3 papers
math.PR2020
Lévy processes on smooth manifolds with a connection
Aleksandar Mijatović, Veno Mramor
We define a Lévy process on a smooth manifold with a connection as a projection of a solution of a Marcus stochastic differential equation on a holonomy bundle of , driven b…
math.PR2018
A note on the exact simulation of spherical Brownian motion
Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo
We describe an exact simulation algorithm for the increments of Brownian motion on a sphere of arbitrary dimension, based on the skew-product decomposition of the process with resp…
math.PR2018
Projections of spherical Brownian motion
Aleksandar Mijatović, Veno Mramor, Gerónimo Uribe Bravo
We obtain a stochastic differential equation (SDE) satisfied by the first coordinates of a Brownian motion on the unit sphere in . The SDE has non-Lipschit…