Geometry of stochastic delay differential equations with jumps in manifolds

DOI10.1214/16-ECP4764MaRDI QIDQ287836zbMATH OpenWikidataFDO

Authors Paulo Ruffino, Leandro Morgado

Publication date 23 May 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.05772, https://projecteuclid.org/euclid.ecp/1461868666

zbMATH Keywords

linear frame bundleparallel transportstochastic delay differential equationsstochastic differential equations with jumpsstochastic geometry

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Connections (general theory) (53C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: In this article we propose a model for stochastic delay differential equation with jumps (SDDEJ) in a differentiable manifold $M$ endowed with a connection $abla$. In our model, the continuous part is driven by vector fields with a fixed delay and the jumps are assumed to come from a distinct source of (c`adl`ag) noise, without delay. The jumps occur along adopted differentiable curves with some dynamical relevance (with fictitious time) which allow to take parallel transport along them. Using a geometrical approach, in the last section, we show that the horizontal lift of the solution of an SDDEJ is again a solution of an SDDEJ in the linear frame bundle $BM$ with respect to a connection $abl{a}^H$ in $BM$.

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Cited in

(2)

• Geometry of stochastic delay differential equations
• Géométrie différentielle stochastique avec salts 2: discrétisation et applications des eds avec sacutes

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