywords: Semimartingales with jumps, Lévy processes, Infinitesimal generators
Nature: Original
Retrieve article from Numdam

---