XX: 04, 34-39, LNM 1204 (1986)
PONTIER, Monique;
STRICKER, Christophe;
SZPIRGLAS, Jacques
Sur le théorème de représentation par rapport à l'innovation
Retrieve article from Numdam
XXI: 31, 534-543, LNM 1247 (1987)
PONTIER, Monique;
SZPIRGLAS, Jacques
Convergence des approximations de McShane d'une diffusion sur une variété compacte Retrieve article from Numdam
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
XXXIV: 07, 198-217, LNM 1729 (2000)
DENIS, Laurent;
GRORUD, Axel;
PONTIER, Monique
Formes de Dirichlet sur un espace de Wiener-Poisson. Application au grossissement de filtration 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
