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AuthorEmery, Michel. author
TitleStochastic Calculus in Manifolds [electronic resource] / by Michel Emery
ImprintBerlin, Heidelberg : Springer Berlin Heidelberg, 1989
Connect tohttp://dx.doi.org/10.1007/978-3-642-75051-9
Descript X, 151 p. online resource

SUMMARY

Addressed to both pure and applied probabilitists, including graduate students, this text is a pedagogically-oriented introduction to the Schwartz-Meyer second-order geometry and its use in stochastic calculus. P.A. Meyer has contributed an appendix: "A short presentation of stochastic calculus" presenting the basis of stochastic calculus and thus making the book better accessible to non-probabilitists also. No prior knowledge of differential geometry is assumed of the reader: this is covered within the text to the extent. The general theory is presented only towards the end of the book, after the reader has been exposed to two particular instances - martingales and Brownian motions - in manifolds. The book also includes new material on non-confluence of martingales, s.d.e. from one manifold to another, approximation results for martingales, solutions to Stratonovich differential equations. Thus this book will prove very useful to specialists and non-specialists alike, as a self-contained introductory text or as a compact reference


CONTENT

I. Real semimartingales and stochastic integrals -- II. Some vocabulary from differential geometry -- III. Manifold-valued semimartingales and their quadratic variation -- IV. Connections and martingales -- V. Riemannian manifolds and Brownian motions -- VI. Second order vectors and forms -- VII. Stratonovich and Itรด integrals of first order forms -- VIII. Parallel transport and moving frame -- Appendix: A short presentation of stochastic calculus


Mathematics Probabilities Mathematics Probability Theory and Stochastic Processes



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