Conditioning and initial enlargement of filtration on a Riemannian manifold

Details Conditioning and initial enlargement of filtration on a Riemannian manifold Conditioning and initial enlargement of filtration on a Riemannian manifold

2004-10-05

arxiv.org/abs/math/0410116v1

Annals of Probability 2004, Vol. 32, No. 3A, 2286-2303

Mathematics

Probability

Published by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imsta

Scientific paper

10.1214/009117904000000126

We extend to Riemannian manifolds the theory of conditioned stochastic
differential equations. We also provide some enlargement formulas for the
Brownian filtration in this nonflat setting.

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