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

Joseph C. Watkins

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
Externally published	Yes

Keywords

linear stochastic differential equations
semimartingales
solvable Lie group

ASJC Scopus subject areas

Statistics and Probability
Modeling and Simulation
Applied Mathematics

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10.1016/0304-4149(90)90123-A

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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",

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language = "English (US)",

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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

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

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

M3 - Article

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VL - 35

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EP - 85

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

IS - 1

ER -

A remark on Kunita's decomposition theorem

Abstract

Keywords

ASJC Scopus subject areas

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