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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 semigroup
Nature: Original
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