A remark on Kunita's decomposition theorem

Research output: Contribution to journalArticle

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 languageEnglish (US)
Pages (from-to)81-85
Number of pages5
JournalStochastic Processes and their Applications
Volume35
Issue number1
DOIs
StatePublished - 1990
Externally publishedYes

Fingerprint

Decomposition Theorem
Stochastic Equations
Differential equations
Differential equation
Solvable Lie Groups
Decomposition
Lie groups
Stability Theorem
Explicit Solution
Stochastic differential equations

Keywords

  • linear stochastic differential equations
  • semimartingales
  • solvable Lie group

ASJC Scopus subject areas

  • Statistics, Probability and Uncertainty
  • Mathematics(all)
  • Modeling and Simulation
  • Statistics and Probability

Cite this

A remark on Kunita's decomposition theorem. / Watkins, Joseph C.

In: Stochastic Processes and their Applications, Vol. 35, No. 1, 1990, p. 81-85.

Research output: Contribution to journalArticle

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