Conditioning and initial enlargement of filtration on a Riemannian manifold. (Q1879821): Difference between revisions
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Latest revision as of 09:15, 2 May 2024
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English | Conditioning and initial enlargement of filtration on a Riemannian manifold. |
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Conditioning and initial enlargement of filtration on a Riemannian manifold. (English)
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15 September 2004
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The author [Stochastic Processes, Appl. 100, 109--145 (2002)] has studied a generalisation of the Brownian bridge; namely, Brownian motion conditioned to a certain functional of its path having a prescribed distribution. The resulting stochastic process is a weak solution of a so-called conditioned stochastic differential equation. The work reviewed here is devoted to extending this earlier work to stochastic differential equations on Riemannian manifolds.
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conditioned stochastic differential equations
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diffusions on manifolds
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Malliavin-Bismut calculus of variations
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