4 papers · 1 filter
Large time behaviour for the semigroup of the kinetic Brownian motion in the plane
Magalie Bénéfice, Michel Bonnefont, Marc Arnaudon +1
We establish an integration by parts formula for the semi-group in time of the kinetic Brownian motion in the Euclidean plane together with its speed in the circle. The sto…
Martingales On A Euclidean Manifold With A Boundary And Reflected BSDES In Non-Convex Domains
Marc Arnaudon, Jean-François Chassagneux, Sergey Nadtochiy +1
The purpose of this paper is twofold. First, we introduce the notion of a -martingale on a Euclidean manifold with a boundary (i.e., the closure of an open connected domain in…
Continuous-time filtering in Lie groups: estimation via the Fr{é}chet mean of solutions to stochastic differential equations
Magalie Bénéfice, Marc Arnaudon, Audrey Giremus
We compute the Fréchet mean of the solution to a continuous-time stochastic differential equation in a Lie group. It provides an estimator with minimal var…
On the separation cut-off phenomenon for Brownian motions on high dimensional rotationally symmetric compact manifolds
Koléhè Coulibaly-Pasquier, Marc Arnaudon, Laurent Miclo
Given a family of rotationally symmetric compact manifolds indexed by the dimension and a weight function, the goal of this paper is to investigate the cut-off phenomenon for the B…