Backward stochastic differential equations in a Lie group

Anne Estrade; Monique Pontier

Séminaire de probabilités de Strasbourg (2001)

  • Volume: 35, page 241-259

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Estrade, Anne, and Pontier, Monique. "Backward stochastic differential equations in a Lie group." Séminaire de probabilités de Strasbourg 35 (2001): 241-259. <http://eudml.org/doc/114065>.

@article{Estrade2001,
author = {Estrade, Anne, Pontier, Monique},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {backward stochastic differential equation; Lie group; nilpotent Lie group; Heisenberg group; stochastic exponential},
language = {eng},
pages = {241-259},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Backward stochastic differential equations in a Lie group},
url = {http://eudml.org/doc/114065},
volume = {35},
year = {2001},
}

TY - JOUR
AU - Estrade, Anne
AU - Pontier, Monique
TI - Backward stochastic differential equations in a Lie group
JO - Séminaire de probabilités de Strasbourg
PY - 2001
PB - Springer - Lecture Notes in Mathematics
VL - 35
SP - 241
EP - 259
LA - eng
KW - backward stochastic differential equation; Lie group; nilpotent Lie group; Heisenberg group; stochastic exponential
UR - http://eudml.org/doc/114065
ER -

References

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  3. [3] R.W.R. Darling. Constructing gamma-martingales with prescribed limit using backwards sde. Annals of Proba.23. (1995) 1234-1261. Zbl0839.58060MR1349170
  4. [4] R.W.R. Darling. Martingales on noncompact manifolds: maximal inequalities and prescribed limits. Annales I.H.P.32 (1996) 431-454. Zbl0861.58050MR1411268
  5. [5] M. Emery. Stochastic calculus in manifolds. Springer (1989). Zbl0697.60060MR1030543
  6. [6] M. Hakim-Dowek, D. Lepingle. L'exponentielle stochastique des groupes de Lie. In: J.Azéma, M.Yor eds., Séminaire de Probabilités XX. LNM1204. Springer Verlag, Berlin, Heidelberg, New York (1986) 352-374. Zbl0609.60009MR942031
  7. [7] S. Helgason. Differential geometry, Lie groups and symmetric spaces. Academic Press, New York (1978). Zbl0451.53038MR514561
  8. [8] W.S. Kendall. Problems of convexity and harmonic maps with small image. I: Uniqueness and fine existence. Proc. London Math. Soc.61 (1990) 371-406. Zbl0675.58042MR1063050
  9. [9] E. Pardoux, S.G. Peng. Adapted solution of a backward stochastic differential equation. Systems and Control Letters14 (1990) 55-61. Zbl0692.93064MR1037747
  10. [10] J. Picard. Martingales on Riemannian manifolds with prescribed limit. Journ. Funct. Anal.99 (1991) 223-261. Zbl0758.60051MR1121614
  11. [11] J. Picard. Barycentres et martingales sur une variété. Annales I.H.P.30 (1994) 647-702. Zbl0817.58047MR1302764

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