A Primer on Stochastic Differential Geometry for Signal Processing

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… (More)
DOI: 10.1109/JSTSP.2013.2264798

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