Stochastic equation on compact groups in discrete negative time
Probability
2007-05-23 v1
Abstract
In this paper a stochastic equation on compact groups in discrete negative time is studied. This is closely related to Tsirelson's stochastic differential equation, of which any solution is non-strong. How the group action reflects on the set of solutions is investigated. It is applied to generalize Yor's result and give a necessary and sufficient condition for existence of a strong solution and for uniqueness in law.
Cite
@article{arxiv.math/0603113,
title = {Stochastic equation on compact groups in discrete negative time},
author = {Jirô Akahori and Chihiro Uenishi and Kouji Yano},
journal= {arXiv preprint arXiv:math/0603113},
year = {2007}
}
Comments
23pages