Continuous martingales in differentiable manifolds (Q4511090)

This course is devoted to the study of continuous martingales taking their values in a smooth manifold. One can divide it into two parts, consisting respectively of Chapters~1 and 2 (differential geometry and semimartingales), and of Chapters~3 to 5 (connections and martingales). In the first part, the author introduces the differential calculus of order~2. This calculus extends the classical first order calculus, and leads to the notions of diffusor (which is an extension of the classical notion of vector field) and of codiffusor. Then, in Chapter~2, he verifies that these notions are quite well adapted to the study of manifold-valued semimartingales. In particular, one can integrate codiffusors against a semimartingale and deduce the construction of the Stratonovich integral of (classical) covector fields against a semimartingale. Chapter~3 is devoted to connections and to their stochastic applications, namely the notions of Itô integral against a semimartingale, and of manifold-valued martingale. In Chapter~4, the author studies the links between the existence of some convex functions on the manifold and the behaviour of martingales (such as their convergence when time tends to infinity, or knowing whether two martingales with the same limit are equal). Finally, in Chapter~5, he considers Riemannian manifolds and their Brownian motions, and explains the stochastic interpretation of the notion of harmonic map. This course, which is pleasant to read, is an interesting complement to the author's book ``Stochastic calculus in manifolds'' (1989; Zbl 0697.60060). It gives a good presentation of the notion of manifold-valued martingale and of its main properties. It should be useful to anyone who is working on the subject or is interested by the links between differential geometry, harmonic analysis and stochastic calculus. For the entire collection see [Zbl 0941.00026].