Divergence theorems in path space (Q705329)
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Divergence theorems in path space (English)
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26 January 2005
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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 \(C_0(M)\).
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Elliptic stochastic differential equation
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Compact manifold
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Integration by parts formula
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Divergence theorem
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Path space
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