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Conditioning and initial enlargement of filtration on a Riemannian manifold

Fabrice Baudoin
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Abstract

We extend to Riemannian manifolds the theory of conditioned stochastic differential equations. We also provide some enlargement formulas for the Brownian filtration in this nonflat setting.

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Fabrice Baudoin. 2004-10-05. Conditioning and initial enlargement of filtration on a Riemannian manifold. https://doi.org/10.1214/009117904000000126

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