Intrinsic stochastic differential equations as jets

DOI10.1098/rspa.2017.0559zbMath1402.34064arXiv1602.03931OpenAlexW2788661403MaRDI QIDQ4559539

Damiano Brigo, John Armstrong

Publication date: 4 December 2018

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

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

zbMATH Keywords

stochastic differential equationsStratonovich calculusjet bundleItô calculusstochastic differential geometrystochastic differential equations on manifolds

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)

Related Items (7)

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

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