Diffusions with singular drift related to wave functions

diffusion equation with singular creation and killing term Feynman-Kac integral Maruyama's drift transformation Nagasawa's multiplicative functional Schrödinger equations Wiener measure

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

Schrödinger equations are equivalent to pairs of mutually time-reversed nonlinear diffusion equations. Here the associated diffusion processes with singular drift are constructed under assumptions adopted from the theory of Schrödinger operators, expressed in terms of a local space- time Sobolev space. By means of Nagasawa's multiplicative functional \(N^ t_ s\), a Radon-Nikodym derivative on the space of continuous paths, a transformed process is obtained from Wiener measure. Its singular drift is identified by Maruyama's drift transformation. For this a version of Itô's formula for continuous space-time functions with first and second order derivatives in the sense of distributions satisfying local integrability conditions has to be derived. The equivalence is shown between weak solutions of a diffusion equation with singular creation and killing term and the solution of a Feynman-Kac integral equation with a locally integrable potential function.

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