Martingales on manifolds with time-dependent connection (Q895911)

In the article under review the authors continue the research in stochastic analysis on manifolds with time-depending geometry expanding the theory of martingales on such manifolds. Let \({(\nabla(t))_{t\geq 0}}\) be a family of linear connections on a finite-dimensional differentiable manifold. In the case of a Riemannian manifold it is assumed that \({(\nabla(t))_{t\geq 0}}\) is the Levi-Civita connection of the Riemannian metric \({g(t)}\) depending smoothly on \({t\geq0}.\) Following the case of a fixed connection the authors study such notions as \({(\nabla(t))_{t\geq0}}\)-horizontality and \({(g(t))_{t\geq0}}\)-Riemann-horizontality, \({(\nabla(t))_{t\geq0}}\)-parallel transport and \({(g(t))_{t\geq0}}\)-Riemann-parallel transport, \({(\nabla(t))_{t\geq0}}\)-antidevelopment and \({(g(t))_{t\geq0}}\)-Riemann-antidevelopment. Also the Ito and Stratonovich integration, convergence of martingales, applications to non-linear heat equation and other properties are considered. It is showed that not all properties of martingales on manifolds with one connection can be extended to the time-dependent case. For example, some points of the convergence theorem of Darling and Zheng do not hold.