An Itô formula for domain-valued processes driven by stochastic flows (Q1849739)

Let \( D\) be the set of smoothly bounded domains \(G\) in \(R^n\) with compact closure. The authors define a stochastic process \(G_t=\varphi_t(G)\) on the probability space \((\Omega,F,P)\) taking values in the Frechet manifold \( D\) using the flow \(\varphi_t\) generated as a solution of the Stratonovich SDE \[ d\varphi_t=\sum_{k=1}^{r}X_i(\varphi_t)\circ dW^i_t+X_0(\varphi_t) dt, \quad \varphi_0=x, \text{ a.s.}, \] where \(X_i\) are smooth vector fields on \(R^n\) and \(W(t)\) is an \(R^r\) valued Wiener process. They state conditions on \(C^2\) domain functional \(F: D\to R\) and vector fields \(X_i\) for which \[ F(G_t)-F(G)=\sum_{i=1}^{r}\int_{0}^{t}DF(G_s)(X_i)\circ dW^i_s+\int_{0}^{t } DF(G_s)(X_0) ds \] holds \(P\)-almost surely. In the last section the authors present a number of examples including the case of volume \(\mu(G)\), the first eigenvalue \(\lambda(G)\) and curvature invariants arising via the solution of natural boundary value problems on smoothly bounded domains.