Divergence theorems in path space (Q705329): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jfa.2004.07.010 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2042077887 / rank | |||
Normal rank |
Revision as of 03:42, 20 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Divergence theorems in path space |
scientific article |
Statements
Divergence theorems in path space (English)
0 references
26 January 2005
0 references
Let \(M\) be a compact \(C^\infty\) manifold with \(\dim M=d\). The author considers a stochastic differential equation (SDE) \[ dx_t=\sum_{i=1}^nX_i(x_t)\circ dw_i+V(x_t)dt, x_0=o\in M \] where \(w_i(t)\) is a Wiener process, \(X_i(x), V(x)\) are vector fields on \(M\), and describes a class of admissible vector fields \(Z\) on the path space \(C_0(M)\) for which there exists a random variable Div\((Z)\) such that the identity \[ E[(Z\Phi)(x)]= E[\Phi(x)\text{Div}(Z)] \] holds for a dense set of smooth functions \(\Phi\) on \(C_0(M)\). In particular, he shows that one can choose a set of 1-forms \(T^{kj} \) and a set of real - valued functions \(B^{kj}\) such that the divergence Div\((Z)\) of the vector field \(Z_t=X_i(x_t)\eta^i_t\), where \(\eta_t\) is a solution to the SDE \[ d\eta_t^k=\{\dot r^k_t+B^{kj}(x_t)\eta^j\}dt+T^{kj}(\circ dx_t)\eta^J_t,\quad, \eta_0^k=0, \] is defined by the relation \[ E[Z\Phi)(x)]=E[\Phi(x)\int_0^T(\dot r^k_t+\frac 12 \langle Ric(X_k)(x_t), Z_t\rangle)dw_k] \] that holds for any smooth cylindrical \(\Phi\) on \(C_0(M)\).
0 references
Elliptic stochastic differential equation
0 references
Compact manifold
0 references
Integration by parts formula
0 references
Divergence theorem
0 references
Path space
0 references