Divergence theorems in path space. III: Hypoelliptic diffusions and beyond (Q2460019): Difference between revisions

Consider smooth vector fields \(X_1,\dots, X_n\), \(V\), on a compact manifold \(M\), \(m\in M\), a \(\mathbb{R}^n\)-valued Wiener process \((w^j_t)\), and the \(M\)-valued diffusion process \(x\) solving \[ dx_t= \sum^n_{j=1} X_j(x_t)\circ dw^j_t+ V(x_t)\,dt;\quad x_0= m. \] Thus, \(C:= C_n([0, 1];M)\) is endowed with the law \(\gamma\) of \((x_t; 0\leq t\leq 1)\). The aim of this article is to construct on \(C\) vector fields \(\eta\) which be admissible, i.e., which satisfy \[ \int\eta(\varphi)\,d\gamma= \int \varphi\text{\,Div}(\eta)\,d\gamma,\quad\text{for some }\text{Div}(\eta)\in L^1(C), \] and for any test-function \(\varphi\) on \(C\). An important feature is that only hypoellipticity is assumed here. (It is also assumed that \(V\) is spanned by \(X_1,\dots, X_n\), at each point.) Vector fields \(V_1,\dots, V_k\) spanning \(TM\) (at each point) are fixed, and admissible vector fields are taken in the form \[ \eta_t= \sum^k_{j=1} h^j_t V_j(x_t). \] The main ``divergence theorem'' asserts that \(\eta_t\) is indeed admissible, provided that the coefficients \(h^j\) solve some S.D.E. having the form \[ dh^j= (X_i, V^j)\dot r^i dt- (\nabla_{V_i}\circ dx_t+ [V_i,\circ dx_t], V^j) h^i, \] for some Cameron-Martin process \(r\); and \(\text{Div}(\eta)\) is computed. It is thus possible to get \(\text{Div}(\eta)= \mathbb{E}[\int^1_0 q_i \,dw^i/x]\), for any given continuous adapted process \(q\). Then a basis-free formulation is given, and the particular cases of gradient systems, and of linearly independent \((X_1,\dots, X_n)\), are considered.