XIII: 12, 142-161, LNM 721 (1979)
MÉMIN, Jean; SHIRYAEV, Albert N.
Un critère prévisible pour l'uniforme intégrabilité des semimartingales exponentielles (Martingale theory)
A condition is given so that the stochastic exponential of a special semimartingale $X$ is a uniformly integrable process. It involves only the local characteristics of $X$, i.e., its previsible compensator, Lévy measure, and quadratic variation of the continuous martingale part. The proof rests on multiplicative decompositions, and known results in the case of martingales
Keywords: Stochastic exponentials, Semimartingales, Multiplicative decomposition, Local characteristics
Nature: Original
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XVI-S: 57, 165-207, LNM 921 (1982)
MEYER, Paul-André
Géométrie différentielle stochastique (bis) (Stochastic differential geometry)
A sequel to 1505. The main theme is that an ordinary differential equation has a non unique extension as a stochastic differential equation: besides the Stratonovich one, given by the ``transfer principle'', there are other possibilities: choosing among them requires some additional, connection-like, structure. The most striking application is the Dohrn-Guerra correction to the parallel transport along a semimartingale
Comment: For complements, see Émery 1658, Hakim-Dowek-Lépingle 2023, Émery's monography Stochastic Calculus in Manifolds (Springer, 1989) and article 2428, and Arnaudon-Thalmaier 3214
Keywords: Semimartingales in manifolds, Stochastic differential equations, Local characteristics, Nelson's stochastic mechanics, Transfer principle
Nature: Original
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