Stochastic Differential Equations on Manifolds: Differential Geometry and Probability

By Fabrice Blache

This thesis is devoted to the study of some kind of Backward Stochastic Differential Equations (BSDE for short) with a drift f, whose solutions belong to a Riemannian manifold with connection. It generalizes two well-known problems: the research for martingales with prescribed terminal value, and the existence and uniqueness of solutions to euclidean BSDE with Lipschitz drift, originally studied by E. Pardoux and S. Peng.

• Format: Paperback
• Language: French
• ISBN: 6131536856
• ISBN13: 9786131536854
• Release Date: September 2010
• Publisher: Omniscriptum
• Length: 148 Pages
• Weight: 0.50 lbs.
• Dimensions: 0.3" x 6.0" x 9.0"