Stratonovich covariant differential equation with jumps

Laurence Maillard-Teyssier

Stochastic Processes and their Applications, 2006, vol. 116, issue 12, 1860-1875

Abstract: We study Stratonovich s.d.e. driven by semimartingales in the tangent bundle over a differentiable manifold M. In ordinary differential geometry, a connection on M is needed to define the covariant derivative of a C1 curve in ; by the transfer principle, Elworthy and Norris have defined a Stratonovich covariant integration along a continuous semimartingale in . We extend this to the case when the semimartingale jumps, using Norris's work and Cohen's results on s.d.e. with jumps on manifolds, in order to give a discretization theorem for such Stratonovich covariant s.d.e. with jumps.

Keywords: Stochastic; differential; equations; in; manifolds; Jump; processes; Stratonovich; calculus; Connections; Covariant; derivative; Tangent; bundle (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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