Integration by parts for a Lie group valued Brownian motion

DOI10.1007/BF01049171zbMath0795.60006WikidataQ115394558 ScholiaQ115394558MaRDI QIDQ1322499

Allanus H. Tsoi

Publication date: 29 August 1994

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

Brownian motionLie algebraLie groupGirsanov-type formulaStratonovich exponential

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Cites Work

• The Malliavin calculus for pure jump processes and applications to local time
• Integration by parts for the single jump process
• [https://portal.mardi4nfdi.de/wiki/Publication:3889862 Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions]
• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
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