Relations between stochastic differential equations and generalized random differe...
An averaging principle for stochastic differential equations
| Full text | |
| Author(s): |
Catuogno, Pedro José
;
Ruffino, Paulo R. C.
Total Authors: 2
|
| Document type: | Journal article |
| Source: | Electronic Communications in Probability; v. 10, p. 190-195, Sept. 2005. |
| Field of knowledge: | Physical Sciences and Mathematics - Probability and Statistics |
| Abstract | |
Stochastic delay differential equations (SDDE) on a manifold M depend intrinsically on a connection del in this space. The main geometric result in this notes concerns the horizontal lift of solutions of SDDE on a manifold M to an SDDE in the frame bundle BM, hence the lifted equation should come together with the prolonged horizontal connection del(H) on BM. We show that every horizontal semimartingale can be represented as a solution of an SDDE. (AU) | |
| FAPESP's process: | 02/10246-2 - Control systems, dynamical systems, stochastic dynamical systems, Lie theory and differential geometry |
| Grantee: | Luiz Antonio Barrera San Martin |
| Support Opportunities: | Research Projects - Thematic Grants |