Girsanov type formula for a Lie group valued brownian motion

Rajeeva L. Karandikar

Séminaire de probabilités de Strasbourg (1983)

  • Volume: 17, page 198-204

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Karandikar, Rajeeva L.. "Girsanov type formula for a Lie group valued brownian motion." Séminaire de probabilités de Strasbourg 17 (1983): 198-204. <http://eudml.org/doc/113438>.

@article{Karandikar1983,
author = {Karandikar, Rajeeva L.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {semimartingale; multiplicative stochastic integration; Girsanov formula; Lie group; Lie algebra},
language = {eng},
pages = {198-204},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Girsanov type formula for a Lie group valued brownian motion},
url = {http://eudml.org/doc/113438},
volume = {17},
year = {1983},
}

TY - JOUR
AU - Karandikar, Rajeeva L.
TI - Girsanov type formula for a Lie group valued brownian motion
JO - Séminaire de probabilités de Strasbourg
PY - 1983
PB - Springer - Lecture Notes in Mathematics
VL - 17
SP - 198
EP - 204
LA - eng
KW - semimartingale; multiplicative stochastic integration; Girsanov formula; Lie group; Lie algebra
UR - http://eudml.org/doc/113438
ER -

References

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  1. [1] Ibero ( M.). Integrates stochastiques multiplicatives et construction de diffusions sur un groupe de Lie. Bull. Soc. M. France, 100, 1976, p. 175-191 Zbl0337.60052MR517986
  2. [2] Ito ( K.) and Watanabe ( S.). Introduction to stochastic differential equations. Proc. Intern. Symp. S.D.E. Kyoto, 1976. Kinokuniya publ.Tokyo. Zbl0405.60058
  3. [3] Karandikar ( R.L.). A.s. approximation results for multiplicative stochastic integrals. Sém. Prob. XVI, p. 384-391. Lecture Notes in M. n° 920, Springer-Verlag1982. Zbl0502.60042MR658700
  4. [4] Karandikar ( R.L.). Multiplicative decomposition of non singular matrix valued continuous semimartingales. Ann. Prob., to appear. Zbl0505.60069MR672313
  5. [5] Karandikar ( R.L.). Pathwise stochastic calculus of continuous semimartingales. Ph.D. Thesis, Indian Statistical Institute, 1981. MR666376

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