A Primer on Stochastic Differential Geometry for Signal Processing

Understand

This primer explains how continuous-time stochastic processes (precisely, Brownian motion and other Ito 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.