Intrinsic stochastic differential equations as jets

DOI10.1098/RSPA.2017.0559zbMATH Open1402.34064arXiv1602.03931OpenAlexW2788661403MaRDI QIDQ4559539FDOQ4559539

Authors: John Armstrong, Damiano Brigo 

Publication date: 4 December 2018

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Abstract: We explain how It^o Stochastic Differential Equations (SDEs) on manifolds may be defined using 2-jets of smooth functions. We show how this relationship can be interpreted in terms of a convergent numerical scheme. We show how jets can be used to derive graphical representations of It^o SDEs. We show how jets can be used to derive the differential operators associated with SDEs in a coordinate free manner. We relate jets to vector flows, giving a geometric interpretation of the It^o--Stratonovich transformation. We show how percentiles can be used to give an alternative coordinate free interpretation of the coefficients of one dimensional SDEs. We relate this to the jet approach. This allows us to interpret the coefficients of SDEs in terms of "fan diagrams". In particular the median of a SDE solution is associated to the drift of the SDE in Stratonovich form for small times.

Full work available at URL: https://arxiv.org/abs/1602.03931

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zbMATH Keywords

stochastic differential equationsjet bundlestochastic differential geometrystochastic differential equations on manifoldsStratonovich calculusItô calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Jets in global analysis (58A20)

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Cited In (8)

• Optimal projection filters with information geometry
• Projections of SDEs onto submanifolds
• An improved quantum projection filter
• Classifying financial markets up to isomorphism
• Itô stochastic differentials
• Itô stochastic differential equations as 2-jets
• Stochastic port-Hamiltonian systems
• Relativistic stochastic mechanics. I: Langevin equation from observer's perspective

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