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Intertwinned diffusions by examples
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Li, X-M. (2010) Intertwinned diffusions by examples. In: Crisan, Dan, (ed.) Stochastic Analysis 2010. Berlin ; Heidelberg: Springer, pp. 51-71. ISBN 9783642153587
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Official URL: http://dx.doi.org/10.1007/978-3-642-15358-7_4
Abstract
We discuss the geometry induced by pairs of diffusion operators on two states spaces related by a map from one space to the other. This geometry led us to an intrinsic point of view on filtering. This will be explained plainly by examples, in local coordinates and in the metric setting. This article draws largely from the books (“Elworthy et al., On the geometry of diffusion operators and stochastic flows, Lecture Notes in Mathematics 1720, Springer, 1999”, “Elworthy et al., The Geometry of Filtering. To appear in Frontiers in Mathematics Series, Birkhauser”) and aims to have a comprehensive account of the geometry for a general audience.
Item Type: | Book Item | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Mathematics | ||||
Publisher: | Springer | ||||
Place of Publication: | Berlin ; Heidelberg | ||||
ISBN: | 9783642153587 | ||||
Book Title: | Stochastic Analysis 2010 | ||||
Editor: | Crisan, Dan | ||||
Official Date: | 2010 | ||||
Dates: |
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Number of Pages: | 299 | ||||
Page Range: | pp. 51-71 | ||||
DOI: | 10.1007/978-3-642-15358-7_4 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
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