XXVI: 18, 189-209, LNM 1526 (1992)
NORRIS, James R.
A complete differential formalism for stochastic calculus in manifolds (
Stochastic differential geometry)
The use of equivariant coordinates in stochastic differential geometry is replaced here by an equivalent, but intrinsic, formalism, where the differential of a semimartingale lives in the tangent bundle. Simple, intrinsic Girsanov and Feynman-Kac formulas are given, as well as a nice construction of a Brownian motion in a manifold admitting a Riemannian submersion with totally geodesic fibres
Keywords: Semimartingales in manifolds,
Stochastic integrals,
Feynman-Kac formula,
Changes of measure,
Heat semigroupNature: Original
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