Proceedings of the Royal Society of Edinburgh Section A Mathematics · 1980 · 55 citations · 17 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesBrownian MotionContinuous-time Stochastic ProcessesDiffusion ProcessesMarkov ProcessesStochastic CalculusStochastic Differential EquationsContinuous-time Markov ProcessesCurvatureDiffusionsMarkov Diffusion Processes
Synopsis The solutions of stochastic differential equations are used to construct Markov processes on the Banach manifold C ( S, M ) of continuous maps from a compact metric space S into a smooth complete finite dimensional Riemannian manifold M . In the special case where S is a single point the construction gives a large class of diffusion processes on the manifold M , including (under certain curvature conditions) the Brownian motion process.
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Stéphane Crépey, Olivier Guéant, David Hobson et al. · HAL (Le Centre pour la Communication Scientifique Directe) · 2011 · 10.2K citations
Potential theory on Hilbert space
Leonard Gross · Journal of Functional Analysis · 1967 · 383 citations
Sample Functions of the Gaussian Process
R. M. Dudley · The Annals of Probability · 1973 · 226 citations