Stochastic integrals in Riemann manifolds

T. E. Duncan

Journal of Multivariate Analysis, 1976, vol. 6, issue 3, 397-413

Abstract: Stochastic integrals are constructed with values in a compact Riemann manifold from a continuous martingale integrator that is given in the tangent space of the initial point of the stochastic integral and from a stochastic tensor field of linear endomorphisms of the tangent bundle. The integrals that are formed are continuous processes that suitably preserve the martingale property. These stochastic integrals should be useful for the applications of a stochastic calculus in Riemann manifolds.

Keywords: Stochastic; integrals; Brownian; notion; martingales (search for similar items in EconPapers)
Date: 1976
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