Curved Wiener space analysis

Publication date 28 October 2005

Full work available at URL https://arxiv.org/abs/math/0403073

Diffusion processes and stochastic analysis on manifolds (58J65) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Brownian motion (60J65)

Review text

The author pursues the purpose to provide some basic background to Riemannian geometry and stochastic calculus on manifolds and to cover recent developments in analysis on curved Wiener spaces. It is a very nice attempt to give a short and clear introduction into a rather developed field that helps to the reader who feels comfortable with stochastic equations on Euclidian spaces and stochastic calculus to understand problems and results of the theory for the case of Riemanian manifolds. The notes consist of eight sections and an appendix. In Section 2 the author introduces basic notions of finite-dimensional differential geometry such as tangent plain and spaces, imbedded submanifolds, product and chain rules and others. One more introductory section -- Section 3 -- deals with further objects of Riemannian geometry such as Riemannian metrics, Riemannian volume forms, gradients, divergences, Laplacians, covariant derivatives and commutation formulas, parallel translations and curvatures. Flows and Cartan's development map are discussed in Section 4 that closes the nonstochastic part of notes. Sections 5--9 are devoted to stochastic calculus on manifolds and related geometric constructions. In Section 5 the author introduces the Fisk-Stratonovich differential equations on a manifold \(M\) imbedded in \(R^N\) \[ d\Sigma_s=X(\Sigma_s)\delta\beta_s+X_0(\Sigma_s)ds,\tag{1} \] where \(X(m):R^n\to T_mM\) and \(X_0\) are vector fields and \(\beta_s\) is an \(R^n\)-valued semimartingale and gives the definition of its solution. The Itô formula and the investigation of smooth dependence of \(\Sigma_t\) on the initial data are discussed here as well. Further the author follows the transfer principle: to get a correct stochastic formula one should take the corresponding deterministic smooth formula and replace all the derivatives by Fisk-Stratonovich differentials. Here the author introduces line integrals \(\int_t^{\cdot} \alpha(\delta\Sigma)\) and \(\int_t^{\cdot} \rho((\delta\Sigma)\) for one form \(\alpha\) and 2-form \(\rho\) on \(M\) and a semimartingale \(\Sigma\). There is a number of constructions associated with \(M\)-valued semimartingales and Brownian motion martingales in this section. Among them one can see stochastic parallel translation and development maps, and stochastic analogue for computing of vector field derivatives. The final topic of this section concerns the stochastic flows and their differentials. In Section 6 it is shown how to derive formulas for derivatives of heat kernels. In particular, the Bismut formula and the Elworthy-Li formula are presented here. In the rest of the paper the author deals with infinite-dimensional objects. He gives a definition of a number of path spaces, in particular the Wiener space and the Cameron-Martin Hilbert space, and develops calculus on the Wiener space. The martingale representation formula and the Clark-Ocone formula first in the classical Wiener space \(W=W(M)\) for \(M=R^d\) are presented in Section 7 as well as their generalization to the case when \(M\) is a general compact Riemannian manifold. The next topics discussed in this section concern quasi-invariance flow theorem, divergence and integration by parts formulas and the equivalence of integration by parts and martingale representation formulas. The final chapter is devoted to the exposition of some extensions of the Malliavin method for hypoelliptic operators to the infinite-dimensional case. It concerns with determining of the smoothness properties of the Law\((\Sigma_t)\) where \(\Sigma_t\) is the solution to (1) with \(\Sigma_0=o\in M\) and \(\beta_s=w_s\) being an \(R^d\)-valued Brownian motion under the Hörmander condition. In the Appendix the author gives some useful martingale estimates and estimates of the solutions to the SDE (1). The notes are endowed with a quite exhaustive number of references. For the entire collection see [Zbl 1068.60007].

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