DocumentCode
75215
Title
A Primer on Stochastic Differential Geometry for Signal Processing
Author
Manton, Jonathan H.
Author_Institution
Dept. of Electr. & Electron. Eng., Univ. of Melbourne, Melbourne, VIC, Australia
Volume
7
Issue
4
fYear
2013
fDate
Aug. 2013
Firstpage
681
Lastpage
699
Abstract
This primer explains how continuous-time stochastic processes (precisely, Brownian motion and other Itô diffusions) can be defined and studied on manifolds. No knowledge is assumed of either differential geometry or continuous-time processes. The arguably dry approach is avoided of first introducing differential geometry and only then introducing stochastic processes; both areas are motivated and developed jointly.
Keywords
continuous time systems; differential geometry; signal processing; stochastic processes; Brownian motion; Ito diffusion; continuous-time stochastic process; signal processing; stochastic differential geometry; Differential equations; Linear approximation; Manifolds; Random variables; Stochastic processes; Vectors; Brownian motion; Differential geometry; Itô diffusions; Lie groups; continuous-time stochastic processes; estimation theory on manifolds; stochastic differential equations on manifolds;
fLanguage
English
Journal_Title
Selected Topics in Signal Processing, IEEE Journal of
Publisher
ieee
ISSN
1932-4553
Type
jour
DOI
10.1109/JSTSP.2013.2264798
Filename
6519312
Link To Document