Conditioning and initial enlargement of filtration on a Riemannian manifold
arXiv:math/0410116 · doi:10.1214/009117904000000126
Abstract
We extend to Riemannian manifolds the theory of conditioned stochastic differential equations. We also provide some enlargement formulas for the Brownian filtration in this nonflat setting.
arXiv commentPublished by the Institute of Mathematical Statistics (http://www.imstat.org) in the Annals of Probability (http://www.imstat.org/aop/) at http://dx.doi.org/10.1214/009117904000000126