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
Retrieve article from Numdam
XXXI: 30, 315-321, LNM 1655 (1997)
ESTRADE, Anne
A characterization of Markov solutions for stochastic differential equations with jumps Retrieve article from Numdam
XXXV: 18, 241-259, LNM 1755 (2001)
ESTRADE, Anne;
PONTIER, Monique
Backward stochastic differential equations in a Lie group Retrieve article from Numdam
