Optimal approximation of SDEs on submanifolds: the Itô‐vector and Itô‐jet projections

DOI10.1112/plms.12226zbMath1421.58008arXiv1610.03887OpenAlexW2964062866MaRDI QIDQ5229330

Damiano Brigo, John Armstrong, Emilio Rossi Ferrucci

Publication date: 14 August 2019

Published in: Proceedings of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.03887

zbMATH Keywords

stochastic differential equationoptimal approximationsItô-jet projectionsItô-vector

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Diffusion processes (60J60) Jets in global analysis (58A20) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic difference equations (39A50)

Related Items (4)

Non‐geometric rough paths on manifolds ⋮ Projections of SDEs onto submanifolds ⋮ Optimal projection filters with information geometry ⋮ An improved quantum projection filter

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