K.D. Elworthy's Books

Stochastic Differential Equations on Manifolds

By: K. D. Elworthy,Kenneth David Elworthy

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Stochastic Differential Equations on Manifolds

By: K. D. Elworthy,Kenneth David Elworthy

The aims of this book, originally published in 1982, are to give an understanding of the basic ideas concerning stochastic differential equations on manifolds and their solution flows, to examine the properties of Brownian motion on Riemannian manifolds when it is constructed using the stochiastic development and to indicate some of the uses of the theory. The author has included two appendices which summarise the manifold theory and differential geometry needed to follow the development; coordinate-free notation is used throughout. Moreover, the stochiastic integrals used are those which can be obtained from limits of the Riemann sums, thereby avoiding much of the technicalities of the general theory of processes and allowing the reader to get a quick grasp of the fundamental ideas of stochastic integration as they are needed for a variety of applications.

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Page Count

347

Publisher

Cambridge University Press

Published Date

ISBN 10

0521287677

ISBN 13

9780521287678

On the Geometry of Diffusion Operators and Stochastic Flows

By: K.D. Elworthy,Y. Le Jan,Xue-Mei Li

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On the Geometry of Diffusion Operators and Stochastic Flows

By: K.D. Elworthy,Y. Le Jan,Xue-Mei Li

Stochastic differential equations, and Hoermander form representations of diffusion operators, can determine a linear connection associated to the underlying (sub)-Riemannian structure. This is systematically described, together with its invariants, and then exploited to discuss qualitative properties of stochastic flows, and analysis on path spaces of compact manifolds with diffusion measures. This should be useful to stochastic analysts, especially those with interests in stochastic flows, infinite dimensional analysis, or geometric analysis, and also to researchers in sub-Riemannian geometry. A basic background in differential geometry is assumed, but the construction of the connections is very direct and itself gives an intuitive and concrete introduction. Knowledge of stochastic analysis is also assumed for later chapters.

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