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Variational Calculus for a Lévy Process Based on a Lie Group

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Stochastic Analysis and Related Topics VII

Part of the book series: Progress in Probability ((PRPR,volume 48))

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Abstract

The tools of the stochastic calculus of variations are constructed for Poisson processes on a Lie group, and the corresponding analysis on the Lie-Wiener space is recovered as the limiting case of this construction.

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References

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Author information

Authors and Affiliations

  1. Université de La Rochelle, 17042, La Rochelle Cedex, France

    N. Privault

Authors
  1. N. Privault
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Editor information

Editors and Affiliations

  1. Département Réseaux, Ecole Nationale Supérieure des Télécommunications, Paris Cedex 13, 75634, France

    Laurent Decreusefond  & Ali Süleyman Üstünel  & 

  2. Department of Mathematics, University of Oslo, N-0316, Oslo, Norway

    Bernt K. Øksendal

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© 2001 Springer Science+Business Media New York

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Privault, N. (2001). Variational Calculus for a Lévy Process Based on a Lie Group. In: Decreusefond, L., Øksendal, B.K., Üstünel, A.S. (eds) Stochastic Analysis and Related Topics VII. Progress in Probability, vol 48. Birkhäuser, Boston, MA. https://doi.org/10.1007/978-1-4612-0157-1_9

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  • DOI: https://doi.org/10.1007/978-1-4612-0157-1_9

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  • Publisher Name: Birkhäuser, Boston, MA

  • Print ISBN: 978-1-4612-6638-9

  • Online ISBN: 978-1-4612-0157-1

  • eBook Packages: Springer Book Archive

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