A remark on Kunita's decomposition theorem

Joseph C. Watkins

doi:10.1016/0304-4149(90)90123-A

A remark on Kunita's decomposition theorem

Research output: Contribution to journal › Article › peer-review

Abstract

We use Michel Emery's stability theorem for stochastic differential equations to give a short proof for explicit solutions to linear stochastic differential equations over a solvable Lie group.

Original language	English (US)
Pages (from-to)	81-85
Number of pages	5
Journal	Stochastic Processes and their Applications
Volume	35
Issue number	1
DOIs	https://doi.org/10.1016/0304-4149(90)90123-A
State	Published - Jun 1990

Keywords

linear stochastic differential equations
semimartingales
solvable Lie group

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

Access to Document

10.1016/0304-4149(90)90123-A

Cite this

@article{b3d46fa7043e48a4a04fcd64470b039b,

title = "A remark on Kunita's decomposition theorem",

abstract = "We use Michel Emery's stability theorem for stochastic differential equations to give a short proof for explicit solutions to linear stochastic differential equations over a solvable Lie group.",

keywords = "linear stochastic differential equations, semimartingales, solvable Lie group",

author = "Watkins, {Joseph C.}",

year = "1990",

month = jun,

doi = "10.1016/0304-4149(90)90123-A",

language = "English (US)",

volume = "35",

pages = "81--85",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "1",

}

TY - JOUR

T1 - A remark on Kunita's decomposition theorem

AU - Watkins, Joseph C.

PY - 1990/6

Y1 - 1990/6

N2 - We use Michel Emery's stability theorem for stochastic differential equations to give a short proof for explicit solutions to linear stochastic differential equations over a solvable Lie group.

AB - We use Michel Emery's stability theorem for stochastic differential equations to give a short proof for explicit solutions to linear stochastic differential equations over a solvable Lie group.

KW - linear stochastic differential equations

KW - semimartingales

KW - solvable Lie group

UR - http://www.scopus.com/inward/record.url?scp=45149141277&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=45149141277&partnerID=8YFLogxK

U2 - 10.1016/0304-4149(90)90123-A

DO - 10.1016/0304-4149(90)90123-A

M3 - Article

AN - SCOPUS:45149141277

VL - 35

SP - 81

EP - 85

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

IS - 1

ER -

A remark on Kunita's decomposition theorem

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this